利率互換與貨幣互換

Chapter9InterestRateandCurrencySwaps利率互換與貨幣互換金融風(fēng)險(xiǎn)——匯率風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)和價(jià)格風(fēng)險(xiǎn)，都會(huì)使公司的現(xiàn)金流存在風(fēng)險(xiǎn)?，F(xiàn)在人們已經(jīng)越來(lái)越重視對(duì)利率風(fēng)險(xiǎn)的識(shí)別、度量和管理9-39.1DefineInterestRateRisk 9.1.1首要風(fēng)險(xiǎn)：債務(wù)風(fēng)險(xiǎn)Allfirms–domesticormultinational,smallorlarge,leveragedorunleveraged–aresensitivetointerestratemovementsinonewayoranother.Thesinglelargestinterestrateriskofthenonfinancialfirm(ourfocusinthisdiscussion)isdebtservice;themulticurrencydimensionofinterestrateriskfortheMNEisofseriousconcern.

跨國(guó)公司應(yīng)特別重視利率風(fēng)險(xiǎn)的多幣種性9-4 9.1.2次要風(fēng)險(xiǎn)：所持有的利率敏感性證券ThesecondmostprevalentsourceofinterestrateriskfortheMNEliesinitsholdingsofinterest-sensitivesecurities

持有的利率敏感性證券.Unlikedebt,whichisrecordedontheright-handsideofthefirm’sbalancesheet資產(chǎn)負(fù)債表,themarketablesecuritiesportfolio市場(chǎng)化證券組合

ofthefirmappearsontheleft-handside.Marketablesecuritiesrepresentpotentialearningsforthefirm.

9.1.3基準(zhǔn)利率無(wú)論是資產(chǎn)負(fù)債表的左方還是右方，利率計(jì)算中的基準(zhǔn)利率都應(yīng)得到足夠的重視。基準(zhǔn)利率（referencerate），是在標(biāo)準(zhǔn)報(bào)價(jià)、貸款協(xié)議和金融衍生品估價(jià)中所采用的利率。倫敦銀行間拆借利率（LIBOR:TheInterbankInterestRate）是至今為止使用最為廣泛的基準(zhǔn)利率。P236EXHIBIT9.2美元利率9-6Exhibit9.2U.S.Dollar-DenominatedInterestRates(February2004)9-7

9.1.4信用風(fēng)險(xiǎn)和重新定價(jià)風(fēng)險(xiǎn)Priortodescribingthemanagementofthemostcommoninterestratepricingrisks,itisimportanttodistinguishbetweencreditriskandrepricingrisk.Creditrisk信用風(fēng)險(xiǎn),sometimestermedroll-overrisk展期風(fēng)險(xiǎn),isthepossibilitythataborrower’screditworthiness,atthetimeofrenewingacredit（重新授信）,isreclassifiedbythelender(resultinginchangestofees,interestrates,creditlinecommitments

信用額度orevendenialofcredit拒絕貸款).Repricingrisk重新定價(jià)風(fēng)險(xiǎn)

istheriskofchangesininterestratescharged(earned)atthetimeafinancialcontract’srateisreset.9-89.2ManagementofInterestRateRisk9.2.1管理的兩難困境：風(fēng)險(xiǎn)與收益的權(quán)衡Beforetheycanmanageinterestraterisk,treasurersandfinancialmanagersofalltypesmustresolveabasicmanagementdilemma:thebalancebetweenriskandreturn（風(fēng)險(xiǎn)和收益的權(quán)衡）.strategy1/strategy2/strategy3.(onP235)

各自的利弊？策略1，

它保證了公司以已知的利率獲得了三年所需的資金；將公司償付債務(wù)所需現(xiàn)金流的可預(yù)知性最大化；消除了借款期間利率上升的風(fēng)險(xiǎn)，避免了借款成本的增加。

但它在一定程度上使公司喪失了在未來(lái)利率下降時(shí)承擔(dān)較低融資成本的可能性。策略二，

給公司提供了策略1所缺乏的彈性。 但引入了重新定價(jià)風(fēng)險(xiǎn)。

如果LIBOR在第二年或第三年發(fā)生劇烈波動(dòng)，則這些波動(dòng)會(huì)完全被轉(zhuǎn)移到債務(wù)人身上。浮動(dòng)利率中的溢價(jià)會(huì)保持不變，因?yàn)橐鐑r(jià)反應(yīng)的是借款人被敲定的三年期信用等級(jí)。策略三，

具有更大的彈性和風(fēng)險(xiǎn)。首先公司將在收益曲線的短期階段進(jìn)行借款。如果收益曲線的斜率為正，則策略三的基準(zhǔn)利率會(huì)更低，但收益曲線短期階段的波動(dòng)性也會(huì)更大。與較長(zhǎng)期的利率相比，它對(duì)短期消息的反應(yīng)更明顯。

策略3使借款者面臨信用重估時(shí)其信用等級(jí)發(fā)生巨大變化的風(fēng)險(xiǎn)。因此，策略3不適合那些財(cái)務(wù)狀況差的公司。Treasury（財(cái)務(wù)部門(mén)）hastraditionallybeenconsideredaservicecenter(costcenter)andisthereforenotexpectedtotakepositionsthatincurriskintheexpectationofprofit(treasurymanagementpracticesarerarelyevaluatedasprofitcenters).Treasurymanagementpracticesarethereforepredominantlyconservative（謹(jǐn)慎的；穩(wěn)當(dāng)?shù)模?butopportunitiestoreducecostsoractuallyearnprofitsarenottobeignored.9-13Bothforeignexchangeandinterestrateriskmanagementmustfocusonmanagingexistingoranticipatedcashflowexposuresofthefirm.匯率風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn)管理的重點(diǎn)都是對(duì)現(xiàn)存和預(yù)期的公司現(xiàn)金流風(fēng)險(xiǎn)的管理。Asinforeignexchangemanagementexposure,thefirmcannotundertakeinformedmanagementorhedgingstrategieswithoutformingexpectations–adirectionaland/orvolatilityview–ofinterestratemovements.Fortunately,interestratemovementshavehistoricallyshownmorestabilityandlessvolatilitythanforeignexchangeratemovements.Oncemanagementhasformedexpectationsaboutfutureinterestratelevelsandmovements,itmustchoosetheappropriateimplementation,apaththatincludestheselectiveuseofvarioustechniquesandinstruments.9-14ManagementofInterestRateRisk9.2.2Trident公司的浮動(dòng)利率貸款管理Asanexample,TridentCorporationhastakenoutathree-year,floating-rateloanintheamountofUS$10million(annualinterestpayments).CASEP238、239Somealternativesavailabletomanagementasameanstomanageinterestrateriskareasfollows:Refinancing再融資Forwardrateagreements遠(yuǎn)期利率協(xié)議Interestratefutures利率期貨Interestrateswaps利率互換9-15ManagementofInterestRateRisk9.2.3遠(yuǎn)期利率協(xié)議Aforwardrateagreement(FRA)isaninterbank-tradedcontracttobuyorsellinterestratepaymentsonanotionalprincipal。是一項(xiàng)購(gòu)買(mǎi)或出售基于名義本金的利率支付的銀行間交易合約.Thesecontractsaresettledincash.ThebuyerofanFRAobtainstherighttolockinaninterestrateforadesiredtermthatbeginsatafuturedate.一份FRA的購(gòu)買(mǎi)者獲得了在未來(lái)某一時(shí)期開(kāi)始將利率鎖定在其想要的水平上的權(quán)利。ThecontractspecifiesthattheselleroftheFRAwillpaythebuyertheincreasedinterestexpenseonanominalsum

(thenotionalprincipal)ofmoney基于名義本金的利息支出增加值

ifinterestratesriseabovetheagreedrate,butthebuyerwillpaythesellerthedifferentialinterestexpenseifinterestratesfallbelowtheagreedrate.合約具體規(guī)定，如果利率上升到協(xié)議利率以上的水平，則FRA的賣(mài)方要向買(mǎi)方支付一個(gè)基于一定數(shù)量的貨幣（名義本金）的利息支出增加值。若利率降至協(xié)議利率以下，買(mǎi)方將會(huì)向賣(mài)方支付利息支出的差值。9-17ManagementofInterestRateRisk9.2.4利率期貨Unlikeforeigncurrencyfutures,interestratefutures（利率期貨）

arerelativelywidelyusedbyfinancialmanagersandtreasurersofnonfinancialcompanies.Theirpopularitystemsfromtherelativelyhighliquidity流動(dòng)性oftheinterestratefuturesmarkets,theirsimplicity簡(jiǎn)易性

inuse,andtheratherstandardizedinterest-rateexposures標(biāo)準(zhǔn)化的利率風(fēng)險(xiǎn)

mostfirmspossess.ThetwomostwidelyusedfuturescontractsaretheEurodollarfutures

歐洲美元期貨tradedontheChicagoMercantileExchange(CME)andtheUSTreasuryBondFutures

美國(guó)國(guó)債期貨oftheChicagoBoardofTrade(CBOT).9-18ManagementofInterestRateRiskInterestratefuturesstrategiesforcommonexposures

（P242EXHIBIT9.6）

Payinginterestonafuturedate(sellafuturescontract/shortposition)未來(lái)支付利息Ifratesgoup,thefuturespricefallsandtheshortearnsaprofit(offsetslossoninterestexpense)Ifratesgodown,thefuturespricerisesandtheshortearnsalossEarninginterestonafuturedate(buyafuturescontract/longposition)未來(lái)收獲利息Ifratesgoup,thefuturespricefallsandtheshortearnsalossIfratesgodown,thefuturespricerisesandthelongearnsaprofit 利率期貨有兩種：一種叫國(guó)債期貨，又叫長(zhǎng)期利率期貨；一種叫票券期貨，又叫短期利率期貨；顧名思義，利率期貨是拿債券票券做標(biāo)的物的期貨契約，當(dāng)市場(chǎng)利率上升時(shí)，債券、票券會(huì)全面跌價(jià)，標(biāo)的物跌價(jià)，期貨合約價(jià)格當(dāng)然跟著跌，因此，利率上升將造成利率期貨合約價(jià)格下降。

9-20ManagementofInterestRateRisk9.2.5利率互換Swaps

arecontractualagreementstoexchangeorswapaseriesofcashflows.交換一些列現(xiàn)金流的合約安排。這些現(xiàn)金流是與債務(wù)相關(guān)的利息支付。Thesecashflowsaremostcommonlytheinterestpaymentsassociatedwithdebtservice,suchasthefloating-rateloandescribedearlier.Iftheagreementisforonepartytoswapitsfixedinterestratepaymentsforthefloatinginterestratepaymentsofanother,itistermedaninterestrateswap利率互換Iftheagreementistoswapcurrenciesofdebtserviceobligation,itistermedacurrencyswap貨幣互換Asingleswapmaycombineelementsofbothinterestrateandcurrencyswaps9-21ManagementofInterestRateRiskTheswapitselfisnotasourceofcapital,butratheranalterationofthecashflowsassociatedwithpayment.Whatisoftentermedtheplainvanillaswap普通型互換

isanagreementbetweentwopartiestoexchangefixed-rateforfloating-ratefinancialobligations.將固定利率支付責(zé)任轉(zhuǎn)變?yōu)楦?dòng)利率支付責(zé)任。Thistypeofswapformsthelargestsinglefinancialderivativemarket單種金融衍生品市場(chǎng)

intheworld.9-22ManagementofInterestRateRiskThetwopartiesmayhavevariousmotivationsforenteringintotheagreement.Averycommonsituationisasfollows:Acorporateborrowerofgoodcreditstandinghasexistingfloating-ratedebtservicepayments.Theborrower,mayconcludethatinterestratesareabouttorise.

Inordertoprotectthefirmagainstrisingdebt-servicepayments,thecompany’streasurymayenterintoaswapagreementtopayfixed/receivefloating支付固定利率/收入浮動(dòng)利率.Thismeansthefirmwillnowmakefixedinterestratepaymentsandreceivefromtheswapcounterpartyfloatinginterestratepayments.9-23ManagementofInterestRateRiskSimilarly,afirmwithfixed-ratedebtthatexpectsinterestratestofallcanchangefixed-ratedebttofloating-ratedebt.Inthiscase,thefirmwouldenterintoapayfloating/receivefixed支付浮動(dòng)利率/收入固定利率

interestrateswap.Interestrateswapsarealsoknownascouponswaps息票互換。 因?yàn)槔驶Q的現(xiàn)金流是應(yīng)用于一定量資金（理論本金notationalprincipal）的利率。因此，它又被稱(chēng)為息票互換。

9-25ManagementofInterestRateRisk9.2.6利率互換的執(zhí)行:比較優(yōu)勢(shì)ImplementationoftheInterestRateSwap:Unileverborrowsatthefixedrateof7%perannum,andthenentersintoareceivefixed/payfloatinginterestrateswapwithCitibank.UnileveragreesinturntopayCitibankafloatingrateofinterest;one-yearLIBOR.XeroxborrowsatthefloatingrateofLIBORplus3/4%,andthenswapsthepaymentswithCitibank.Citibankagreestoservicethefloating-ratedebtpaymentsonbehalfofXerox.XeroxagreesinturntopayCitibankafixedrateofinterest,7.875%,enablingXeroxtomakefixed-ratedebtservicepayments–whichitprefers–butatalowercostoffundsthanitcouldhaveacquiredonitsown.9-26Exhibit9.8ComparativeAdvantageandStructuringaSwapAgreement9-279.3CarltonCorporation:

SwappingtoFixedRates換成固定利率

貨幣互換TridentCorporation’sexistingfloating-rateloanisnowthesourceofsomeconcern.Recenteventshaveledmanagementtobelievethatinterestrates,specificallyLIBOR,mayberisinginthethreeyearsahead.Astheloanisrelativelynew,refinancingisconsideredtooexpensivebutmanagementbelievesthatapayfixed/receivefloatinginterestrateswapmaybethebetteralternativeforfixingfutureinterestratesnow.Thisswapagreementdoesnotreplacetheexistingloanagreement;itsupplementsitNotethattheswapagreementappliesonlytotheinterestpaymentsontheloanandnottheprincipalpayments.9-28ManagementofInterestRateRiskSinceallswapratesarederivedfromtheyieldcurveineachmajorcurrency,thefixed-tofloating-rateinterestrateswapexistingineachcurrencyallowfirmstoswapacrosscurrencies.Theusualmotivationforacurrencyswapistoreplacecashflowsscheduledinanundesiredcurrencywithflowsinadesiredcurrency.Thedesiredcurrencyisprobablythecurrencyinwhichthefirm’sfutureoperatingrevenues(inflows)willbegenerated.Firmsoftenraisecapitalincurrenciesinwhichtheydonotpossesssignificantrevenuesorothernaturalcashflows(asignificantreasonforthisbeingcost).9-29TridentCorporation:SwappingFloatingDollarsintoFixed-RateSwissFrancsAfterraisingUS$10millioninfloating-ratedebt,andsubsequentlyswappingintofixed-ratepayments,managementdecidesitwouldprefertomakeitspaymentsinSwissfrancs.SincethecompanyhasanaturalinflowofSwissfrancs(salescontract)itmaydecidetomatchthecurrencyofitsdebtdenominationtoitscashflowswithacurrencyswap.Tridentnowentersintoathree-yearpaySwissfrancsandreceiveUSdollarscurrencyswap.9-30TridentCorporation:SwappingFloatingDollarsintoFixed-RateSwissFrancsThethree-yearcurrencyswapenteredintobyTridentisdifferentfromtheplainvanillainterestrateswap普通型利率互換

describedintwoimportantways:Thespotexchangerateineffectonthedateoftheagreementestablisheswhatthenotionalprincipalisinthetargetcurrency.Thenotionalprincipalitselfispartoftheswapagreement(becauseinacurrencyswapthenotionalprincipalsaredenotedintwocurrencies,theexchangeratebetweenwhichislikelytochangeoverthelifeoftheswap)9-31TridentCorporation:UnwindingSwaps（終止）退出互換合約Aswithalloriginalloanagreements,itmayhappenthatatsomefuturedatethepartnerstoaswapmaywishtoterminatetheagreementbeforeitmatures.Unwinding

acurrencyswaprequiresthediscountingoftheremainingcashflowsundertheswapagreementatcurrentinterestrates,thenconvertingthetargetcurrency(Swissfrancs)backtothehomecurrency(USdollars)ofthefirm.9-32CounterpartyRisk交易對(duì)手風(fēng)險(xiǎn)Counterpartyriskisthepotentialexposureanyindividualfirmbearsthatthesecondpartytoanyfinancialcontractwillbeunabletofulfillitsobligationsunderthecontract’sspecifications.Counterpartyriskhaslongbeenoneofthemajorfactorsthatfavortheuseofexchange-tradedratherthanover-the-counter