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1、INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition10ChapterTenCurrency&InterestRateSwapsChapterObjective:Thischapterdiscussescurrencyandinterestrateswaps,whicharerelativelynewinstrumentsforhedginglong-terminterestrateriskandforeignexchangerisk.ChapterOutli
2、neTypesofSwapsSizeoftheSwapMarketTheSwapBankInterestRateSwapsCurrencySwaps1ChapterOutline(continued)SwapMarketQuotationsVariationsofBasicCurrencyandInterestRateSwapsRisksofInterestRateandCurrencySwapsSwapMarketEfficiencyConcludingPointsAboutSwaps2DefinitionsInas
3、wap,twocounterpartiesagreetoacontractualarrangementwhereintheyagreetoexchangecashflowsatperiodicintervals.Therearetwotypesofinterestrateswaps:Singlecurrencyinterestrateswap“Plainvanilla”fixed-for-floatingswapsareoftenjustcalledinterestrateswaps.Cross-Currencyint
4、erestrateswapThisisoftencalledacurrencyswap;fixedforfixedratedebtserviceintwo(ormore)currencies.3SizeoftheSwapMarketIn1995thenotationalprincipalof:interestrateswapswas$12,810,736,000,000.Currencyswaps$1,197,395,000,000Themostpopularcurrenciesare:U.S.$(34%)¥(23%)
5、DM(11%)FF(10%)£(6%)4TheSwapBankAswapbankisagenerictermtodescribeafinancialinstitutionthatfacilitatesswapsbetweencounterparties.Theswapbankcanserveaseitherabrokeroradealer.Asabroker,theswapbankmatchescounterpartiesbutdoesnotassumeanyoftherisksoftheswap.Asadealer,
6、theswapbankstandsreadytoaccepteithersideofacurrencyswap,andthenlaterlayofftheirrisk,ormatchitwithacounterparty.5AnExampleofanInterestRateSwapConsiderthisexampleofa“plainvanilla”interestrateswap.BankAisaAAA-ratedinternationalbanklocatedintheU.K.whowishestoraise$1
7、0,000,000tofinancefloating-rateEurodollarloans.BankAisconsideringissuing5-yearfixed-rateEurodollarbondsat10percent.Itwouldmakemoresensetoforthebanktoissuefloating-ratenotesatLIBORtofinancefloating-rateEurodollarloans.6AnExampleofanInterestRateSwapFirmBisaBBB-rat
8、edU.S.company.Itneeds$10,000,000tofinanceaninvestmentwithafive-yeareconomiclife.FirmBisconsideringissuing5-yearfixed-rateEurodollarbondsat11.75percent.Alternatively,f
