國際利率風(fēng)險(xiǎn)管理教材-免費(fèi)閱讀
【正文】 如直接作一筆利率互換，則固定利率約為 %。 32 ?這是賣出一個(gè)利率上限的同時(shí)，買入一個(gè)利率下限。 28 ?利率上限適用于買方預(yù)測利率上升時(shí)，主要有浮動(dòng)利率債務(wù)和固定利率存款的人。為避免風(fēng)險(xiǎn)，該公司與銀行簽訂了一個(gè)貨幣互換協(xié)議，以年率 %的英鎊債務(wù)換 6個(gè)月LIBOR的美元債務(wù)，期限 5年。 19 （四）貨幣互換與利率互換組合防范風(fēng)險(xiǎn) ?是指在一定期限內(nèi)，具有相同身份（或均為債務(wù)人或均為債權(quán)人）的互換雙方按照某一不變匯率，直接或間接交換不同貨幣表示的債權(quán)或債務(wù)。 5 1. Market Imperfections: Comparative Cost Advantage ? One firm may have better access to certain parts of the capital market than another firm. A . firm may be able to borrow easily in the United States, but it might not have such favorable access to the capital market in Germany. Similarly, a German firm may have good borrowing opportunities domestically but poor opportunities in the United States. ? To illustrate, assume that Firm A, which is rated as Aa, can borrow funds at the fixed rate of % and at the floating rate of LIBOR + %. Firm B, rated as Bb, can borrow funds at the fixed rate of % and at the floating rate of LIBOR + %. 6 ? Interest Rate Scenarios Before Swap ? ? Firm A Firm B Difference ? Aa Bb ? Fixed Rate % % % ? Floating Rate LIBOR + % LIBOR + % % ? Note: ? The difference in the fixed rate market between Firm A and B is % and % in the variable rate market. Firm B appears to have a relative advantage in the variable rate market and Firm A has a parative advantage in the fixed rate market. 7 ? Firm A borrows in the fixed rate market at % (in the market) and agrees to pay Firm B LIBOR plus % for the swap. ? Firm B borrows in the floating rate market at LIBOR + % (in the market) and agrees to pay a fixed rate of % to Firm A. Interest Rate Scenario After Swap _________________________________________________________ % Firm A % Firm B LIBOR
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