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按一下以編輯母片標題樣式,按一下以編輯母片,第二層,第三層,第四層,第五層,*,2010 Bloomberg L.P.All rights reserved.,2010 Bloomberg L.P.All rights reserved.,By,Michael Wong,按一下以編輯母片標題樣式,按一下以編輯母片,第二層,第三層,第四層,第五層,*,2010 Bloomberg L.P.All rights reserved.,按一下以編輯母片標題樣式,按一下以編輯母片,第二層,第三層,第四層,第五層,*,2003 Bloomberg L.P.All rights reserved.,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,*,Size of interest rate swap market,In Trillion US,Source BIS,230,169,151,309,309,341(June 09),Size of interest rate swap mar,What is an interest rate swap?,Swaps are exchange of one type of cash flows for another type that is considered to be of equal value.,Interest rate swaps:,A,greement to,exchange fixed interest payments with,floating,(or the opposite)over an agreed period.Payments are based on an agreed principal amount,but principal wont be exchanged,Floating payment could be linked to any reference fixing rate e.g.LIBOR,EURIBOR,HIBOR.,What is an interest rate swap?,Bulletedpage,Structure of Interest Rate Swaps,Exchange of interest payments(cash flows),At agreed intervals(tenor)-semi annual,quarterly etc,Over an agreed period,5yr,10yr,Usually fixed to floating.If one is receiving fixed,means paying floating;so the other party is receiving floating and paying fixed.However,the a swap can also structured in fixed to fixed or float to float,Swaps are traded over the counter(OTC)rather than from the exchange,Based on an agreed notional amount,but no exchange of principal,so no impact on the balance sheets(only P&L).Therefore,theyre classed as off-balance sheet(OBS)instruments.,Floating side is reset periodically off some index,such as 3 month LIBOR,BulletedpageStructure of Inte,Check LBIOR fixing on,Check LBIOR fixing on,Risk Management with Swaps,ABC can create a synthetic FIXED rate liability with a swap(=pay fixed,receive floating),Floating,interest on bond+spread,Fixed interest through swap,Floating,interest through swap,Fixed interest+spread,Bondholders,Floating,LIBOR+spread,Fixed interest,Floating interest,LIBOR,Swap Dealer,ABC,Payments,Receipts,Net payment,ABC issued a 10yr floating rate coupon bond,But,now interest rates are rising and they want to pay fixed,So,they enter into a swap,where they pay fixed,Risk Management with SwapsABC,Ingredients in Interest Rate Swaps,Fixed/floating Coupon,Notional,Effective/value date,Maturity,Tenor,Convention e.g Act/360,Floating index e.g Libor/Euribor,Par swap,Spread,Premium/Market value,DV01,Ingredients in Interest Rate S,Swap Valuation,SWDF for Defaults,Swap Valuation,Customized yield curve ICVS,Customized yield curve ICVS,Create customized yield curve,View stripped rates,Create customized yield curveV,View forward and zero curve,Historical forward curve analysis,View forward and zero curveHis,3 main functions of SWPM,1.Mark to market,2.Pricing a swap,3.Spread calculation,3 main functions of SWPM,Plain Vanilla swap example,Nominal Amount:USD$10,000,000,Effective Date:4/18/07,First Coupon Date:10/18/07,Maturity Date:4/18/08,Payment Frequency:Semi-annual,Day Count:Act/360,Pay Coupon:5%,Receive Coupon:3M LIBOR+50 bp,Payment Frequency:Quarterly,What should be the fair value of this swap?,Plain Vanilla swap exampleNomi,Interest rate derivative demo,Interest rate derivative demo,Historical spread analysis HAS,Historical spread analysis HA,Forward rate matrix FWCM,Forward rate matrix FWCM,
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