7国际金融市场.ppt

互换中介 商业银行 投资银行 它们： 充当互换中介商 充当互换造市商 寻求帐面对应 互换交易商 互换交易商承担的主要风险 市场风险 信用风险 不对应风险 政治风险 互换的其他问题 互换合约的标准化问题 互换的最小规模 利率的天数计算基础 互换的衍生产品，如互换期权、股票指数互换等 互换的监管 股票指数互换 投资者 银 行 向投资者支付FTSE的上涨幅度 +10bp 向银行支付FTSE下跌的幅度-10bp 强调：利率与股价走势呈反向变动特点 股指上涨与下跌的幅度以百分比表示 支付6月期LIBOR 房地产互换交易实例(2007年2月27日) 荷兰银行(ABN Amro)和香港新鸿基(Sun Hung Kai Financial)基于香港住宅市场的价格,进行了亚洲第一笔房地产互换交易. 运作方式:荷兰银行从新鸿基金收到的是HKU-HRPI(一种衡量香港住宅价格的指数)的年度变动率,荷兰银行则根据HIBOR向新鸿基支付固定利率. 通过该交易,荷兰银行将挤身香港房地产市场,而新鸿基金融实际上售出了房地产资产. 该交易经纪人:GFI Colliers * Fixed income portfolio Investor Swap dealer Fixed for equity Swap Interest income Index return Interest rate % converts fixed income to equity return Gain equity exposure at lower cost than cash transactions Guarantees index outperformance if fixed income exceeds swap coupon Stock portfolio Investor Swap dealer Equity for Floating Swap Stock return Index return Floating rate % Swaps stock portfolio return for floating rate - Floating rate typically LIBOR based Index return: - SP 500, Nikkei 225, Dax, FT-SE100 Stock portfolio Investor Swap dealer Equity for Fixed Swap Stock return Index return Fixed rate % Swaps stock portfolio return for fixed income Hedges a stock portfolio for the tenor of the swap Alternative to selling index futures or shorting stock - Floating rate typically LIBOR based Index return: - SP 500, Nikkei 225, Dax, FT-SE100 A Swap dealer Chooser Swaps Max[ SP, Nikkei] coupon Equity return pegged to greater of the two indices Higher swap coupon A Swap dealer Outperformance Swaps Nikkei SP Two equity legs Applications: Take view on relative performance of equity markets Change stock portfolio from one equity market to another US Stock portfolio A Swap dealer Rainbow Swaps 0.5 SP+ 0.5Nikkei Coupon Equity leg combines returns from several indices Used for hedging aggregate equity portfolios US portfolio Japan portfolio * Credit Default Swaps Source: ISDA * Mechanics of Credit Default Swaps Synthetic transfer of credit risk If Credit