1 / 12

Chapter 7 互换

Chapter 7 互换. 互换的本质. 互换是关于在未来一系列指定的时刻按指定规则交换现金流的协议. 一个例子：利率互换. 协议中规定公司 B 在三年内每半年按固定年利率 5% 支付利息，按六个月 LIBOR 的浮动利率收取利息，名义本金为 $100 下一页列出了该公司三年中的现金流. --------- 百万美元 --------. LIBOR. 浮动. 固定. 净. 日期. Rate. 现金流. 现金流. 现金流. 3.1, 1998. 4.2%. 9. 1, 1998. 4.8%. +2.10. – 2.50. – 0.40.

ira-levy
Download Presentation

Chapter 7 互换

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Chapter 7互换

  2. 互换的本质 • 互换是关于在未来一系列指定的时刻按指定规则交换现金流的协议

  3. 一个例子：利率互换 • 协议中规定公司B在三年内每半年按固定年利率5%支付利息，按六个月LIBOR的浮动利率收取利息，名义本金为$100 • 下一页列出了该公司三年中的现金流

  4. ---------百万美元-------- LIBOR 浮动 固定 净 日期 Rate 现金流 现金流 现金流 3.1, 1998 4.2% 9. 1, 1998 4.8% +2.10 –2.50 –0.40 3.1, 1999 5.3% +2.40 –2.50 –0.10 9. 1, 1999 5.5% +2.65 –2.50 +0.15 3.1, 2000 5.6% +2.75 –2.50 +0.25 9. 1, 2000 5.9% +2.80 –2.50 +0.30 3.1, 2001 6.4% +2.95 –2.50 +0.45 公司B的现金流

  5. 转换负债 将固定利率负债转换为浮动利率负债 将浮动利率负债转换为固定利率负债 转换资产 将固定利率资产转换为浮动利率资产 将浮动利率资产转换为固定利率资产 利率互换的应用

  6. A 与 B 转换负债 5% 5.2% A B LIBOR+0.8% LIBOR

  7. 金融机构参与的情形 4.985% 5.015% 5.2% A F.I. B LIBOR+0.8% LIBOR LIBOR

  8. A 与 B 转换资产 5% 4.7% A B LIBOR-0.25% LIBOR

  9. 金融机构参与的情形 4.985% 5.015% 4.7% A F.I. B LIBOR-0.25% LIBOR LIBOR

  10. 固定 浮动 Company A 10.00% 6-month LIBOR + 0.30% Company B 11.20% 6-month LIBOR + 1.00% 比较优势观点 • 公司A希望按浮动利率借款 • 公司 B希望按固定利率借款

  11. 安排一个互换 9.95% 10% A B LIBOR+1% LIBOR

  12. 金融机构参与的情形 9.93% 9.97% 10% A F.I. B LIBOR+1% LIBOR LIBOR

More Related