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1、INTERNATIONAL FINANCIAL MANAGEMENT,INTERNATIONAL FINANCIAL MANAGEMENT,EUN / RESNICK,Fourth Edition,INTERNATIONAL FINANCIAL MANAGEMENT,EUN / RESNICK,Fourth Edition,Chapter Outline,Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations
2、 of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient?,Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rat
3、e and Currency Swaps Is the Swap Market Efficient?,Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient?,Types of Swap
4、s Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient?,Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations I
5、nterest Rate Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient?,Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations of Basic Interest R
6、ate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient?,Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps
7、 Is the Swap Market Efficient?,Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient?,Types of Swaps Size of the Swap M
8、arket The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient?,Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps C
9、urrency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient?,Definitions,In a swap, two counterparties agree to a contractual arrangement wherein they agree to exchange cash flows at periodic piridik intervals（以周期性的间隔）. Th
10、ere are two types of interest rate swaps: Single currency interest rate swap fixed-for-floating swaps are often just called interest rate swaps. Cross-Currency interest rate swap This is often called a currency swap; fixed for fixed rate debt service in two (or more) currencies.,Size of the Swap Mar
11、ket,At the end of 2009（In the middle of 2007） the notational principal of: Interest rate swaps was $349,200（$271,853）billion USD. Currency swaps was $16,500（$12,291）billion USD. The most popular currencies are: Euro U.S. dollar Japanese yen British pound sterling Swedish krona（主要用于利率互换） Swiss franc（
12、主要用于货币互换）,The Swap Bank,A swap bank is a generic term to describe a financial institution that facilitates swaps between counterparties. The swap bank can serve as either a broker or a dealer. As a broker, the swap bank matches counterparties but does not bear any risks of the swap. As a dealer, the
13、 swap bank stands ready to accept either side of a currency swap, and then later lay off（停止） their risk, or match it with a counterparty.,Swap Market Quotations,Swap banks will tailor the terms of interest rate and currency swaps to customers needs Since the swap banks are dealers for these swaps, t
14、here is a bid-ask spread.,Interest Rate Swap Quotations,Examples of an Interest Rate Swap,Firm A is a AAA-rated MNC located in the U.K. and wishes to raise $10,000,000 Eurodollar loans. Firm A is considering issuing 5-year fixed-rate Eurodollar bonds at 10 percent. It would make more sense to for th
15、e firm to issue floating-rate notes at LIBOR to finance floating-rate Eurodollar loans.,An Example of an Interest Rate Swap,Firm B is a BBB-rated U.S. company. It needs $10,000,000 to finance an investment with a five-year economic life. Firm B is considering issuing 5-year fixed-rate Eurodollar bon
16、ds at 11.75 %. Alternatively, firm B can raise the money by issuing 5-year floating-rate notes at LIBOR + 0.5%.,An Example of an Interest Rate Swap,The borrowing opportunities of the two firms are: 标红的为各自的比较优势策略,An Example of an Interest Rate Swap （本页不讲）,Heres whats in it for Firm A: They can borrow externally at 10% fixed and have a net borrowing position of -10 3/8% + 10% + (LIBOR 1/8%) =LIBOR % which is % better than they can borrow floating without a swap.,% of $10,000,000 = $50,000. Thats quite a cost savings per year for 5 years.,
