国际财务管理 英文课件Chap014.pptVIP

TheQualitySpreadDifferential（质量价差）TheQualitySpreadDifferential(QSD)representsthepotentialgainsfromaswapthatcanbesharedbetweenthecounterpartiesandtheswapbank.（质量价差是指交易双方和互换银行能在互换中获取的潜在收益）Thereisnoreasontopresumethatthegainswillbesharedequally.（收益的分配不可能是完全等价的）TheQSDiscalculatedasthedifferencebetweenthedifferences.（QSD的计算是利率报酬差之间的差额）$€A$7%€6%B$8%€5%QSD1%––1%=2%VariationsofBasicCurrencyandInterestRateSwaps（基本利率互换与基本货币互换的种类）Currencyswaps:Fixedforfixed（固定利率对固定利率货币互换）Fixedforfloating（固定利率对浮动利率货币互换）Floatingforfloating（浮动利率对浮动利率货币互换）AmortizingInterestrateswaps:Zero-forfloating（零利率对浮动利率互换）Floatingforfloating（浮动利率对浮动利率互换）Foraswaptobepossible,aQSDmustexist.Beyondthat,creativityistheonlylimit.（互换产生的条件是要有质量价差。除此之外，还要有可创造性）RisksofInterestRate

andCurrencySwaps（利率互换与货币互换的风险）Interestraterisk（利率风险）Interestratesmightmoveagainsttheswapbankafterithasonlygottenhalfofaswaponthebooks,orifithasanunhedgedposition.（指在互换银行还没来得及将利率互换转让给参与交易的另一方之前，利率就发生了不利变化的风险）Basisrisk（基准风险）Basisriskmayoccurifthefloatingratesofthetwocounterpartiesarenotpeggedtothesameindex.（指交易双方的浮动利率没有与同一种指数挂钩）Exchangeraterisk（汇率风险）Intheexampleofacurrencyswapgivenearlier,theswapbankwouldbeworseoffifthepoundappreciated.（在前面已给的货币互换的例子中，英镑升值将使互换银行的损失加大）RisksofInterestRate

andCurrencySwaps(continued)（续）Creditrisk（信用风险）Thisisthemajorriskfacedbyaswapdealer,theriskthatacounterpartywilldefaultonitsendoftheswap.（互换交易商所面临的的主要风险，指交易方违约的可能性）Mismatchrisk（不匹配风险）It’shardtofindacounterpartythatwantstoborrowtherightamountofmoneyfortherightamountoftime.（指互换银行为交易一方寻找合适的另一方时遇到的困难）Sovereignrisk（主权风险）Theriskthatacountrywillimposeexchangeraterestrictionsthatwillinterferewithperformanceontheswap.（指国家对互换交易中的货币做出汇率限制的可能性）ValuationofanExistingSwap（互换的定价问题）Aswapisaderivativesecuri