利率互换与货币互换.ppt

Chapter 9
Interest Rate and Currency Swaps
利率互换与货币互换
金融风险——汇率风险、利率风险和价格风险,都会使公司的现金流存在风险。
现在人们已经越来越重视对利率风险的识别、度量和管理
9-3
Define Interest Rate Risk
:债务风险
All firms – domestic or multinational, small or large, leveraged or unleveraged – are sensitive to interest rate movements in one way or another.
The single largest interest rate risk of the nonfinancial firm (our focus in this discussion) is debt service;
the multicurrency dimension of interest rate risk for the MNE is of serious concern.
跨国公司应特别重视利率风险的多币种性
9-4
次要风险:所持有的利率敏感性证券
The second most prevalent source of interest rate risk for the MNE lies in its holdings of interest-sensitive securities 持有的利率敏感性证券.
Unlike debt, which is recorded on the right-hand side of the firm’s balance sheet 资产负债表, the marketable securities portfolio 市场化证券组合 of the firm appears on the left-hand side.
Marketable securities represent potential earnings for the firm.
基准利率
无论是资产负债表的左方还是右方,利率计算中的基准利率都应得到足够的重视。
基准利率(reference rate),是在标准报价、贷款协议和金融衍生品估价中所采用的利率。
伦敦银行间拆借利率(LIBOR: The Interbank Interest Rate) 是至今为止使用最为广泛的基准利率。
P236 EXHIBIT 美元利率
9-6
Exhibit . Dollar-Denominated Interest Rates (February 2004)
9-7
信用风险和重新定价风险
Prior to describing the management of the mon interest rate pricing risks, it is important to distinguish between credit risk and repricing risk.
Credit risk信用风险, sometimes termed roll-over risk展期风险, is the possibility that a borrower’s credit worthiness, at the time of renewing a credit(重新授信), is reclassified by the lender (resulting in changes to fees, interest rates, credit mitments 信用额度or even denial of credit 拒绝贷款).
Repricing risk重新定价风险 is the risk of changes in interest rates charged (earned) at the time a financial contract’s rate is reset.
9-8
Management of Interest Rate Risk
管理的两难困境:风险与收益的权衡
Before they can manage interest rate risk, treasurers and financial managers of all types must resolve a basic management dilemma: the balance between risk