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1、1,第三章 国际利率风险管理,2,学习目的,了解利率种类 掌握远期利率协议 掌握利率互换 掌握利率上下限,东北财经大学金融学院,3,第一节 利率与利率风险概述,利率定义及种类 利率风险及衡量,东北财经大学金融学院,4,一、利率定义,利率是指在一定时期内，货币资本的利息额与本金额间的比率。 它表示国际货币资本使用的价格。用外币表示。,5,二、利率的种类,按依托的国际金融市场，分为外国金融市场利率和离岸金融市场利率 按国际货币资本的融通方式，分为国际银行贷款利率和国际债券利率 按利率是否变化，分为固定利率和浮动利率 按计量时间不同，分为年、月、日利率 按是否通货膨胀，分为名义利率和实际利率,6,外
2、国金融市场利率和离岸金融市场利率,外国金融市场利率是指以某外国金融市场上该国货币为面值所使用的利率。 离岸金融市场利率是指以国际金融市场上该国货币以外的货币为面值所使用的利率。,7,国际银行贷款利率和国际债券利率,国际银行贷款利率是指某一国际金融中心的某家银行提供的贷款利率。 国际债券利率是指发行国际债券时所使用的利率。,8,固定利率和浮动利率,浮动利率是指在利率随市场供求关系定期浮动。一般以LIBOR为主，每6个月浮动。,9,名义利率和实际利率,实际利率=名义利率-通货膨胀率,10,物价水平与利率的相关性分析（%）,11,三、国际利率构成要素,基础利率。它由成本补偿和基本风险报酬率组成。常见
3、的基础利率为LIBOR、HIBOR和SIBOR，通常为短期利率。 LIBOR最常用。 附加利率。它是因超出基本风险的风险而获取的超出基础利率的回报率。 利率=基础利率+附加利率,12,第二节 利率风险管理,资产负债管理的重点是对经利息差额进行管理。 有传统方法，如：缺口分析、期限分析、模拟分析。 有创新金融工具分析，如：远期利率协议、利率期货、利率期权、利率互换等。,13,金融创新工具的利率风险管理,14,利率期货管理 远期利率协议 利率互换 利率上下限,15,一、利率期货,利率期货定义 利率期货种类 利用利率期货控制利率风险,16,（一）定义,利率期货是指以约定的价格和数量对某种特定的具有利
4、息和期限的金融商品在未来某一时间进行交割的一种期货合约。 其交易目的是为了固定资金价格，即得到预先确定的利率或收益。 目前，利率期货市场已发展为最大的金融期货市场。,17,（二）利率期货的种类,短期利率期货 短期国库券期货 欧洲美元定期存款单期货 港元利率期货 商业票据期货,18,中长期利率期货 长期国债期货 房屋抵押债券期货 市政债券期货,19,A.Interest Rate Futures- TB/Eurodollar futures,Treasury bill (Eurodollar) futures, traded at the IMM, allow delivery of a 90-
5、,91- or 92-day T-bills (90-day Eurodollar). The days to maturity (DTM) of the T-bills to be delivered can vary accordingly. The futures price quotation is based on a 90-day bill. T-bill (Eurodollar) futures contract calls for the delivery (on March, June, September, and December) with a face value o
6、f US$1 million. As a result, the pricing of 91- or 92-day T-bill futures needs to be adjusted for the difference in days to maturity. The price of the T-bill futures is based on a discount yield (DY) method on the IMM index.,20,Example of TB/Eurodollar futures,Suppose today, the discount yield (DY)
7、(in percentage) of the T-bill futures is 4.25 for the December contract. Then the IMM quoted price is: 100 - DY = 100 - 4.25 or 95.75 The 95.75 price is called the IMM Index which is not the actual price. The actual price, f, is given by the following equation: f = US$1,000,000 - DY( US$1,000,000) D
8、TM/360 The 90-day T-bill (Eurodollar) futures, its futures price will be: f = US$1,000,000 - 0.0425(US$1,000,000)90/360 = US$1,000,000 - US$10,625 = US$989,375,21,Example of TB futures,If the discount yield increases to 4.26, the futures price will drop to US$989,350, reflecting a decrease of US$25
9、for a basis point (i.e., 0.01% =0.0426-0.0425). The above example shows that the quoted price or the IMM Index, in contrast to the actual price, deducts the discount as if the holding period is annual.,22,b. Eurodollar Futures,Highly liquid, short-term, popular contracts. Eurodollar futures track th
10、e three- month LIBOR. The size is US$1 million, similar to T-bill futures. The pricing of the Eurodollar futures uses the IMM Index method. Given the discount yield of 5%, the IMM Index will be 95, and thus the price of the Eurodollar futures will be: f = US$1,000,000 - DY(US$1,000,000)90/360 = US$1
11、,000,000 - 0.05(US$1,000,000)90/360 = US$1,000,000 - US$12,500 = US$987,500.,23,c. Treasury Bond Futures,T-bond futures allow the short-seller the option to deliver a variety of T-bonds each one with minimum of fifteen years of maturity or first permissible call date. Short-seller will deliver the c
12、heapest instruments among the permissible set after considering the invoice price (the adjusted futures price that the short-seller will receive upon delivery), which is defined as: Invoice price = futures price x Conversion Factor + Accrued Interest,24,c. Treasury Bond Futures,Each T-Bond instrumen
13、t has a different conversion factor depending on the maturity and coupon payments. The futures price quoted for the T-bond is based on the underlying T-bond price with 8 percent coupon and 20-year maturity. This is the reason we have to adjust the invoice price to reflect the pricing differential wh
14、en delivering different T-bonds that have different coupons and maturity. Accrued interest is the interest accrued from the last coupon payment to the delivery date.,25,Use of Interest Rate Futures,Arbitrage. to eliminate any mispricing in the underlying interest rate instruments. Price discovery. t
15、o predict the future interest rate movement. This is closely related to the speculative efficiency hypothesis. Hedging. Banks use interest rate futures instruments for hedging purposes. The most common hedging method used in the interest rate scenarios is the Price Sensitivity Hedge Ratio (PSHR).,26
16、,（三）利率期货交易规则,以短期国库券（T-Bills）为例确定 报价及实际期货价格计算 其价格是以指数方式报出，为IMM指数。 IMM指数=100-该国库券收益率 当短期国库券收益率为7.5%时，则期货市场报价为92.5，但期货报价并不等于期货交易的实际价格。,27,短期国库券的实际价格可从报价中计算出来,第一步：从报价求收益率。 短期国库券收益率=100-92.5=7.5% 第二步：从已知国库券收益率求短期国库券期货实际价格 短期国库券实际期货价格（指数） =100-短期国库券收益率90/360 =100-7.5 90/360 =98.125,28,当面值为100万美元3个月美国国库券时，则实际期货合约价格为981250美元。 短期国库券期货合约价格 =短期国库券面值-（短期国库券收益率实际天数 面值）/360 =1000000-（0.075 90 1000000 ）/360 =981250,29,（四）利用利率期货控制利率风险,空头套期保值 多头套期保值,30,1、空头套期保值,适用已经持有固定收益而又预期利率将会上升的投资者，担心证券价格下降，
