《现代金融市场概论》教学课件SWAPCurrencya

.《现代金融市场概论》教学课件SWAPCurrencya.6、法律的基础有两个，而且只有两个……公平和实用。——伯克7、有两种和平的暴力，那就是法律和礼节。——歌德8、法律就是秩序，有好的法律才有好的秩序。——亚里士多德9、上帝把法律和公平凑合在一起，可是人类却把它拆开。——查·科尔顿10、一切法律都是无用的，因为好人用不着它们，而坏人又不会因为它们而变得规矩起来。——德谟耶克斯.《现代金融市场概论》教学课件SWAPCurrencya..《现代金融市场概论》教学课件SWAPCurrencya.6、法律的基础有两个，而且只有两个……公平和实用。——伯克7、有两种和平的暴力，那就是法律和礼节。——歌德8、法律就是秩序，有好的法律才有好的秩序。——亚里士多德9、上帝把法律和公平凑合在一起，可是人类却把它拆开。——查·科尔顿10、一切法律都是无用的，因为好人用不着它们，而坏人又不会因为它们而变得规矩起来。——德谟耶克斯swapCurrency&InterestRateCurrencyInterestRateSwapsThischapterdiscussescurrencyandinterestrateswaps,whicharerelativelynewinstrumentsforhedginglong-terminterestrateriskandforeignexchangerisk同大学swapCurrency&InterestRateCurrencyInterestRateSwapsThischapterdiscussescurrencyandinterestrateswaps,whicharerelativelynewinstrumentsforhedginglong-terminterestrateriskandforeignexchangerisk同大学OutlineTypesofSwapsSizeoftheSwapMarketTheSwapBanlInterestRateSwapsCurrencyswaps同大学Outline(coritinued)SwapMarketQuotationsVariationsofBasicCurrencyandInterestRateSwapsRisksofInterestRateandCurrencySwapsSwapMarketEfficiencyeConcludingPointsAboutSwaps同大学DeriritiorisInaswap,twocounterpartiesagreetoacontractualarrangementwhereintheyagreetoexchangecashflowsatperiodicintervalsTherearetwotypesofinterestrateswapsSinglecurrencyinterestrateswapPlainvanillafixed-for-floatingswapsareoftenjustcalledinterestrateswaps.Cross-CurrencyinterestrateswapThisisoftencalledacurrencyswap;fixedforfixedratedebtserviceintwo(ormore)currencies同商大学SizeoitheSwapMarketIn2001thenotationalprincipalofInterestrateswapswas$58,897,000,000Currencyswapswas$3,942,000,000ThemostpopularcurrenciesareU.S.dollarJapaneseyenEuroSwissfrancBritishpoundsterling同大学「eoyaoDarrAswapbankisagenerictermtodescribeafinancialinstitutionthatfacilitatesswapsbetweencounterpartiesTheswapbankcanserveaseitherabrokeroradealerAsabroker,theswapbankmatchescounterpartiesbutdoesnotassumeanyoftherisksoftheswapAsadealer,theswapbankstandsreadytoaccepteithersideofacurrencyswap,andthenlaterlayofftheirrisk,ormatchitwithacounterparty同大学AnExampleofanInterestRateConsiderthisexampleofa"plainvanilla??interestrateswapBankaisaAAA-ratedinternationalbanklocatedintheU.K.andwishestoraise10,000,000tofinancefloating-rateEurodollarloansBankaisconsideringissuing5-yearfixed-rateEurodollarbondsat10percentloans同大学AnExampleofanInterestRateoagFirmBisaBBB-ratedU.S.companyItneeds$10,000,000tofinanceaninvestmentwithafive-yeareconomiclifeFirmBisconsideringissuing5-yearfixed-rateEurodollarbondsat11.75percentAlternatively,firmBcanraisethemoneybyissuing5yearfloating-ratenotesatLIBOR12percentFirmBwouldprefertoborrowatafixedrate同大学AnExampleofanInterestRateTheborrowingopportunitiesofthetwofirmsareCOMPANYBBANKAFiredratel1.75%10%FloatingrateLIBOR+5%L