Chapter9InterestRateandCurrencySwaps利率互換與貨幣互換金融風險——匯率風險、利率風險和價格風險，都會使公司的現金流存在風險。現在人們已經越來越重視對利率風險的識別、度量和管理9-39.1DefineInterestRateRisk 9.1.1首要風險：債務風險Allfirms–domesticormultinational,smallorlarge,leveragedorunleveraged–aresensitivetointerestratemovementsinonewayoranother.Thesinglelargestinterestrateriskofthenonfinancialfirm(ourfocusinthisdiscussion)isdebtservice;themulticurrencydimensionofinterestrateriskfortheMNEisofseriousconcern.

跨國公司應特別重視利率風險的多幣種性9-4 9.1.2次要風險：所持有的利率敏感性證券ThesecondmostprevalentsourceofinterestrateriskfortheMNEliesinitsholdingsofinterest-sensitivesecurities

持有的利率敏感性證券.Unlikedebt,whichisrecordedontheright-handsideofthefirm’sbalancesheet資產負債表,themarketablesecuritiesportfolio市場化證券組合

ofthefirmappearsontheleft-handside.Marketablesecuritiesrepresentpotentialearningsforthefirm.

9.1.3基準利率無論是資產負債表的左方還是右方，利率計算中的基準利率都應得到足夠的重視。基準利率（referencerate），是在標準報價、貸款協議和金融衍生品估價中所采用的利率。倫敦銀行間拆借利率（LIBOR:TheInterbankInterestRate）是至今為止使用最為廣泛的基準利率。P236EXHIBIT9.2美元利率9-6Exhibit9.2U.S.Dollar-DenominatedInterestRates(February2004)9-7

9.1.4信用風險和重新定價風險Priortodescribingthemanagementofthemostcommoninterestratepricingrisks,itisimportanttodistinguishbetweencreditriskandrepricingrisk.Creditrisk信用風險,sometimestermedroll-overrisk展期風險,isthepossibilitythataborrower’screditworthiness,atthetimeofrenewingacredit（重新授信）,isreclassifiedbythelender(resultinginchangestofees,interestrates,creditlinecommitments

信用額度orevendenialofcredit拒絕貸款).Repricingrisk重新定價風險

istheriskofchangesininterestratescharged(earned)atthetimeafinancialcontract’srateisreset.9-89.2ManagementofInterestRateRisk9.2.1管理的兩難困境：風險與收益的權衡Beforetheycanmanageinterestraterisk,treasurersandfinancialmanagersofalltypesmustresolveabasicmanagementdilemma:thebalancebetweenriskandreturn（風險和收益的權衡）.strategy1/strategy2/strategy3.(onP235)

各自的利弊？策略1，

它保證了公司以已知的利率獲得了三年所需的資金；將公司償付債務所需現金流的可預知性最大化；消除了借款期間利率上升的風險，避免了借款成本的增加。

但它在一定程度上使公司喪失了在未來利率下降時承擔較低融資成本的可能性。策略二，

給公司提供了策略1所缺乏的彈性。 但引入了重新定價風險。

如果LIBOR在第二年或第三年發生劇烈波動，則這些波動會完全被轉移到債務人身上。浮動利率中的溢價會保持不變，因為溢價反應的是借款人被敲定的三年期信用等級。策略三，

具有更大的彈性和風險。首先公司將在收益曲線的短期階段進行借款。如果收益曲線的斜率為正，則策略三的基準利率會更低，但收益曲線短期階段的波動性也會更大。與較長期的利率相比，它對短期消息的反應更明顯。

策略3使借款者面臨信用重估時其信用等級發生巨大變化的風險。因此，策略3不適合那些財務狀況差的公司。Treasury（財務部門）hastraditionallybeenconsideredaservicecenter(costcenter)andisthereforenotexpectedtotakepositionsthatincurriskintheexpectationofprofit(treasurymanagementpracticesarerarelyevaluatedasprofitcenters).Treasurymanagementpracticesarethereforepredominantlyconservative（謹慎的；穩當的）,butopportunitiestoreducecostsoractuallyearnprofitsarenottobeignored.9-13Bothforeignexchangeandinterestrateriskmanagementmustfocusonmanagingexistingoranticipatedcashflowexposuresofthefirm.匯率風險和利率風險管理的重點都是對現存和預期的公司現金流風險的管理。Asinforeignexchangemanagementexposure,thefirmcannotundertakeinformedmanagementorhedgingstrategieswithoutformingexpectations–adirectionaland/orvolatilityview–ofinterestratemovements.Fortunately,interestratemovementshavehistoricallyshownmorestabilityandlessvolatilitythanforeignexchangeratemovements.Oncemanagementhasformedexpectationsaboutfutureinterestratelevelsandmovements,itmustchoosetheappropriateimplementation,apaththatincludestheselectiveuseofvarioustechniquesandinstruments.9-14ManagementofInterestRateRisk9.2.2Trident公司的浮動利率貸款管理Asanexample,TridentCorporationhastakenoutathree-year,floating-rateloanintheamountofUS$10million(annualinterestpayments).CASEP238、239Somealternativesavailabletomanagementasameanstomanageinterestrateriskareasfollows:Refinancing再融資Forwardrateagreements遠期利率協議Interestratefutures利率期貨Interestrateswaps利率互換9-15ManagementofInterestRateRisk9.2.3遠期利率協議Aforwardrateagreement(FRA)isaninterbank-tradedcontracttobuyorsellinterestratepaymentsonanotionalprincipal。是一項購買或出售基于名義本金的利率支付的銀行間交易合約.Thesecontractsaresettledincash.ThebuyerofanFRAobtainstherighttolockinaninterestrateforadesiredtermthatbeginsatafuturedate.一份FRA的購買者獲得了在未來某一時期開始將利率鎖定在其想要的水平上的權利。ThecontractspecifiesthattheselleroftheFRAwillpaythebuyertheincreasedinterestexpenseonanominalsum

(thenotionalprincipal)ofmoney基于名義本金的利息支出增加值

ifinterestratesriseabovetheagreedrate,butthebuyerwillpaythesellerthedifferentialinterestexpenseifinterestratesfallbelowtheagreedrate.合約具體規定，如果利率上升到協議利率以上的水平，則FRA的賣方要向買方支付一個基于一定數量的貨幣（名義本金）的利息支出增加值。若利率降至協議利率以下，買方將會向賣方支付利息支出的差值。9-17ManagementofInterestRateRisk9.2.4利率期貨Unlikeforeigncurrencyfutures,interestratefutures（利率期貨）

arerelativelywidelyusedbyfinancialmanagersandtreasurersofnonfinancialcompanies.Theirpopularitystemsfromtherelativelyhighliquidity流動性oftheinterestratefuturesmarkets,theirsimplicity簡易性

inuse,andtheratherstandardizedinterest-rateexposures標準化的利率風險

mostfirmspossess.ThetwomostwidelyusedfuturescontractsaretheEurodollarfutures

歐洲美元期貨tradedontheChicagoMercantileExchange(CME)andtheUSTreasuryBondFutures

美國國債期貨oftheChicagoBoardofTrade(CBOT).9-18ManagementofInterestRateRiskInterestratefuturesstrategiesforcommonexposures

（P242EXHIBIT9.6）

Payinginterestonafuturedate(sellafuturescontract/shortposition)未來支付利息Ifratesgoup,thefuturespricefallsandtheshortearnsaprofit(offsetslossoninterestexpense)Ifratesgodown,thefuturespricerisesandtheshortearnsalossEarninginterestonafuturedate(buyafuturescontract/longposition)未來收獲利息Ifratesgoup,thefuturespricefallsandtheshortearnsalossIfratesgodown,thefuturespricerisesandthelongearnsaprofit 利率期貨有兩種：一種叫國債期貨，又叫長期利率期貨；一種叫票券期貨，又叫短期利率期貨；顧名思義，利率期貨是拿債券票券做標的物的期貨契約，當市場利率上升時，債券、票券會全面跌價，標的物跌價，期貨合約價格當然跟著跌，因此，利率上升將造成利率期貨合約價格下降。

9-20ManagementofInterestRateRisk9.2.5利率互換Swaps

arecontractualagreementstoexchangeorswapaseriesofcashflows.交換一些列現金流的合約安排。這些現金流是與債務相關的利息支付。Thesecashflowsaremostcommonlytheinterestpaymentsassociatedwithdebtservice,suchasthefloating-rateloandescribedearlier.Iftheagreementisforonepartytoswapitsfixedinterestratepaymentsforthefloatinginterestratepaymentsofanother,itistermedaninterestrateswap利率互換Iftheagreementistoswapcurrenciesofdebtserviceobligation,itistermedacurrencyswap貨幣互換Asingleswapmaycombineelementsofbothinterestrateandcurrencyswaps9-21ManagementofInterestRateRiskTheswapitselfisnotasourceofcapital,butratheranalterationofthecashflowsassociatedwithpayment.Whatisoftentermedtheplainvanillaswap普通型互換

isanagreementbetweentwopartiestoexchangefixed-rateforfloating-ratefinancialobligations.將固定利率支付責任轉變為浮動利率支付責任。Thistypeofswapformsthelargestsinglefinancialderivativemarket單種金融衍生品市場

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

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

interestrateswap.Interestrateswapsarealsoknownascouponswaps息票互換。 因為利率互換的現金流是應用于一定量資金（理論本金notationalprincipal）的利率。因此，它又被稱為息票互換。

9-25ManagementofInterestRateRisk9.2.6利率互換的執行:比較優勢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換成固定利率

貨幣互換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普通型利率互換

describedintwoimportantways:Thespotexchangerateineffectonthedateoftheagreementestablisheswhatthenotionalprincipalisinthetargetcurrency.Thenotionalprincipalitselfispartoftheswapagreement(becauseinacurrencyswapthenotionalprincipalsaredenotedintwocurrencies,theexchangeratebetweenwhichislikelytochangeoverthelifeoftheswap)9-31TridentCorporation:UnwindingSwaps（終止）退出互換合約Aswithalloriginalloanagreements,itmayhappenthatatsomefuturedatethepartnerstoaswapmaywishtoterminatetheagreementbeforeitmatures.Unwinding

acurrencyswaprequiresthediscountingoftheremainingcashflowsundertheswapagreementatcurrentinterestrates,thenconvertingthetargetcurrency(Swissfrancs)backtothehomecurrency(USdollars)ofthefirm.9-32CounterpartyRisk交易對手風險Counterpartyriskisthepotentialexposureanyindividualfirmbearsthatthesecondpartytoanyfinancialcontractwillbeunabletofulfillitsobligationsunderthecontract’sspecifications.Counterpartyriskhaslongbeenoneofthemajorfactorsthatfavortheuseofexchange-tradedratherthanover-the-counter