固定收益證券教師課件

1、互換 Swaps A swap is an agreement to exchange cash flows at specified future times according to certain specified rules The cash flows are calculated over a notional principal amount, which is usually not exchanged between counterparties. The first swaps were negotiated in the early 1980s. Today, swap

2、s are among the most heavily traded financial contracts in the world.Most swaps are traded over-the-counter (OTC), tailor-made for the counterparties. Some types of swaps are also exchanged on futures markets.The Bank for International Settlements (BIS) publishes statistics on the notional amounts o

3、utstanding in the OTC derivatives market. At the end of 2006, this was USD 415.2 trillion, more than 8.5 times the 2006 gross world product. Interest rate swapsTypes of swaps ：Interest rate swaps Currency swaps Credit default swaps (CDS) Commodity swaps Equity Swaps 利率互換的機制 交易雙方為交換基于同一名義本金（notional

4、principal）、以同一貨幣計量、以不同利率基礎計算的現金流而簽定的協議。 交易的一方支付固定利率的利息，另一方支付浮動利率的利息。 浮動利率以LIBOR為參考利率 9-Millions of Dollars-LIBORFLOATING FIXED NetDateRateCash FlowCash FlowCash FlowMar.5, 20044.2%Sept. 5, 20044.8%+2.102.500.40Mar.5, 20055.3%+2.402.500.10Sept. 5, 20055.5%+2.652.50+0.15Mar.5, 20065.6%+2.752.50+0.25Se

5、pt. 5, 20065.9%+2.802.50+0.30Mar.5, 20076.4%+2.952.50+0.45Cash Flows to Microsoft10-Millions of Dollars-LIBORFLOATING FIXED NetDateRateCash FlowCash FlowCash FlowMar.5, 20044.2%Sept. 5, 20044.8%+2.102.500.40Mar.5, 20055.3%+2.402.500.10Sept. 5, 20055.5%+2.652.50+0.15Mar.5, 20065.6%+2.752.50+0.25Sept.

6、 5, 20065.9%+2.802.50+0.30Mar.5, 20076.4%+102.95102.50+0.45Cash Flows to MicrosoftTypical Uses of an Interest Rate SwapConverting a liability fromfixed rate to floating rate floating rate to fixed rate Converting an investment from fixed rate to floating ratefloating rate to fixed rate Intel and Mic

7、rosoft Transform a LiabilityIntelMSLIBOR5%LIBOR+0.1%5.2%Intel and Microsoft Transform an Asset IntelMSLIBOR5%LIBOR-0.2%4.7%Financial Institution is Involved F.I.LIBORLIBORLIBOR+0.1%4.985%5.015%5.2%IntelMSFinancial Institution has two offsetting swapsFinancial Institution 的作用 IntelF.I.MSLIBORLIBOR4.7

8、%5.015%4.985%LIBOR-0.2%Quotes By a Swap Market MakerMaturityBid (%)Offer (%)Swap Rate (%)2 years6.036.066.0453 years6.216.246.2254 years6.356.396.3705 years 6.476.516.4907 years6.656.686.66510 years6.836.876.850The Comparative Advantage ArgumentAAACorp wants to borrow floatingBBBCorp wants to borrow

9、 fixedFixed Floating AAACorp4.0%6-month LIBOR 0.10%BBBCorp5.2%6-month LIBOR + 0.6%The Swap AAACorpBBBCorpLIBORLIBOR+0.6%4.35%4%互換總收益|固定利率市場的利率差浮動利率市場的利率差|互換收益分配The Swap when a Financial Institution is Involved AAACorpF.I.BBBCorp4%LIBORLIBORLIBOR+0.6%4.33%4.37%Criticism of the Comparative Advantage A

10、rgumentThe 4.0% and 5.2% rates available to AAACorp and BBBCorp in fixed rate markets are 5-year ratesThe LIBOR0.1% and LIBOR+0.6% rates available in the floating rate market are six-month rates Option to reviewBBBCorps fixed rate depends on the spread above LIBOR it borrows at in the future對AAACorp

11、而言，利率互換的定價 在互換協議開始時，合約的價值為零，在協議期間中互換價值可能為正也可能為負。Interest rate swaps can be valued as the difference between the value of a fixed-rate bond and the value of a floating-rate bondAlternatively, they can be valued as a portfolio of forward rate agreements (FRAs)Valuation in Terms of Bonds 對F.I而言，對M.S而言，

12、 IntelF.I.MSLIBORLIBOR4.7%5.015%4.985%LIBOR-0.2%The fixed rate bond is valued in the usual wayThe floating rate bond is valued by noting that it is worth par immediately after the next payment date例：某金融機構同意支付6個月期LIBOR，同時收取8%（半年復利）的利率，名義本金為100百萬。該互換還有1.25年到期。按連續(xù)復利計算的3個月、9個月及15個月期的貼現率分別為10.0%、10.5%、11

13、.0%。上一次支付日的6個月期的LIBOR為10.2%（半年復利）。 V=98.24-102.51=-4.27百萬TimeBfix cash flowBfl cash flowDisc factorPV BfixPV Bfl0.254.0105.1000.97533.901102.5050.754.00.92433.6971.25104.00.871590.640Total98.238102.505Valuation in Terms of FRAs-Millions of Dollars-LIBORFLOATING FIXED NetDateRateCash FlowCash FlowCas

14、h FlowMar.5, 20044.2%Sept. 5, 20044.8%+2.102.500.40Mar.5, 20055.3%+2.402.500.10Sept. 5, 20055.5%+2.652.50+0.15Mar.5, 20065.6%+2.752.50+0.25Sept. 5, 20065.9%+2.802.50+0.30Mar.5, 20076.4%+2.952.50+0.45Each exchange of payments in an interest rate swap is an FRAThe FRAs can be valued on the assumption

15、that todays forward rates are realized前例中：TimeFixed cash flowFloating cash flowNet Cash FlowDisc factorPV Bfl0.254.0-5.100-1.1000.9753-1.0730.754.0-5.522-1.5220.9243-1.4071.254.0-6.051-2.0510.8715-1.787Total-4.267 互換協議簽署時其價值為零，這僅意味著以互換為基礎的一系列的總價值為零，并不意味著每一份單個的價值為零。其實，它們可能為正也可能為負。 對F.I而言， 當遠期利率5.015%

16、時，的價值； 當遠期利率5.015%時，的價值； 當遠期利率5.015%時，的價值。IntelF.I.MSLIBORLIBOR4.7%5.015%4.985%LIBOR-0.2% 當利率的期限結構是向上傾斜的時候，意味著遠期利率隨著遠期合約到期日的增加而上升。 既然遠期合約的總價值為零，那么，這一定意味著較早支付日的遠期利率低于5.015%，對金融機構而言此時的遠期合約價值為正；而其后較晚支付日的遠期利率則高于5.015%，對金融機構而言此時的遠期合約價值為負。利率期限結構向下傾斜時則相反。到期期限負值合約正值合約向上傾斜的利率結構遠期利率5.015貨幣互換currency swap 特點：本

17、金在互換的開始時和結束時交換本金選擇的方法：按互換開始時的即期匯率折算的本金價值基本相等 例： IBM has an agreement to pay 7% on a sterling principal of 10,000,000 & receive 4% on a US$ principal of $15,000,000 every year for 5 yearsTypical Uses of a Currency Swap:Conversion from a liability in one currency to a liability in another currencyConv

18、ersion from an investment in one currency to an investment in another currency貨幣互換的動機：比較優(yōu)勢 General Motors wants to borrow AUDQantas Airways wants to borrow USDUSDAUDGeneral Motors 5.0%12.6%Qantas 7.0%13.0%貨幣互換的定價 例如：假設日元和美元的利率期限結構是平坦的，日元利率為4%，美元利率為9%,均為連續(xù)復利。一家金融機構進行貨幣互換，它每年以日元收取年率為5%的利息，以美元支付年利率為8%的利息，以兩種貨幣表示的本金分別為10百萬美元和1,200百萬日元?；Q期限為三年，當前的匯率為1美元=110日元。 上例中，1日元=0.009091 用公式: F=S 計算1年期、2年期和3年期的遠期匯率分別為： 0.009091 =0.0096 0.009091 =0.0100 0.009091 =