Bloomberg掉期衍生產(chǎn)品培訓(xùn)課件

Size

of interest

rateswap

market

2010

Bloomberg

L.P.

All

rights

reserved.InTrillionUSSource

BIS230169151309309341(

June

09)What

is

an

interest

rate

swap?

2010

Bloomberg

L.P.

All

rights

reserved.Swaps

are

exchange

of

one

type

of

cash

flowsfor

another

type

that

is

considered

to

be

ofequal

value.Interest

rate

swaps:

Agreement

to

exchange

fixed

interestpayments

with

floating

(or

the

opposite)

over

an

agreedperiod.

Payments

are

based

on

an

agreed

principalamount,

but

principal

won’t

be

exchangedFloating

payment

could

be

linked

to

any

reference

fixingrate

e.g.

LIBOR,

,EURIBOR,

HIBOR…..Structure

of

Interest

Rate

Swaps

2010

Bloomberg

L.P.

All

rights

reserved.Exchange

of

interest

payments

(cash

flows)At

agreed

intervals

(tenor)

-

semi

annual,

quarterlyetcOver

an

agreed

period,

5yr,

10yr…Usually

fixed

to

floating.

If

one

is

receiving

fixed,

meanspaying

floating;

so

the

other

party

is

receiving

floating

andpaying

fixed.

However,

the

a

swap

can

also

structured

in

fixedto

fixed

or

float

to

floatSwaps

are

traded

over

the

counter

(OTC)

rather

than

from

theexchangeBased

on

an

agreed

notional

amount,

but

no

exchange

ofprincipal,

so

no

impact

on

the

balance

sheets

(only

P&L).Therefore,

they’re

classed

as

off-balance

sheet(OBS)instruments.Floating

side

is

reset

periodically

off

some

index,

such

as

3month

LIBOR

2010

Bloomberg

L.P.

All

rights

reserved.ByMichael

WongCheck

LBIOR

fixing

on

<BBAM>Risk

Management

with

SwapsABC

can

create

a

synthetic

FIXED

rate

liabilitywith

a

swap

(=

pay

fixed,

receive

floating)Floating

interest

on

bond

+

spreadFixed

interest

through

swapReceipts

Floating

interest

through

swapNetpaymentFixed

interest

+

spreadBondholdersFloatingLIBOR

+spreadFixedinterestFloating

interestLIBORSwap

DealerABCPaymentsABC

issued

a10yr

floatingratecouponbondBut,

nowinterest

ratesare

rising

andthey

want

topay

fixedSo,

they

enterinto

aswap,where

theypay

fixed

2010

Bloomberg

L.P.

All

rights

reserved.Ingredients

in

Interest

Rate

Swaps

2010

Bloomberg

L.P.

All

rights

reserved.Fixed/floating

CouponNotionalEffective/value

dateMaturityTenorConvention

e.g

Act/360Floating

index

e.g

Libor/EuriborPar

swapSpreadPremium/Market

valueDV01Swap

Valuation

2010

Bloomberg

L.P.

All

rights

reserved.{SWDF<GO>}

for

Defaults

2010

Bloomberg

L.P.

All

rights

reserved.ByMichael

WongCustomized

yieldcurve{ICVS}ByMichael

WongCreatecustomizedyield

curve

2010

Bloomberg

L.P.

All

rights

reserved.Viewstripped

ratesByMichael

WongViewforward

andzero

curveHistoricalforwardcurveanalysis

2010

Bloomberg

L.P.

All

rights

reserved.3

main

functions

of

SWPMMark

to

marketPricing

a

swapSpread

calculation

2010

Bloomberg

L.P.

All

rights

reserved.Plain

Vanilla

swap

example

2010

Bloomberg

L.P.

All

rights

reserved.Nominal

Amount: USD$

10,000,000Effective

Date:First

Coupon

Date:Maturity

Date:Payment

Frequency:Day

Count:PayCoupon:Receive

Coupon:Payment

Frequency:4/18/0710/18/074/18/08Semi-annualAct/3605%3M

LIBOR

+

50bpQuarterlyWhat

should

be

the

fair

value

of

this

swap?Interest

rate

derivative

demo

<IRDD>ByMichael

Wong

2010

Bloomberg

L.P.

All

rights

reserved.Hist