金融市场庆与机构.ppt

含义： 所谓互换，是指交易双方达成协议，约定在未来某时以事先规定的方法交换两笔负债或资产。 种类：利率互换、货币互换、商品互换、股权互换等 swap Interest Rate Swap (plain vanilla swap) An agreement whereby two parties agree to exchange periodic interest payments based on a notional principal amount. fixed rate payer floating rate payer reference rate Main reason for Development of an Interest Rate Swap Market example： Fixed Rate Floating Rate 甲 11.5% LIBOR 乙 14% LIBOR+1% 成本差异 2.5% 1% Fixed Rate Bond Holders Floating Rate Bond Holders 甲 乙 11.5% LIBOR+1% LIBOR 12% ? 互换后成本 互换前成本 收益 甲 LIBOR-0.5% LIBOR 0.5% 乙 13% 14% 1% 筹资成本与收益 : 双方收益之和(1.5%) =固定利率之差(2.5%) - 浮动利率之差(1%) Role of Intermediary Help large client base in finding swap partners Act as principal on a swap if necessary Provide insurance in case one or the other party defaults Applications Debt issuance Asset/liability management Asset swap Liability swap Arbitrage CD Holders Commercial loans Com. Bank Intermediary TB+40bp 10% 10% TB+155bp GIC Holders Floating rate instruments Life Ins. Com. Intermediary 9% TB+160bp TB+160bp 10% Secondary Market for Swaps Swap reversal Swap sale or assignment Swap buy-back or close-out or cancellation 期权组合的要素 long a call short a call long a put short a put long an asset short an asset Profit Profiles for Calls Profit Stock Price 0 Call Writer Call Holder Profit Profiles for Puts 0 Profits Stock Price Put Writer Put Holder 期权与其标的资产的组合 （一种期权 + 一种资产 = 另一种期权） asset + put = call (protective put) asset – call = - put (covered call) -asset + call = put -asset – put = - call Protective Put Use - limit loss Position - long the stock and long the put Payoff ST X ST X Stock ST ST Put X - ST 0 ————————————————— X ST Profit Profiles : Protective Put Covered Call Use - Some downside protection at the expense of giving up gain potential. Position - Own the stock and write a call. Payoff ST X ST X Stock