interest rate and foreign currency swaps

《interest rate and foreign currency swaps》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、Chapter21Chapter21InterestRateandForeignCurrencySwapsIn2002,only18%ofWal-Mart’soutstandingdebthadpaymentsthatfluctuatedwiththeshort-terminterestrate.By2003,ithadincreasedtheexposureofitsoutstandingdebttoshort-terminterestratestomorethan40%byengagingininterestrateswaps.In2011,Chineseauthoritiesanno

2、uncedthatcertainbankswouldbeallowedtooffercurrencyswapstotheircorporateclients.Thesecorporationscannowissuedollardebtandswapintorenminbidebt,orviceversa.Thischapterexaminesinterestrateandcurrencyswaps,whichareadditionalinstru-mentsforyourriskmanagementtoolkit.Wehavepreviouslydiscussedanumberofways

3、ofmanagingafirm’scurrencyrisksusingderivativesecurities,includingforwardcontractsinChapter3andfuturesandoptionsinChapter20.Thematuritiesfortheseinstrumentsaresomewhatlimited,whereasthematuritiesintheswapmarketsextendto30years.Wehavealsonotedthatexchangerateexposurescanbethoughtofasarisingfromagene

4、ralmis-matchbetweenassetsandliabilitiesdenominatedindifferentcurrencies.Wewillseehowinterestrateswapsallowfirmstochangethenatureoftheirliabilitiesforagivencurrencyfromfixedtofloatinginterestratesorfromfloatingtofixedinterestrates.Currencyswapscanbeusedtochangethecurrencyofdenominationofafirm’sliab

5、ilities.Changessuchasthesecanbedesirableasthenatureofafirm’sbusinesschanges.Swapsalsoallowfirmstoseekoutlow-costfinancingwithoutsacrificingtheirpreferredtypeofdebt.Section21.1introducesthebasicideasassociatedwithswapsanddiscussestheimpres-sivesizeoftheswapmarket.Section21.2providesadetailedanalysi

6、softhecashflowsofinterestrateswaps,andSection21.3providesadetailedanalysisofthecashflowsofcurrencyswaps.21.1INTRODUCTIONTOSWAPSSwapsareagreementsbetweentwocounterpartiestoexchangeasequenceofcashflows.Inthemodernswapmarket,over-the-counterdealersatmajorbanksquotebid–askspreadsatwhichtheyarewillingt

7、odoeithersideofaswap.Thecashflowsofinterestrateandcurrencyswapsarestructuredlikethecashflowsofstandardbonds,andthematuritiesextendfrom1yearto30yearsandevenmore.Manyinternationalfinancialmanagersnowactivelyuseswap