國(guó)際金融英文版ch6-資料下載頁(yè)
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【正文】 million Initial exchange of principals ? million Cash flows during ? % the life of the swap 6m $ LIBOR ? million Reexchange of principals 100 million ATT JP Man ATT ATT JP Man JP Man Interest Rate Swap ? Interest rate swap is a variant of currency swap in which both sides of the swap are denominated in the same currency. ? The principal is called notional principal and needn’t be exchanged. The notional principal is used only to calculate the interest payments. ? The most mon type of interest rate swap is the fixedforfloating swap. Citigroup Interest Rate Swaps Quotes Coupon Swaps ($) Bank Pays Bank Receives Current Maturity Fixed Rate Fixed Rate TN Rate 2 years 2 yr TN + 19bps 2 yr TN + 40bps % 3 years 3 yr TN + 24bps 3 yr TN + 47bps % 4 years 4 yr TN + 28bps 4 yr TN + 53bps % 5 years 5 yr TN + 33bps 5 yr TN + 60bps % The schedule assumes nonamortizing debt and semiannual rates. All quotes are against 6month dollar LIBOR flat. TN = . Treasury note rate An example of an interest rate swap ? ExxonMobil and Citigroup reached a 5year $50 million interest rate swap agreement. Initiation date: June 15, 2023 ExxonMobil pays % fixed rate Citigroup pays 6month dollar LIBOR Interest payment on June 15 and December 15 during the next 5 years starts in 2023. ? The first payment date: December 15 ExxonMobil pay Citigroup fixed rate: ($50m)x[( + )/2] = $2,130,000 ? Citigroup pays ExxonMobil floating rate. The payment is determined by LIBOR at the beginning of the settlement period and made at the end of the settlement period. The payment on December 15 is based on LIBOR on the previous June 15. Suppose LIBOR on June 15 is %. Citigroup then pays: ($50m) x [()] = $2,125,000 Since ExxonMobil owes $2,130,000 to the bank and the bank owes $2,125,000, only the difference needs to be paid. So, ExxonMobil pays $5,000 to Citigroup. Other Types of Swaps ? Commodity swaps can be based either on two different modities or on the same modity. ? When the modities are the same, this kind of swap typically takes the form of a floatingforfixed swap. ? One party makes periodic payments at a fixed perunit price for a given quantity of some modity while the other party makes periodic payments at a floating rate pegged to the spot modity price. ? The most mon modity swap is oil swap. ? Commodity swaps across two different modities can be structured as fixedforfixed, fixedforfloating, or floatingforfloating swaps. In this case, modities could be changed but the difference in spot prices is usually settled in cash. ? Equity swaps refer to the asset portfolio swaps. ? Mr. Bear has $100 million invested in a welldiversified portfolio of stocks that is highly correlated with the SP 500 and wants to get into 10year Tbonds for one year. Mr. Bull has a $100 million portfolio of 10year Tbonds and wishes to get into stocks for one year. ? The two men could form a debtforequity swap in which Mr. Bear pays Mr. Bull the SP 500 return on a $100 million notional principal and Mr. Bull pays Mr. Bear the returns from his $100 million portfolio of 10year Tbonds. This swap could be engineered with a 1year term. ? A number of binations and variations of this debtforequity swap are possible. ? Swaptions is a derivative contract granting the right to enter into a swap. ? For example, an MNC wants to finance a project in three months. The pany now has a fiveyear floating rate debt but it hopes to swap into fixed interest payments. ? If the pany purchases a swaption which is a right to receive 3month LIBOR floating rate and pay fixed rate (6%) for five years, the pany will exercise the swaption when the fixed rate is higher than 6% at the market. If the fixed rate is lower than 6% three months later, the pany simply let the swaption expire. 謝謝觀看 /歡迎下載 BY FAITH I MEAN A VISION OF GOOD ONE CHERISHES AND THE ENTHUSIASM THAT PUSHES ONE TO SEEK ITS FULFILLMENT REGARDLESS OF OBSTACLES. BY FAITH I BY FAITH
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