国际利率风险管理教材.ppt

东北财经大学金融学院 三、利率互换 利率互换定义 利率互换特征 利率互换交易原理 货币互换与利率互换组合防范风险 东北财经大学金融学院 （一）利率互换定义 利率互换也叫利率调期，是指在一定时期内，具有相同身份的互换双方按照协议条件，以同一币别、同一数额的本金作为计算利息的基础，以一方的某种利率换取对方的另一种利率。 其目的是通过利率互换，双方都能利用各自在金融市场的有利条件，降低成本，获取收益。 利率互换的基础是交易双方在不同利率借贷市场上所具有的比较优势。 （二）利率互换的特征 利率互换双方具有相同身份。 在互换中，本金是计算利息的基础，要求互换双方的本金币别相同、数额相同。 利率互换有两种形式：直接互换和间接互换。 利率互换是一种介于风险控制型和风险转移型之间的风险管理。 （三）利率互换交易原理 固定利率与浮动利率互换。这是最典型方式。 有直接互换，不通过中介进行互换，这种很少使用。主要是间接互换。 1. Market Imperfections: Comparative Cost Advantage One firm may have better access to certain parts of the capital market than another firm. A U.S. firm may be able to borrow easily in the United States, but it might not have such favorable access to the capital market in Germany. Similarly, a German firm may have good borrowing opportunities domestically but poor opportunities in the United States. To illustrate, assume that Firm A, which is rated as Aa, can borrow funds at the fixed rate of 7.75% and at the floating rate of LIBOR + 0.35%. Firm B, rated as Bb, can borrow funds at the fixed rate of 8.75% and at the floating rate of LIBOR + 0.55%. Interest Rate Scenarios Before Swap Firm A Firm B Difference Aa Bb Fixed Rate 7.75% 8.75% 1.00% Floating Rate LIBOR + 0.35% LIBOR + 0.55% 0.20% Note: The difference in the fixed rate market between Firm A and B is 1.0% and 0.2% in the variable rate market. Firm B appears to have a relative advantage in the variable rate market and Firm A has a comparative advantage in the fixed rate market. Firm A borrows in the fixed rate market at 7.75% (in the market) and agrees to pay Firm B LIBOR plus 0.30% for the swap. Firm B borrows in the floating rate market at LIBOR + 0.55% (in the market) and agrees to pay a fixed rate of 8.25% to Firm A. Interest Rate Scenario After Swap _________________________________________________________ 7.75% Firm A 8.25% Firm B LIBOR + 0.55% LIBOR + 0.30% _____