Market(国际金融国家级课程上海金融学院).pptVIP

Purpose of Swap Transaction 互换交易的作用（或称目的） 利率互换?管理利率风险（浮动利率债务转换成固定利率债务，降低利率风险，延长债券到期日） 套头机会?较便宜融资方式（在不同的金融市场上互换） 进入市场?为无法筹资的金融机构取得进入借债市场的机会。 Variety of Swaps 互换交易的方式： 利率互换 Interest Rate Swap 基础利率互换 Basic Rate Swap 固定利率货币互换 Fixed Rate Currency Swap 货币利率交叉互换 Cross-currency 相同货币 不同货币 Interest Rate Swap-1 市场利率 利率?后 投资净收益损失 利率?后 投资净收益损失 利率互换产生的原因 Interest Rate Swap-2 绝对优势 相对优势 A方 B方 比较成本 信用等级 AAA BBB 借入资金 固定利率筹资成本 11?% 14% 2?% 浮动利率筹资成本 LIBOR LIBOR+1% 1% 净差 1?% Interest Rate Swap-3 A 方 B 方 固定利率资金市场 11?% 浮动利率资金市场 LIBOR+1% 固定利率 LIBOR 互换 Prospect of Eurocurrency Market—Chinese version 1 欧洲货币市场的存在有利有弊 它是国际经济一体化发展的产物。也是各国对银行的管理内外不对称而导致的。每一个国家都想利用它（获得融资和银行利润）同时也害怕它对本国国内金融业的冲击（使本国的货币政策失灵）。 1981年美国政府也批准了美国银行在美国本土进行欧洲货币业务。开放了国际银行业务设施(IBF)。 Prospect of Eurocurrency Market—Chinese version 2 国际银行业务设施(IBF): 允许美国银行和在美国的外国银行吸收外国居民，外国银行和公司，美国在国外的公司的存款， 而无须缴纳存款准备金，也不受存款利率最高额的限制。同时允许贷款给外国居民，外国企业及美国的国外附属公司，但贷款必须用于美国境外。 Prospect of Eurocurrency Market—English version 1 Eurocurrency benefited governments’ discriminate between deposits denominated in the home currency and those denominated in others and between transactions with domestic customers and those with foreign customers. Domestic currency deposits are heavily regulated as a way of maintaining control over the domestic money supply, while banks are given much more freedom in their dealings in foreign currencies. Prospect of Eurocurrency Market—English version 2 Freedom from reserve requirements is probably the most important regulatory factor that makes Eurocurrency trading attractive to banks and their customers. Eurodollar deposits are available in shorter maturities than the corresponding time deposits banks are allowed to issue in the United States. Prospect of Eurocurrency Market—English version 3 In 1981, the Fed allowed resident banks to set up international banking facilities (IBFs) in the United States for the purpose of accepting time deposits and making loans to foreign customers