国际财务管理（原书第8版）课件PPTEun_CH14_Accessible.pptxVIP

International Financial ManagementEighth EditionChapter 14Interest Rate Currency Swaps? McGraw-Hill Education. All rights reserved. Authorized only for instructor use in the classroom. No reproduction or further distribution permitted without the prior written consent of McGraw-Hill Education.Chapter OutlineTypes of SwapsSize of the Swap MarketThe Swap BankSwap Market QuotationsInterest Rate SwapsCurrency SwapsVariations of Basic Interest Rate and Currency SwapsRisks of Interest Rate and Currency SwapsIs the Swap Market Efficient?DefinitionsIn a swap, two counterparties agree to a contractual arrangement wherein they will exchange cash flows at periodic intervals.There are two types of interest rate swaps.Single currency interest rate swap“Plain vanilla” fixed-for-floating swaps are often just called interest rate swaps.Cross-currency interest rate swapThis is often called a currency swap; fixed for fixed rate debt service in two (or more) currencies.Size of the Swap MarketIn 2015 the notational principal of:Interest rate swaps was $289 trillion USD.Currency swaps was $22.7 trillion USD.The four most common currencies used to denominate interest rate and currency swaps are the euro, U.S. dollar, Japanese yen, and the British pound sterling, with the fifth most common currency being the Canadian dollar for interest rate swaps and the Swiss franc for currency swaps.EXHIBIT 14.1 Size of OTC Interest Rate and Currency Swap Markets: Total Notional Principal Outstanding Amounts in Billions of U.S.D.YearInterest Rate SwapsCurrency Swaps2007309,58814,3472008309,76013,3222009349,23616,5092010364,37719,2712011402,61122,7912012370,00225,4202013456,72525,4482014381,12924,0422015288,63422,750The Swap BankSwap bank is a generic term to describe a financial institution that facilitates swaps between counterparties.The swap bank can serve as either a broker or a dealer.As a broker, the swap bank matches counterparties but does not assume any of the risks of the swap.As a dealer, t