_InterestRateSwaps(国际财务管理,英文版)

INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition10ChapterTenCurrency&InterestRateSwapsChapterObjective:Thischapterdiscussescurrencyandinterestrateswaps,whicharerelativelynewinstrumentsforhedginglong-terminterestrateriskandforeignexchangerisk.McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-1ChapterOutlineTypesofSwapsSizeoftheSwapMarketTheSwapBankInterestRateSwapsCurrencySwapsMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-2ChapterOutline(continued)SwapMarketQuotationsVariationsofBasicCurrencyandInterestRateSwapsRisksofInterestRateandCurrencySwapsSwapMarketEfficiencyConcludingPointsAboutSwapsMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-3DefinitionsInaswap,twocounterpartiesagreetoacontractualarrangementwhereintheyagreetoexchangecashflowsatperiodicintervals.Therearetwotypesofinterestrateswaps:Singlecurrencyinterestrateswap“Plainvanilla”fixed-for-floatingswapsareoftenjustcalledinterestrateswaps.Cross-CurrencyinterestrateswapThisisoftencalledacurrencyswap;fixedforfixedratedebtserviceintwo(ormore)currencies.McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-4SizeoftheSwapMarketIn1995thenotationalprincipalof:interestrateswapswas$12,810,736,000,000.Currencyswaps$1,197,395,000,000Themostpopularcurrenciesare:U.S.$(34%)¥(23%)DM(11%)FF(10%)£(6%)McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-5TheSwapBankAswapbankisagenerictermtodescribeafinancialinstitutionthatfacilitatesswapsbetweencounterparties.Theswapbankcanserveaseitherabrokeroradealer.Asabroker,theswapbankmatchescounterpartiesbutdoesnotassumeanyoftherisksoftheswap.Asadealer,theswapbankstandsreadytoaccepteithersideofacurrencyswap,andthenlaterlayofftheirrisk,ormatchitwithacounterparty.McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-6AnExampleofanInterestRateSwapConsiderthisexampleofa“plainvanilla”interestrateswap.BankAisaAAA-ratedinternationalbanklocatedintheU.K.whowishestoraise$10,000,000tofinancefloating-rateEurodollarloans.BankAisconsideringissuing5-yearfixed-rateEurodollarbondsat10percent.Itwouldmakemoresensetoforthebanktoissuefloating-ratenotesatLIBORtofinancefloating-rateEurodollarloans.McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-7AnExampleofanInterestRateSwapFirmBisaBBB-ratedU.S.company.Itneeds$10,000,000tofinanceaninvestmentwithafive-yeareconomiclife.FirmBisconsideringissuing5-yearfixed-rateEurodollarbondsat11.75percent.Alternatively,firmBcanraisethemoneybyissuing5-yearFRNsatLIBOR+½percent.FirmBwouldprefertoborrowatafixedrate.McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-8AnExampleofanInterestRateSwapTheborrowingopportunitiesofthetwofirmsareshowninthefollowingtable:COMPANYBBANKADIFFERENTIALFixedrate11.75%10%1.75%FloatingrateLIBOR+.5%LIBOR.5%QSD=1.25%McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-9103/8%LIBOR–1/8%AnExampleofanInterestRateSwapBankASwapBankTheswapbankmakesthisoffertoBankA:YoupayLIBOR–1/8%peryearon$10millionfor5yearsandwewillpayyou103/8%on$10millionfor5yearsCOMPANYBBANKADIFFERENTIALFixedrate11.75%10%1.75%FloatingrateLIBOR+.5%LIBOR.5%QSD=1.25%McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-10103/8%LIBOR–1/8%AnExampleofanInterestRateSwapBankASwapBankHere’swhat’sinitforBankA:Theycanborrowexternallyat10%fixedandhaveanetborrowingpositionof-103/8+10+(LIBOR–1/8)=LIBOR–½%whichis½%betterthantheycanborrowfloatingwithoutaswap.COMPANYBBANKADIFFERENTIALFixedrate11.75%10%1.75%FloatingrateLIBOR+.5%LIBOR.5%QSD=1.25%10%½%of$10,000,000=$50,000.That’squiteacostsavingsperyearfor5years.McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-11LIBOR–¼%10½%AnExampleofanInterestRateSwapSwapBankCompanyBTheswapbankmakesthisoffertocompanyB:Youpayus10½%peryearon$10millionfor5yearsandwewillpayyouLIBOR–¼%peryearon$10millionfor5years.COMPANYBBANKADIFFERENTIALFixedrate11.75%10%1.75%FloatingrateLIBOR+.5%LIBOR.5%QSD=1.25%McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-12LIBOR–¼%10½%AnExampleofanInterestRateSwapSwapBankCompanyBCOMPANYBBANKADIFFERENTIALFixedrate11.75%10%1.75%FloatingrateLIBOR+.5%LIBOR.5%QSD=1.25%TheycanborrowexternallyatLIBOR+½%andhaveanetborrowingpositionof10½+(LIBOR+½)-(LIBOR-¼)=11.25%whichis½%betterthantheycanborrowfloatingwithoutaswap.LIBOR+½%Here’swhat’sinitforB:½%of$10,000,000=$50,000that’squiteacostsavingsperyearfor5years.McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-13LIBOR+½%103/8%LIBOR–1/8%LIBOR–¼%10½%Bsaves½%AnExampleofanInterestRateSwapBankASwapBankCompanyBAsaves½%Theswapbankmakesmoneytoo.COMPANYBBANKADIFFERENTIALFixedrate11.75%10%1.75%FloatingrateLIBOR+.5%LIBOR.5%QSD=1.25%10%¼%of$10million=$25,000peryearfor5years.LIBOR–1/8–[LIBOR–¼]=1/810½-103/8=1/8¼McGraw-Hill/IrwinCopyrigh