利率交换系指债信评等不同的募款人幻灯片.pptVIP

Interest Rate SWAP Ch9 Why Use Interest Rate SWAP Reduce interest rate risk RSA (rate-sensitive asset) not equal to RSL (rate-sensitive liability) If RSA RSL, then increase RSA (from fixed-rate to floating-rate) or/and decrease RSL (from floating-rate to fixed-rate) Reduce borrowing cost Interest-Rate Swap Contract(利率交換合約) 1. Notional principle of $1 million 2. Term of 10 years 3. Midwest SB swaps 7% payment for T-bill + 1% from Friendly Finance Co. Interest-Rate Swaps Reduce interest-rate risk for both parties Midwest (Friendly) converts $1m of fixed rate assets (rate-sensitive) to rate-sensitive (fixed) assets Advantages of swaps Reduce risk, no change in balance-sheet Longer term than futures or options(20年) Disadvantages of swaps 1.Lack of liquidity 2.Subject to default risk An Interest Rate Swap Between Two Corporations Borrowing costs Big Boy: T-bill+2% for debt with floating rate and 7% for debt with fixed rate Would like to borrow the money with floating rate Little Guy: T-bill+2.5% for debt with floating rate and 9% for debt with fixed rate Would like to borrow the money with fixed rate The borrowing costs of Big Boy are smaller than Little guy regardless of fixed or floating rate No need to SWAP? Comparative advantage versus Absolute advantage For Big Boy if he borrows the debt with fixed rate, then he can add a benefit of 2% if he borrows the debt with floating rate, then he can add a benefit of 0.5% only For Little Guy, if he borrows the debt with fixed rate, then he can add a benefit of -2% if he borrows the debt with floating rate, then he can add a benefit of -0.5% only If Big Boy borrows the debt with fixed rate and Little Guy borrows the debt with floating rate, then the benefit for the whole system is? How to allocate the benefit? How to decide the swap contract? * 利率交換系指債信評等不同的募款人，立約交換相同期限、相同金額債務之利息費用，以共同節省債息的規避利率風險行為。 典型的利率交換合約，一般為固定利率與浮動利率的交換，例如：甲公司想以6%的固定利率發行一筆2000萬美元的3年期公司債，但以該公司的信用等級，只能以6.5%的利率發行，惟若向銀行借款，則因該公司與銀行往來關係良好，可以6個月LIBO