金融市場(chǎng)與機(jī)構(gòu) Jeff Madura 15_第1頁(yè)
金融市場(chǎng)與機(jī)構(gòu) Jeff Madura 15_第2頁(yè)
金融市場(chǎng)與機(jī)構(gòu) Jeff Madura 15_第3頁(yè)
金融市場(chǎng)與機(jī)構(gòu) Jeff Madura 15_第4頁(yè)
金融市場(chǎng)與機(jī)構(gòu) Jeff Madura 15_第5頁(yè)
已閱讀5頁(yè)，還剩33頁(yè)未讀， 繼續(xù)免費(fèi)閱讀

付費(fèi)下載

下載本文檔

版權(quán)說(shuō)明：本文檔由用戶提供并上傳，收益歸屬內(nèi)容提供方，若內(nèi)容存在侵權(quán)，請(qǐng)進(jìn)行舉報(bào)或認(rèn)領(lǐng)

文檔簡(jiǎn)介

15InterestRateDerivativeMarketChapterObjectivesDescribethetypesofinterestrateswapsavailableDescribetherisksofswapsIdentifyothercommonlyusedinterestratederivativeinstrumentsDescribetheglobalizationofswapmarketsBackgroundDefinition:InterestrateswapisanagreementbetweentwopartiestoexchangeonesetofinterestratepaymentsforanotherUsuallyanexchangeofastreamoffixed-rateinterestpaymentsforfloating-ratepaymentsCharacteristicsOver-the-countertrading—coordinatedandnegotiatedbyfinancialinstitutionContractslessstandardizedthanotherderivativeslikefuturesandoptionsProvisionsofaSwapThenotionalprincipalvaluetowhichtheinterestratesareappliedtocalculatetheinterestpaymentsThefixedinterestrateTheformulaandtypeofindexusedtodeterminethefloatingrateThefrequencyofpayments,suchaseverysixmonthsoreveryyearThelifetimeoftheswapBackgroundPaymentsequalthedifferentialmultipliedbythenotationalamountusedtocalculatepaymentsNopaymentofnotionalprincipalPaymentsmadebasedonnetamountsSwapsusedtomanageriskortospeculateMarketimperfectionshelpexplaintheexistenceofswapsIfusedforspeculation,caninvolvelossesBackgroundExampleoftwofinancialinstitutions,oneintheU.SandoneinEuropeusedtoillustrateswapconceptsAU.S.financialinstitutionwithliabilitiesmorerate-sensitivethanassetsisaffectedadverselybyrisinginterestratesAEuropeanfinancialinstitutionhasaccesstolong-term,fixed-ratefundsbutmakesfloatingrateloansandhastheoppositeexposureascomparedtoU.S.institutionExhibit15.1AnInterestRateSwapaaShort-TermDepositsInterestonDepositsLong-TFixed-RateermLoansFixedInterestPaymentsonLoansFixed-RateLong-TermDepositsInterestonDepositsFloating-RateLoansFloatingInterestPaymentsonLoansU.S.DepositorsU.S.BorrowersEuropeanDepositorsEuropeanBorrowersEuropeanFinancialInstitutionU.S.FinancialInstitutionFixedInterestPaymentsFloatingInterestPaymentsBackgroundIfinterestratesincreaseandtheU.S.andforeigninstitutionnegotiateaswap,theU.S.institutiongetshigherinterestpaymentsasratesrisetohelpoffsettheincreasedcostoffundsIfinterestratesdeclinethentheforeigninstitutionmakeslowerinterestpaymentstotheU.S.whichhelpsoffsetthelowerinterestpaymentstheEuropeaninstitutionreceivesonloansBackgroundBothinstitutionslimitthepotentialbenefitstheymightreceiveifratesmovedintheirfavor—ahedgeU.S.bankforgoespotentialbenefitsfromratedeclinesEuropeanbankforgoesanypotentialbenefitsfromrateincreasesDifferentkindsofswapsarepossiblewhichvaryinthedegreetowhichtheycovertheinterestexposureandallowinstitutionstocapturebenefitsifratesmoveintheirfavorParticipationbyFinancialInstitutionsInstitutionsincludingbanks,pensionfundsandinsurancecompaniesexposedtointerestrateriskuseswapstomanageitIntermediariesmatchupfirmsChargefeesMayprovideacreditguarantee,forafeeDealerTakesacounterpartypositiontoserveclientsResultsinriskexposureunlessithasanoffsettingswapwithanotherclientTypesofInterestRateSwapsPlainvanillaswapinvolvesperiodicexchangeoffixed-ratepaymentsforfloating-ratepaymentsBasicexchangeofpaymentsfortheU.S.andEuropeaninstitutiongivenintheexampleinformationLIBORorLondonInterbankOfferRateusedastheastheindexExhibit15.3PlainVanillaSwapaa12345678ScenarioofRisingInterestRatesEndofYearFixedOutflowPaymentsFloatingInflowPayments12345678ScenarioofDecliningInterestRatesEndofYearFixedOutflowPaymentsFloatingInflowPaymentsLevelofInterestPaymentsLevelofInterestPaymentsTypesofInterestRateSwapsAforwardswapisanexchangeofinterestpaymentsthatdoesnotbeginuntilsomefuturepointintimeUsedifaninstitutioniscurrentlyinsulatedagainstrateriskbutanticipatesriskbeginningatafuturetimeSwapperiodisdelayedbutinstitutionlocksinfuturetermsLocksinattheprevailingratesbasedonexpectationsaboutfutureinterestratesExhibit15.5ForwardSwapaa12345678ScenarioofDecliningInterestRatesFloatingInflowPaymentsFixedOutflowPaymentsEndofYearForwardSwapIsArrangedatThisTime00SwappingofPaymentsBeginsatThisTime12345678ScenarioofRisingInterestRatesFloatingInflowPaymentsFixedOutflowPaymentsEndofYearatThisTForwardSwapIsArrangedimeTSwappingofPaymentsBeginsatThisimeLevelofInterestPaymentsLevelofInterestPaymentsTypesofInterestRateSwapsCallableswapsareaswapoptionthatallowscounterpartywithfixedpaymentstoterminatepriortomaturityU.S.institutionintheexamplecouldterminateswapifratesdeclineandthencapturethebenefitsPartywiththerighttoterminatepaysapremiumintheformofahigherfixedrateMayalsoinvolveaterminationfeeExhibit15.6CallableSwapaaa12345678EndofYear12345678EndofYearScenarioofDecliningInterestRatesFloatingInflowPaymentsFixedOutflowPayments*Optionisexercisedtoterminatetheswapatthistime,becauseinterestratetrendisdownward.ScenarioofRisingInterestRatesFloatingInflowPaymentsFixedOutflowPayments*LevelofInterestPaymentsLevelofInterestPaymentsTypesofInterestRateSwapsPutableswapsallowthecounterpartywithfloating-ratepaymentstoterminatepriortomaturityEuropeaninstitutionintheexamplecouldterminateswapifratesincreaseandthencapturethebenefitsPartywiththerighttoterminatepaysapremiumintheformofahigherfixedrateMayalsoinvolveaterminationfeeExhibit15.7PutableSwapaa12345678EndofYear12345678EndofYearScenarioofDecliningInterestRatesFloatingInflowPaymentsFixedOutflowPayments*ScenarioofRisingInterestRatesFloatingInflowPaymentsFixedOutflowPayments*Optionisexercisedbyrecipientoffixedoutflowpaymentstoterminatetheswapatthistime,becauseinterestratetrendisupward.LevelofInterestPaymentsLevelofInterestPaymentsTypesofInterestRateSwapsExtendableswapsallowthefixed-for-floatingpartytoextendtheswapperiodBenefitsfromtheabilitytoextendacurrentswapratherthannegotiateanewswapattheprevailingmarketratesinexistencewhentheinitialswapmaturesThisfeatureinvolvesahigherpriceMayhavetopayfeesifswapisextendedExhibit15.8ExtendableSwapaaa12345678EndofYear12345678EndofYearScenarioofRisingInterestRatesScenarioofDecliningInterestRatesFixedOutflowPaymentsFloatingInflowPaymentsFixedOutflowPaymentsFloatingInflowPaymentsAtthistime,theinstitutionwouldlikelyextendtheswapperiod.Atthistime,theinstitutionwouldlikelydecidenottoextendtheswapperiod.LevelofInterestPaymentsLevelofInterestPaymentsTypesofInterestRateSwapsZero-coupon-for-floatingswapsinvolveafixed-ratepayerthatmakesasinglepaymentatthematurityoftheswapFloating-ratepayermakesperiodicpaymentsAnexampleisaU.S.institutionwithshort-termdepositsfundingzerocouponbondsTheriskisthataninterestrateincreasecausesthebondpricestofallandincreasesthecostoffundsontheliabilitysideofthebalancesheetExhibit15.9Zero-Coupon-For-FloatingSwapaa12345678EndofYear12345678EndofYearFloatingInflowPayments?ASingleLump-SumFixedOutflowPaymentScenarioofRisingInterestRatesScenarioofDecliningInterestRatesFloatingInflowPayments?ASingleLump-SumFixedOutflowPaymentLevelofInterestPaymentsLevelofInterestPaymentsTypesofInterestRateSwapsRate-cappedswapsexchangefixed-ratepaymentsforfloating-ratepaymentsthatarecappedandinvolveup-frontfeesExampleofU.S.andEuropeanfirmEuropeanfirmmaywanttolimititspossiblepaymentswiththecapandknowwhatitsmaximumpaymentswillbeU.S.firmmaybelieverateswillnotgoabovecapandiftheydo,swap’seffectivenessislimitedExhibit15.10Rate-CappedSwapaa12345678EndofYear12345678EndofYearScenarioofDecliningInterestRatesFloatingInflowPaymentsFixedOutflowPaymentsThisTimeAgreeingtoCapPayerofFixedOutflowPaymentsReceivesPremiumatforCapLevelScenarioofRisingInterestRatesPurpleLineReflectsFloatingInflowPaymentsIfaCapDidNotExistFixedOutflowPaymentsCapLevelPayerofFixedOutflowPaymentsReceivesPremiumatThisTimeforAgreeingtoCapFloatingInflowPaymentsBasedonCapTypesofInterestRateSwapsEquityswapsinvolvetheexchangeofinterestpaymentsforpaymentslinkedtothedegreeofchangeinastockindexExampleCompanywithafixed7%interestrateSwapsafixedrateforrateofappreciationinanindexoveraperiodoftimeIfindexappreciatesby9%ayear,differentialis2%ForusebyportfoliomanagersOtherTypesofInterestRateSwapsRateswapstoaccommodatefinancingneedsCorporationswithvarieddebtratingsswapfixedforfloatinginterestpaymentsSwappartiesbenefitfromconsiderabledifferentialincapitalmarketratesforpartiesBrokeredbyfinancialinstitutionswhomaybearcreditordefaultriskTaxswapsFirmwithexpiringlosscarryforwardsswapswithFirmexpectsfuturelossesbuthaslargegainsfromoperationsthisyearExhibit15.11InterestRateSwapaVariable-RatePaymentsatLIBOR+?%Fixed-RatePaymentsat9?%InvestorsinFixed-RateBondsIssuedbyQualityCo.RiskyCo.QualityCo.Fixed-RatePaymentsat9%InvestorsinVariable-RateBondsIssuedbyRiskyCo.Variable-RatePaymentsatLIBOR+1%RiskofInterestRateSwapsBasisriskisthechancethattheindexdoesnotmoveinperfecttandemwiththefloating-rateinstrumentsCreditriskexistsbecauseoneofthefirmsmaynotmeetitspaymentobligationsbutthisisminimizedIfcounterparty1defaultsitdoesnotmakearequiredpaymentCounterparty2wouldstopallsubsequentpaymentsRiskofInterestRateSwapsCreditriskconcernsexistforthosethatguaranteeswapsRegulatorsareconsideringhowtorespondLargegrowthinswapsmarketsothisconcernwillreceivecontinuedattentionSovereignriskisthepotentialadverseeffectfromacountry’spoliticalconditionsthatcouldpreventonepartyfromfulfillingitsobligationsPricingInterestRateSwapsPrevailingmarketinterestratesdetermineswapratesAvailabilityofcounterpartiesinfluencespricingIftherearenumerouspotentialcounterpartiesitincreasesthechanceofnegotiatingfavorabletermsThiswillchangeaseconomicconditionschangeCreditandsovereignriskalsoinfluencepricesFactorsAffectingthePerformanceofInterestRateSwapsSwapperformanceisaffectedbyseveralunderlyingforcesIndicatorsmonitoredbyparticipantsintheswapsmarketsincludeanythatwouldaffectinterestratesU.S.economicconditionsInternationaleconomicconditionsMonetaryandfiscalpolicyInterestRateCaps,Floors,andCollarsInterestratecapsofferpaymentsinperiodswhenaspecifiedinterestrateindexexceedsaspecifiedceilinginterestratePaymentsbasedontheamountbywhichtheinterestrateexceedsthecaptimesthenotationalprincipalFeepaidupfrontPurchaserisaninstitutionadverselyaffectedbyrateincreaseswhilesellerexpectsstableordecliningfutureratesInterestRateCaps,Floors,andCollarsInterestratefloorsofferpaymentsinperiodswhenaspecifiedinterestrateindexfallsbelowaspecifiedfloorrate.UsedtohedgeagainstlowerinterestratesSellergetstheup-frontfeebuthasanongoingobligationtomakepaymentsiftheratefallsbelowthefloorInterestRateCaps,Floors,andCollarsCollarinvolvesthesimultaneouspurchaseofaninterestratecapandsaleofaninterestratefloorCapgeneratespaymentsifinterestratesriseUsefeefromsellingfloortobuythecapIfratesdrop,theinstitutionhastheongoingobligationcreatedbythesaleoftheinterestratefloorGlobalizationo

溫馨提示

  • 1. 本站所有資源如無(wú)特殊說(shuō)明，都需要本地電腦安裝OFFICE2007和PDF閱讀器。圖紙軟件為CAD,CAXA,PROE,UG,SolidWorks等.壓縮文件請(qǐng)下載最新的WinRAR軟件解壓。
  • 2. 本站的文檔不包含任何第三方提供的附件圖紙等，如果需要附件，請(qǐng)聯(lián)系上傳者。文件的所有權(quán)益歸上傳用戶所有。
  • 3. 本站RAR壓縮包中若帶圖紙，網(wǎng)頁(yè)內(nèi)容里面會(huì)有圖紙預(yù)覽，若沒(méi)有圖紙預(yù)覽就沒(méi)有圖紙。
  • 4. 未經(jīng)權(quán)益所有人同意不得將文件中的內(nèi)容挪作商業(yè)或盈利用途。
  • 5. 人人文庫(kù)網(wǎng)僅提供信息存儲(chǔ)空間，僅對(duì)用戶上傳內(nèi)容的表現(xiàn)方式做保護(hù)處理，對(duì)用戶上傳分享的文檔內(nèi)容本身不做任何修改或編輯，并不能對(duì)任何下載內(nèi)容負(fù)責(zé)。
  • 6. 下載文件中如有侵權(quán)或不適當(dāng)內(nèi)容，請(qǐng)與我們聯(lián)系，我們立即糾正。
  • 7. 本站不保證下載資源的準(zhǔn)確性、安全性和完整性, 同時(shí)也不承擔(dān)用戶因使用這些下載資源對(duì)自己和他人造成任何形式的傷害或損失。

評(píng)論

0/150

提交評(píng)論