利率互换与货币互换

Chapter9InterestRateandCurrencySwaps利率互换与货币互换金融风险——汇率风险、利率风险和价格风险，都会使公司的现金流存在风险。现在人们已经越来越重视对利率风险的识别、度量和管理9-39.1DefineInterestRateRisk 9.1.1首要风险：债务风险Allfirms–domesticormultinational,smallorlarge,leveragedorunleveraged–aresensitivetointerestratemovementsinonewayoranother.Thesinglelargestinterestrateriskofthenonfinancialfirm(ourfocusinthisdiscussion)isdebtservice;themulticurrencydimensionofinterestrateriskfortheMNEisofseriousconcern.

跨国公司应特别重视利率风险的多币种性9-4 9.1.2次要风险：所持有的利率敏感性证券ThesecondmostprevalentsourceofinterestrateriskfortheMNEliesinitsholdingsofinterest-sensitivesecurities

持有的利率敏感性证券.Unlikedebt,whichisrecordedontheright-handsideofthefirm’sbalancesheet资产负债表,themarketablesecuritiesportfolio市场化证券组合

ofthefirmappearsontheleft-handside.Marketablesecuritiesrepresentpotentialearningsforthefirm.

9.1.3基准利率无论是资产负债表的左方还是右方，利率计算中的基准利率都应得到足够的重视。基准利率（referencerate），是在标准报价、贷款协议和金融衍生品估价中所采用的利率。伦敦银行间拆借利率（LIBOR:TheInterbankInterestRate）是至今为止使用最为广泛的基准利率。P236EXHIBIT9.2美元利率9-6Exhibit9.2U.S.Dollar-DenominatedInterestRates(February2004)9-7

9.1.4信用风险和重新定价风险Priortodescribingthemanagementofthemostcommoninterestratepricingrisks,itisimportanttodistinguishbetweencreditriskandrepricingrisk.Creditrisk信用风险,sometimestermedroll-overrisk展期风险,isthepossibilitythataborrower’screditworthiness,atthetimeofrenewingacredit（重新授信）,isreclassifiedbythelender(resultinginchangestofees,interestrates,creditlinecommitments

信用额度orevendenialofcredit拒绝贷款).Repricingrisk重新定价风险

istheriskofchangesininterestratescharged(earned)atthetimeafinancialcontract’srateisreset.9-89.2ManagementofInterestRateRisk9.2.1管理的两难困境：风险与收益的权衡Beforetheycanmanageinterestraterisk,treasurersandfinancialmanagersofalltypesmustresolveabasicmanagementdilemma:thebalancebetweenriskandreturn（风险和收益的权衡）.strategy1/strategy2/strategy3.(onP235)

各自的利弊？策略1，

它保证了公司以已知的利率获得了三年所需的资金；将公司偿付债务所需现金流的可预知性最大化；消除了借款期间利率上升的风险，避免了借款成本的增加。

但它在一定程度上使公司丧失了在未来利率下降时承担较低融资成本的可能性。策略二，

给公司提供了策略1所缺乏的弹性。 但引入了重新定价风险。

如果LIBOR在第二年或第三年发生剧烈波动，则这些波动会完全被转移到债务人身上。浮动利率中的溢价会保持不变，因为溢价反应的是借款人被敲定的三年期信用等级。策略三，

具有更大的弹性和风险。首先公司将在收益曲线的短期阶段进行借款。如果收益曲线的斜率为正，则策略三的基准利率会更低，但收益曲线短期阶段的波动性也会更大。与较长期的利率相比，它对短期消息的反应更明显。

策略3使借款者面临信用重估时其信用等级发生巨大变化的风险。因此，策略3不适合那些财务状况差的公司。Treasury（财务部门）hastraditionallybeenconsideredaservicecenter(costcenter)andisthereforenotexpectedtotakepositionsthatincurriskintheexpectationofprofit(treasurymanagementpracticesarerarelyevaluatedasprofitcenters).Treasurymanagementpracticesarethereforepredominantlyconservative（谨慎的；稳当的）,butopportunitiestoreducecostsoractuallyearnprofitsarenottobeignored.9-13Bothforeignexchangeandinterestrateriskmanagementmustfocusonmanagingexistingoranticipatedcashflowexposuresofthefirm.汇率风险和利率风险管理的重点都是对现存和预期的公司现金流风险的管理。Asinforeignexchangemanagementexposure,thefirmcannotundertakeinformedmanagementorhedgingstrategieswithoutformingexpectations–adirectionaland/orvolatilityview–ofinterestratemovements.Fortunately,interestratemovementshavehistoricallyshownmorestabilityandlessvolatilitythanforeignexchangeratemovements.Oncemanagementhasformedexpectationsaboutfutureinterestratelevelsandmovements,itmustchoosetheappropriateimplementation,apaththatincludestheselectiveuseofvarioustechniquesandinstruments.9-14ManagementofInterestRateRisk9.2.2Trident公司的浮动利率贷款管理Asanexample,TridentCorporationhastakenoutathree-year,floating-rateloanintheamountofUS$10million(annualinterestpayments).CASEP238、239Somealternativesavailabletomanagementasameanstomanageinterestrateriskareasfollows:Refinancing再融资Forwardrateagreements远期利率协议Interestratefutures利率期货Interestrateswaps利率互换9-15ManagementofInterestRateRisk9.2.3远期利率协议Aforwardrateagreement(FRA)isaninterbank-tradedcontracttobuyorsellinterestratepaymentsonanotionalprincipal。是一项购买或出售基于名义本金的利率支付的银行间交易合约.Thesecontractsaresettledincash.ThebuyerofanFRAobtainstherighttolockinaninterestrateforadesiredtermthatbeginsatafuturedate.一份FRA的购买者获得了在未来某一时期开始将利率锁定在其想要的水平上的权利。ThecontractspecifiesthattheselleroftheFRAwillpaythebuyertheincreasedinterestexpenseonanominalsum

(thenotionalprincipal)ofmoney基于名义本金的利息支出增加值

ifinterestratesriseabovetheagreedrate,butthebuyerwillpaythesellerthedifferentialinterestexpenseifinterestratesfallbelowtheagreedrate.合约具体规定，如果利率上升到协议利率以上的水平，则FRA的卖方要向买方支付一个基于一定数量的货币（名义本金）的利息支出增加值。若利率降至协议利率以下，买方将会向卖方支付利息支出的差值。9-17ManagementofInterestRateRisk9.2.4利率期货Unlikeforeigncurrencyfutures,interestratefutures（利率期货）

arerelativelywidelyusedbyfinancialmanagersandtreasurersofnonfinancialcompanies.Theirpopularitystemsfromtherelativelyhighliquidity流动性oftheinterestratefuturesmarkets,theirsimplicity简易性

inuse,andtheratherstandardizedinterest-rateexposures标准化的利率风险

mostfirmspossess.ThetwomostwidelyusedfuturescontractsaretheEurodollarfutures

欧洲美元期货tradedontheChicagoMercantileExchange(CME)andtheUSTreasuryBondFutures

美国国债期货oftheChicagoBoardofTrade(CBOT).9-18ManagementofInterestRateRiskInterestratefuturesstrategiesforcommonexposures

（P242EXHIBIT9.6）

Payinginterestonafuturedate(sellafuturescontract/shortposition)未来支付利息Ifratesgoup,thefuturespricefallsandtheshortearnsaprofit(offsetslossoninterestexpense)Ifratesgodown,thefuturespricerisesandtheshortearnsalossEarninginterestonafuturedate(buyafuturescontract/longposition)未来收获利息Ifratesgoup,thefuturespricefallsandtheshortearnsalossIfratesgodown,thefuturespricerisesandthelongearnsaprofit 利率期货有两种：一种叫国债期货，又叫长期利率期货；一种叫票券期货，又叫短期利率期货；顾名思义，利率期货是拿债券票券做标的物的期货契约，当市场利率上升时，债券、票券会全面跌价，标的物跌价，期货合约价格当然跟著跌，因此，利率上升将造成利率期货合约价格下降。

9-20ManagementofInterestRateRisk9.2.5利率互换Swaps

arecontractualagreementstoexchangeorswapaseriesofcashflows.交换一些列现金流的合约安排。这些现金流是与债务相关的利息支付。Thesecashflowsaremostcommonlytheinterestpaymentsassociatedwithdebtservice,suchasthefloating-rateloandescribedearlier.Iftheagreementisforonepartytoswapitsfixedinterestratepaymentsforthefloatinginterestratepaymentsofanother,itistermedaninterestrateswap利率互换Iftheagreementistoswapcurrenciesofdebtserviceobligation,itistermedacurrencyswap货币互换Asingleswapmaycombineelementsofbothinterestrateandcurrencyswaps9-21ManagementofInterestRateRiskTheswapitselfisnotasourceofcapital,butratheranalterationofthecashflowsassociatedwithpayment.Whatisoftentermedtheplainvanillaswap普通型互换

isanagreementbetweentwopartiestoexchangefixed-rateforfloating-ratefinancialobligations.将固定利率支付责任转变为浮动利率支付责任。Thistypeofswapformsthelargestsinglefinancialderivativemarket单种金融衍生品市场

intheworld.9-22ManagementofInterestRateRiskThetwopartiesmayhavevariousmotivationsforenteringintotheagreement.Averycommonsituationisasfollows:Acorporateborrowerofgoodcreditstandinghasexistingfloating-ratedebtservicepayments.Theborrower,mayconcludethatinterestratesareabouttorise.

Inordertoprotectthefirmagainstrisingdebt-servicepayments,thecompany’streasurymayenterintoaswapagreementtopayfixed/receivefloating支付固定利率/收入浮动利率.Thismeansthefirmwillnowmakefixedinterestratepaymentsandreceivefromtheswapcounterpartyfloatinginterestratepayments.9-23ManagementofInterestRateRiskSimilarly,afirmwithfixed-ratedebtthatexpectsinterestratestofallcanchangefixed-ratedebttofloating-ratedebt.Inthiscase,thefirmwouldenterintoapayfloating/receivefixed支付浮动利率/收入固定利率

interestrateswap.Interestrateswapsarealsoknownascouponswaps息票互换。 因为利率互换的现金流是应用于一定量资金（理论本金notationalprincipal）的利率。因此，它又被称为息票互换。

9-25ManagementofInterestRateRisk9.2.6利率互换的执行:比较优势ImplementationoftheInterestRateSwap:Unileverborrowsatthefixedrateof7%perannum,andthenentersintoareceivefixed/payfloatinginterestrateswapwithCitibank.UnileveragreesinturntopayCitibankafloatingrateofinterest;one-yearLIBOR.XeroxborrowsatthefloatingrateofLIBORplus3/4%,andthenswapsthepaymentswithCitibank.Citibankagreestoservicethefloating-ratedebtpaymentsonbehalfofXerox.XeroxagreesinturntopayCitibankafixedrateofinterest,7.875%,enablingXeroxtomakefixed-ratedebtservicepayments–whichitprefers–butatalowercostoffundsthanitcouldhaveacquiredonitsown.9-26Exhibit9.8ComparativeAdvantageandStructuringaSwapAgreement9-279.3CarltonCorporation:

SwappingtoFixedRates换成固定利率

货币互换TridentCorporation’sexistingfloating-rateloanisnowthesourceofsomeconcern.Recenteventshaveledmanagementtobelievethatinterestrates,specificallyLIBOR,mayberisinginthethreeyearsahead.Astheloanisrelativelynew,refinancingisconsideredtooexpensivebutmanagementbelievesthatapayfixed/receivefloatinginterestrateswapmaybethebetteralternativeforfixingfutureinterestratesnow.Thisswapagreementdoesnotreplacetheexistingloanagreement;itsupplementsitNotethattheswapagreementappliesonlytotheinterestpaymentsontheloanandnottheprincipalpayments.9-28ManagementofInterestRateRiskSinceallswapratesarederivedfromtheyieldcurveineachmajorcurrency,thefixed-tofloating-rateinterestrateswapexistingineachcurrencyallowfirmstoswapacrosscurrencies.Theusualmotivationforacurrencyswapistoreplacecashflowsscheduledinanundesiredcurrencywithflowsinadesiredcurrency.Thedesiredcurrencyisprobablythecurrencyinwhichthefirm’sfutureoperatingrevenues(inflows)willbegenerated.Firmsoftenraisecapitalincurrenciesinwhichtheydonotpossesssignificantrevenuesorothernaturalcashflows(asignificantreasonforthisbeingcost).9-29TridentCorporation:SwappingFloatingDollarsintoFixed-RateSwissFrancsAfterraisingUS$10millioninfloating-ratedebt,andsubsequentlyswappingintofixed-ratepayments,managementdecidesitwouldprefertomakeitspaymentsinSwissfrancs.SincethecompanyhasanaturalinflowofSwissfrancs(salescontract)itmaydecidetomatchthecurrencyofitsdebtdenominationtoitscashflowswithacurrencyswap.Tridentnowentersintoathree-yearpaySwissfrancsandreceiveUSdollarscurrencyswap.9-30TridentCorporation:SwappingFloatingDollarsintoFixed-RateSwissFrancsThethree-yearcurrencyswapenteredintobyTridentisdifferentfromtheplainvanillainterestrateswap普通型利率互换

describedintwoimportantways:Thespotexchangerateineffectonthedateoftheagreementestablisheswhatthenotionalprincipalisinthetargetcurrency.Thenotionalprincipalitselfispartoftheswapagreement(becauseinacurrencyswapthenotionalprincipalsaredenotedintwocurrencies,theexchangeratebetweenwhichislikelytochangeoverthelifeoftheswap)9-31TridentCorporation:UnwindingSwaps（终止）退出互换合约Aswithalloriginalloanagreements,itmayhappenthatatsomefuturedatethepartnerstoaswapmaywishtoterminatetheagreementbeforeitmatures.Unwinding

acurrencyswaprequiresthediscountingoftheremainingcashflowsundertheswapagreementatcurrentinterestrates,thenconvertingthetargetcurrency(Swissfrancs)backtothehomecurrency(USdollars)ofthefirm.9-32CounterpartyRisk交易对手风险Counterpartyriskisthepotentialexposureanyindividualfirmbearsthatthesecondpartytoanyfinancialcontractwillbeunabletofulfillitsobligationsunderthecontract’sspecifications.Counterpartyriskhaslongbeenoneofthemajorfactorsthatfavortheuseofexchange-tradedratherthanover-the-counter