外汇投资课件Ch5利率与货币互换.ppt

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1、Foreign Exchange,EUN/RESNICK,Fourth Edition,INTERNATIONALFINANCIALMANAGEMENT,EUN/RESNICK,Fourth Edition,第3章介绍了远期合约，一种用于规避汇率风险的工具。第5、6章分别介绍了外汇期货和期权合约。然而，这些工具的使用期限很少有长达几年的。本章我们将探讨利率互换，包括单一货币及交叉货币，这些都是用来规避长期利率和外汇风险的方法。,一、互换的种类,在利率互换融资中，交易双方（counter parties）即两个对等方签订合同来定期交换现金流。利率互换的方式有两种：一种是单一货币利率互换（sing

2、le-currency interest rate swap），一般简称为利率互换；另一种是交叉货币利率互换（cross-currency interest rate swap），通常称为货币互换。在基本的固定利率对浮动利率的利率互换中，交易一方将其浮动利率债务下的利息支付与对方固定利率债务下的利息支付相交换。两种债务均用相同货币表示。人们之所以会采用利率互换，是为了使现金的流入和流出更好地相对应，或为了节约成本。基本利率互换有多种变体。在货币互换（currency swap）中，交易一方将以一种货币表示的债务的还本付息义务与对方以另一种货币表示的债务的还本付息义务相交换。人们之所以使用货币互

3、换，是为了以更低的成本进行所互换货币标价的债务融资，或为了规避长期外汇风险。以下的专栏介绍了第一笔货币互换业务。,专栏：世界银行的首笔货币互换业务,世界银行经常在世界各国资本市场及欧洲债券市场上借款。它倾向于借入名义利率较低的货币，如德国马克和瑞士法郎。1981年，世界银行对这些货币已经达到官方借款限额，但却希望借入更多。恰巧，IBM公司拥有几年前发生的大量的德国马克及瑞士法郎债务.这些借款已被兑换为美元以供公司使用。所罗门兄弟有限公司（所罗门兄弟(Salomon Brothers)，华尔街的著名投资银行，1910年成立，1990年代末被旅行者集团并购。1998年4月6日，花旗公司与旅行者集团

4、宣布合并，合并组成的新公司称为“花旗集团”。去年1月，花旗集团宣布将资产拆分为“花旗公司”（Citicorp）和“花旗控股”(CitiHoldings)两部分。）说服世界银行发行与IBM公司债务期限一致的欧洲美元债券,为的是能够与IBM公司进行货币互换.IBM公司商意偿付世界银行欧洲美元债券的本息,进而世界银行也同意偿付IBM公司的德国马克及瑞士法郎债务.虽然互换的详细过程没有公开,但交易双方都由于支付了较低的总成本(包括利息支出交易费用及服务费用)而获益.另外,世界银行也通过利用这种间接方式取得了所需货币来获取收益,而不用直接到德国和瑞士资本市场上去筹资.,二、互换市场的发展http:/,如

5、专栏所示，首先发展起来的是货币互换市场。但如今，利率互换市场的规模更大。下表给出了一些有关利率互换和货币互换市场规模和发展状况的统计数据。这里的市场规模用名义本金（，决定利息支付量的参考本金）来衡量。如下表所示，自1995年以来两个市场均有显著增长,但利率互换市场的增长更为迅猛.利率互换的交易总量从1995年末的128110亿美元增长到2004年中期的1276000亿美元,增幅近900%.货币互换的交易总量从1995年末的11790亿美元增长到2004年中期的70000多亿美元,增长了488%.尽管下表没有明示,但用于利率互换和货币互换的五种最常见的货币是:欧元美元日元英镑瑞士法郎.,表 利率

6、互换和货币互换的规模:表中数字是未清偿的名义本金(单位:10亿美元)http:/,三、互换银行,互换银行是为交易双方提供互换业务的金融机构的通称。互换银行可以是国际性的商业银行、投资银行、商人银行或独立的经营者。互换银行既可以充当经纪人，也可以充当交易商。作为经纪人，互换银行促成双方的交易，但不承担任何交易风险。互换经纪人也因提供这种服务而收取佣金。如今，大部分的互换银行都充当中介商或做市商。作为做市商，互换银行必须愿意接受任何一方的货币互换，而后将其贷出或寻求另外的交易者。此时，互换银行担任的是互换交易的角色，因而要承担一定的风险。显然交易商地位更具风险性，因此互换银行要获取一部分现金流以补

7、偿其承担的风险。,四、互换市场的报价,互换银行会根据客户的需要，为它们量身定制关于利率互换和货币互换的条款。它们也会为普通互换交易做市,为具有AA或AAA信用等级的交易双方提供合适的现行市场报价。假设有一基本型的美元固定利率对浮动利率的互换，其中利率按美元的LIBOR进行指数化。互换银行通常会依据3个月或者6个月的LIBOR平价（即没有信用溢价）报出固定利率的买卖价差（半年或一年期）。假设有一每半个付息一次的5年期互换的标价为8.50%-8.60%,而且是依据6个月LIBOR平价所报。这就意味着互换银行将按每半年付息一次的固定利率8.50%支付美元款项,而按6个月的美元LIBOR平价收取款项;

8、或是收取按每半年付息一次的固定利率8.60%计算的美元款项,而支付的款项按6个月的美元LIBOR平价计算.,按照惯例,互换银行在对某种货币的利率互换利率报价时,要参照当地同种货币的标准利率;在对货币互换利率报价时,则要参考美元的LIBOR.例如,对一项每半年付息一次的5年期瑞士法郎互换业务来说,假设依据6个月LIBOR平价所确定的买卖互换报价为6.60%6.70%.这意味着在某一利率(货币)互换中,互换银行会按每半年付息一次的固定利率6.6%支付瑞士法郎款项,而按6个月瑞士法郎(美元)LIBOR收取款项;或是收取每半年付息一次的固定利率为6.7%的瑞士法郎款项,而按6个月瑞士法郎(美元)LIB

9、OR来支付款项.接下来,如果互换银行根据6个月的美元LIBOR做出8.50%8.60%的美元报价,并据此做6.60%6.70%的瑞士法郎报价,这样,互换银行就建立一个货币互换.此时,互换银行要么偿还每半年付息一次的固定利率为8.50%的美元款项,收取每半年付息一次的固定利率为6.7%的瑞士法郎款项;要么收取每半年付息一次的固定年利率为8.6%的美元款项,支付每半年付息一次的固定利率为6.60%的瑞士法郎款项.,表 利率互换的报价,注:美元的报价是按3个月的LIBOR,以实际数/360为基准计算的年度货币报价;英镑的报价是按6个月LIBOR,以实际数/365为基准计算的半年度报价,欧元的报价是按

10、6个月EURIBOR,以实际数/360为基准计算的年度报价.资料来源:Financial Times,Interest Rate Swap Quotations,五、利率互换,考虑下面这个基本的固定利率与浮动利率的利率互换例子：A银行是英国一家信用评级为AAA级的国际性银行。该银行需要10000000美元来为其客户筹集浮动利率下的欧洲美元项目贷款。它考虑发行以LIBOR为指数的5年期浮动利率票据，或者是发行5年期的固定利率为10%的欧洲美元债券。发行浮动利率票据对A银行来说更可取，因为它可以用浮动利率负债来筹集浮动利率的资产。这样做，银行可以规避固定利率发行所带来的利率风险。但如果LIBOR大

11、幅下降，那么A银行最后所支付的利息会高于它放出贷款所得的利息。B公司是美国一家信用评级为BBB级的公司。它需要10000000美元为其一个具有5年期经济寿命的资本支出进行融资。它可以在美国债券市场上发行5年期固定利率为11.25%的债券,也可以发行利率为LIBOR+0.50%的5年期浮动利率票据.此时,固定利率的负债对B公司来说更可取,因为这种方式锁定了筹资成本.若LIBOR在债券有效期内大幅上涨,选浮动利率票据将是不明智的,这可能会使该项目无利可图.,若有一家对A银行和B公司的筹资需求都非常熟悉的互换银行,它就能够建立起固定利率对浮动利率的利率互换,从而使AB双方及互换银行都受益.假定该互换

12、银行依据LIBOR平价所报的5年期美元利率互换为10.375%10.50%.这样就存在互换得以产生的必要条件,即质量价差(QSD).所谓QSD是指分别在固定利率和浮动利率债券下的违约风险报酬率之间的差额.一般来说,前者大于后者.金融界的理论学家们对这种现象进行了各种各样的解释,但没有哪种解释是完全令人满意的.以表描述了QSD的计算过程.,Basic Interest Rate Swaps,EXAMPLE 6.2As an example of a basic interest rate swap,consider the following example of a fixed-for-flo

13、ating rate swap.Bank A is a AAA-rated international bank located in the United Kingdom.The bank needs$10,000,000 to finance floating-rate Eurodollar term loans to its clients.It is considering issuing five-year floating-rate notes(FRNs)indexed to LIBOR.Alternatively,the bank could issue five-year fi

14、xed-rate Eurodollar bonds at 10 percent.The FRNs make the most sense for bank A,since it would be using a floating-rate liability to finance a floating-rate asset.In this manner,the bank avoids the interest rate risk associated with a fixed-rate issue.,Company B is a BBB-rated U.S.company.It needs$1

15、0,000,000 to finance a capital expenditure with a five-year economic life.It can issue five-year fixed-rate bonds at a rate of 11.5 percent in the U.S.bond market.Alternatively,it can issue five-year FRNs at LIBOR plus.50 percent.The fixed-rate debt makes the most sense for company B because it lock

16、s in a financing cost.The FRN alternative could prove very unwise should LIBOR increase substantially over the life of the note,and could possibly result in the project being unprofitable.A swap bank familiar with the financing needs of bank A and Company B has the opportunity to set up a fixed-for-

17、floating interest rate swap that will benefit each counterparty and the swap bank.Assume that the swap bank is quoting five-year U.S.dollar interest rate swaps at 10.375-10.50 percent against LIBOR flat.,The key,or necessary condition,giving rise to the swap is that a quality spread differential(QSD

18、)exists.A QSD is the difference between the default-risk premium differential on the fixed-rate debt and the default-risk premium differential on the floating-rate debt.In general,the former is greater than the latter.Financial theorists have offered a variety of explanations for this phenomenon,non

19、e of which is completely satisfactory.Given that a QSD exists,it is possible for each counterparty to issue the debt alternative that is least advantageous for it,then swap interest payments,such that each counterparty ends up with the type of interest payment desired,but at a lower all-in cost than

20、 it could arrange on its own.EXHIBIT 6.2 Calculation of Quality Spread Differentia,EXHIBIT 6.2 diagrams a possible scenario the swap bank could arrange for the two counterparties.From Exhibit 6.2,we see that the swap bank has instructed company B to issue FRNs at LIBOR plus.50 percent rather than th

21、e more suitable fixed-rate debt at 11.25 percent.Company B passes through to the swap bank 10.50%and receives LIBOR in return.In total,Company B pays 10.50%(to the swap bank)plus LIBOR+.50%(to the floating-rate bondholders)and receives LIBOR percent(from the swap bank)for an all-in cost of 11%.10.50

22、%+LIBOR+.50%LIBOR=11%Thus,through the swap,Company B has converted floating-rate debt into fixed-rate debt at an all-in cost.25%lower than the 11.25%fixed rate it could arrange on its own.,Similarly,Bank A was instructed to issue fixed-rate debt at 10%rather than the more suitable FRNs.Bank A passes

23、 through to the swap bank LIBOR and receives 10.375%in return.In total,Bank A pays 10%(to the fixed-rate Eurodollar bondholders)plus LIBOR%(to the swap bank)and receives 10.375%(from the swap bank)for an all-in cost of LIBOR.375%.10%+LIBOR10.375%=LIBOR.375%Through the swap,Bank A has converted fixed

24、-rate debt into floating-rate debt at an all-in cost.375%lower than the floating rate of LIBOR it could arrange on its own.The swap bank also benefits because it pays out less than it receives from each counterparty to the other counterparty.It receives 10.50%(from Company B)+LIBOR(from Bank A)and p

25、ays 10.375%(to Bank A)and LIBOR(to Company B).The net inflow to the swap bank is.125%.,如果QSD存在,则交易双方就可以在需要融资时,分别发行对自己最不利(但对对方而言,却是最有利)的债券,而后互换利息支付方式.这样双方就都获得了自己所期望的利息支付方式,这要比自己设法转换利息支付方式节省成本.下图描述了互换银行安排双方进行互换交易的一种可能情况.图中所用的利率是指每年对10000000美元的名义本金上所需支付的百分率.如图所示,互换银行指示B公司按LIBOR+0.50%发行浮动利率票据,而不是按11.25%

26、的固定利率发行更为合适的负债.然后B公司转给互换银行10.50%,得到LIBOR.B公司总共支付:10.50%+(LIBOR+.50%)得到:LIBOR,因而总成本(利息支出交易成本服务费用)为11%.这样,通过互换,B公司已将浮动利率负债转换成固定利率负债,并且总成本比互换前11.25%的固定利率低了0.25%.,同样,A银行接受指示发行10%的固定利率负债,而不是发行更为适合的浮动利率票据.而后它转给互换银行LIBOR,得到10.375%.A银行总共支付:10%+LIBOR得到:10.375%总成本为:LIBOR-0.375%.通过互换,A银行将固定利率负债转变成浮动利率负债,并且总成本比

27、互换前LIBOR的浮动利率低了0.375%.互换银行也从这笔交易中受益,因为它支付给交易各方的成本低于它所收到的利息.如下图所示,它获得10.5%(从B公司处)加上LIBOR(从A银行处),支付10.375%(给A银行)及LIBOR(给B公司).因而该互换银行每年的净现金流入量是名义本金10000000美元的0.125%.总之,A银行共节省了0.375%,B公司共节省了0.25%,并且互换银行也赚取了0.125%的利差.总利差为0.75%,相当于质量价差的值.因此,如果质量价差存在,它就可以被交易各方分享,从而降低各方的总成本.,在利率互换中,由于交易双方都已借入同种货币,因此它们筹措的本金总

28、额并没有互换.互换的利息支付数额是根据名义本金之和求出的,它可能不等于交易各方真正借入的实际数额.而且,尽管下图描绘了基于名义本金计算的利息支付的总互换,但在实务中,真正发生互换的只有利息的净差额部分.例如,B公司支付给互换银行的利息是按照10000000美元的本金额和10.5%与LIBOR之间的利差来计算的.,EXHIBIT 6.3 Fixed-for-floating interest rate Swap,Issue Eurodollar bonds 10%,Bank A AAAU.K.,Issue FRNs in$LIBOR,Issue domestic Bonds 11.25%,Com

29、pany B BBBU.S.,Issue FRNs in$LIBOR+.50%,Swap Bank,LIBOR,LIBOR,10.375%,10.50%,Net Cash out Flows,An Example of an Interest Rate Swap,Consider this example of a“plain vanilla”interest rate swap.Bank A is a AAA-rated international bank located in the U.K.and wishes to raise$10,000,000 to finance floati

30、ng-rate Eurodollar loans.Bank A is considering issuing 5-year fixed-rate Eurodollar bonds at 10 percent.It would make more sense to for the bank 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 n

31、eeds$10,000,000 to finance an investment with a five-year economic life.Firm B is considering issuing 5-year fixed-rate Eurodollar bonds at 11.75 percent.Alternatively,firm B can raise the money by issuing 5-year floating-rate notes at LIBOR+percent.Firm B would prefer to borrow at a fixed rate.,An

32、Example of an Interest Rate Swap,The borrowing opportunities of the two firms are:,An Example of an Interest Rate Swap,The swap bank makes this offer to Bank A:You pay LIBOR 1/8%per year on$10 million for 5 years and we will pay you 10 3/8%on$10 million for 5 years,Swap Bank,Bank A,An Example of an

33、Interest Rate Swap,Heres whats in it for Bank 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.,Swap Bank,Bank

34、 A,An Example of an Interest Rate Swap,Company B,The swap bank makes this offer to company B:You pay us 10%per year on$10 million for 5 years and we will pay you LIBOR%per year on$10 million for 5 years.,Swap Bank,An Example of an Interest Rate Swap,They can borrow externally at LIBOR+%and have a ne

35、t borrowing position of 10+(LIBOR+)-(LIBOR-)=11.25%which is%better than they can borrow floating.,LIBOR+%,Heres whats in it for B:,%of$10,000,000=$50,000 thats quite a cost savings per year for 5 years.,Swap Bank,Company B,An Example of an Interest Rate Swap,The swap bank makes money too.,%of$10 mil

36、lion=$25,000 per year for 5 years.,LIBOR 1/8 LIBOR=1/8 10-10 3/8=1/8,Swap Bank,Company B,Bank A,An Example of an Interest Rate Swap,Swap Bank,Company B,Bank A,B saves%,A saves%,The swap bank makes%,六、货币互换,考虑下面这个基本的货币互换例子：一家美国跨国公司希望为其德国子公司的资本支出融资。该项目的经济寿命为5年，项目成本为40000000欧元。在现行汇率$1.30/1.00下,母公司在美国资本市

37、场上以8%的利率发行5年期债券,可以融资52000000美元.然后母公司将美元兑换成欧元来支付项目成本.根据预期,德国子公司的这一项目可赚取足够多的钱来偿付每年的美元贷款利息,并能在5年后还清本金.在此情形下唯一的问题就是所产生的长期交易风险.如果在贷款期间,美元相对欧元大幅升值,那么对德国子公司来说,要赚取足够多的欧元来偿付美元贷款就可能变得非常困难.美国母公司还可以采用另一种方法,即在国际债券市场上发行欧元面值的欧洲债券,筹集到40000000欧元(美国母公司也可以在德国资本市场上发行欧元面值的外国债券).然而,如果这家美国跨国公司并不知名,它要以理想的利率借款就非常困难.假设美国母公司能

38、以7%的固定利率借到5年期的40000000欧元,而目前一家具有同等信誉度的知名企业所能借到的利率是6%.,假设一家具有同等信誉度的德国跨国公司存在与此相反的融资需求.它的一家美国子公司需要筹资52000000美元来为其5年期的资本支出融资.德国母公司可以先在德国债券市场上以6%的固定利率融资40000000欧元,然后再兑换成美元以供子公司的资本支出.然而,如果欧元相对美元大幅升值的话,交易风险就会随之产生,在此情况下,美国子公司要赚取足够的美元来偿付贷款本息就可能变得非常困难.德国母公司可以发行欧洲美元债券(或在美国市场上发行扬基债券),但是由于它并不知名,因而借款成本将会是9%的固定利率.

39、,一家熟悉这两家跨国公司筹资需求的互换银行就可以为它们安排货币互换,来解决它们各自的困难,即,要么承受长期的交易风险,要么以较高的利率借款.(为了不再使例子变得复杂,现假设互换银行所收取的买卖互换利率相等,即不存在买卖价差)互换银行会指示各家母公司在各自国家的资本市场上筹资,由于它们在自己国家的市场上有着一定知名度,因此这种品牌效应会带来比较优势.然后再通过互换银行进行贷款本金互换.每年德国子公司汇寄2400000欧元的利息(40000000欧元的6%)给美国母公司,再通过互换银行支付给德国公司来偿付欧元贷款利息.德国跨国公司的美国子公司通过互换银行每年支付4160000美元(52000000

40、美元的8%)的利息给美国跨国公司来偿付美元贷款利息.在贷款到期时,两家子公司将本金汇至各自的母公司,再通过互换银行交换资金来偿付母公司在其国内资本市场上债券发行额.下图描述了这一货币互换过程.,A Basic Currency SwapAs an example of a basic currency swap,consider the following example.A U.S.MNC desire to finance a capital expenditure of its German subsidiary.The project has an economic life of f

41、ive years.The cost of the project is 40,000,000.At the currency exchange rate of$1.30/1,the parent firm could raise$52,000,000 in the U.S.capital market by issuing five-year bonds at 8%.The parent would then convert the dollars to euros to pay the project cost.The German subsidiary would be expected

42、 to earn enough on the project to meet the annual dollar debt service and to repay the pricipal in five years.The only problem with this situation is that a long-term transaction exposure is created.If the dollar approciates substantially against the euro over the loan period,it may be difficult for

43、 the German subsidiary to earn enough in euros to service the dollar loan.,An Example of a Currency Swap,An alternative is for the U.S.parent to raise 40,000,000 in the international bond market by issuing euro-denominated Eurobonds.(The U.S.parent might instead issue euro-denomonated foreign bonds

44、in the German capital market.)However,if the U.S.MNC is not well known,it will have difficulty borrowing at a favorable rate of interest.Suppose the U.S.parent can borrow 40,000,000 for a term of five years at a fixed rate of 7%.The current normal borrowing rate for a well-known firm of equivalent c

45、reditworthiness is 6%.,Assume a German MNC of equivalent creditworthiness has a mirror-image financing need.It has a U.S.subsidiary in need of$52,000,000 to finance a capital expenditure with an economic life of five years.The German parent could raise 40,000,000 in the German bond market at a fixed

46、 rate of 6%and convert the funds to dollar to finance the expenditure.Transaction exposure is created,however,if the euro appreciates substantially against the dollar.In this event,the U.S.subsidiary might have difficulty earning enough in dollars to meet the debt service.The German parent could iss

47、ue Eurodollar bonds,but since it is not well known its borrowing cost would be,say,a fixed rate of 9%.,A swap bank familiar with the financing needs of the two MNCs could arrange a currency swap that would solve the double problem of each MNC,that is,be confronted with long-term transaction exposure

48、 or borrow at a disadvantageous rate.Ths swap bank would instruct each parent firm to raise funds in its national capital market where it is well known and has a comparative advantage because of name or brand recognition.Then the pricinpal sums would be exchanged through the swap bank.Annually,the G

49、erman subsidiary would remit to its U.S.parent 2,400,000 in interest(6%of 40,000,000)to be passed through the swap bank to the German MNC to meet the euro debt service.The U.S.subsidiary of the German MNC would annually remit$4,160,000 in interest(8%of$52,000,000)to be passed through to the swap ban

50、k to the U.S.MNC to meet the dollar debt service.,At the debt retirement date,the subsidiaries would remit the pricipal sums to their respective parents to be exchanged through the swap bank in order to pay off the bond issues in the national capital markets.Exhibit 6.4 demonstrates that there is a