金融衍生工具市场资料.ppt

美国的A公司和B公司有相同的融资要求。A公司需要100万5年期美元资金，愿意支付浮动利率，由于A公司信用等级高,故它可在市场上以12%的固定利率或LIBOR+2.5%的浮动利率筹集到资金；B公司也需要100万5年期的美元资金，愿支付固定利率，由于其信用等级低，它可以14%的固定利率或LIBOR+3.5%的浮动利率筹集到资金。A公司与B公司进行了利率互换交易。  LIBOR+3.5%的浮动利率 A公司 ————————→ B公司 ↓ 付12% ←——————————— ↓LIBOR+3.5% ↓ 13.5%的固定利率 ↓ 放款人 放款人  A公司与B公司进行利率互换后，各自的借款成本见表6-1： 0.5% 0.5% 净节约成本 14% LIBOR+2.5% 不安排互换时的筹资成本 13.5% LIBOR+2% 筹资总成本 -(LIBOR+3.5%) -13.5% 从对方收到 +13.5% +(LIBOR+3.5%) 支付给对方 +(LIBOR+3.5%) +12% 支付给第三方贷款人 B公司 A公司  An Example of a “Plain Vanilla” Interest Rate Swap An agreement by Microsoft to receive 6-month LIBOR pay a fixed rate of 5% per annum every 6 months for 3 years on a notional principal of $100 million Next slide illustrates cash flows  Millions of Dollars LIBOR FLOATING FIXED Net Date Rate Cash Flow Cash Flow Cash Flow Mar.5, 2004 4.2% Sept. 5, 2004 4.8% +2.10 –2.50 –0.40 Mar.5, 2005 5.3% +2.40 –2.50 –0.10 Sept. 5, 2005 5.5% +2.65 –2.50 +0.15 Mar.5, 2006 5.6% +2.75 –2.50 +0.25 Sept. 5, 2006 5.9% +2.80 –2.50 +0.30 Mar.5, 2007 6.4% +2.95 –2.50 +0.45 Cash Flows to Microsoft(See Table 7.1, page 151)  Typical Uses of anInterest Rate Swap Converting a liability from fixed rate to floating rate floating rate to fixed rate Converting an investment from fixed rate to floating rate floating rate to fixed rate  Intel and Microsoft (MS) Transform a Liability(Figure 7.2, page 152) Intel MS LIBOR 5% LIBOR+0.1% 5.2%  Financial Institution is Involved(Figure 7.4, page 153) F.I. LIBOR LIBOR LIBOR+0.1% 4.985% 5.015% 5.2% Intel MS  Intel and Microsoft (MS) Transform an Asset(Figure 7.3, page 153) Intel MS LIBOR 5% LIBOR-0.2% 4.7%  Financial Institution is Involved(See Figure 7.5, page 154) Intel F.I. MS LIBOR LIBOR 4.7% 5.015% 4.985% LIBOR-0.2%  The Comparative Advantage Argument (Table 7.4, page 157) AAACorp wants to borrow floating BBBCorp wants to borrow fix