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1、Multinational Financial Management（跨国公司财务管理）ch09 Interest Rate Derivatives and SwapsINTEREST RATE AND CURRENCY SWAPSI.INTEREST RATE AND CURRENCY SWAPSA.INTEREST RATE SWAPS1.Definitionan agreement between 2 parties toexchange US$interest payments for a specific maturity on an agreed notional amount.H
2、OW THE CLASSIC SWAP WORKS a.Notional principal:a reference amount used only to calculate interest expense but never repaid.b.Maturities:less than 1 to over 15 years THE CLASSIC SWAP2.Typesa.Coupon swapb.Basis swap3.LIBOR:the most important reference rate in a swap4.Swap Usage:To reduce risk potentia
3、l and costs.THE CURRENCY SWAPB.Currency Swaps1.Definitiontwo parties exchange foreign currency-denominated debt at periodic intervals.2.Purpose:similar to parallel loanII.INTEREST RATE FORWARDS AND FUTURESForward and futures contracts:-three types used to manage interest rate riskA.Forward forwardsB
4、.Forward rate agreementsC.Eurodollar futuresINTEREST RATE FORWARDS AND FUTURESForward forwards1.a contract that fixes an interest rate today on a future loan or deposit.2.Contract conditions:-specific interest rate-principal amount of future loan-start and ending dates of future interest rate period
5、INTEREST RATE FORWARDS AND FUTURESForward rate agreements(FRAs)1.cash-settled2.over-the-counter forward contract pany fixes an interest rate applied to a specified future interest period on a notional amount.INTEREST RATE FORWARDS AND FUTURESEurodollar Futures1.A cash-settled futures contract for a
6、3-month eurodollar deposit paying LIBOR2.Contracts traded on:a.Chicago Mercantile Exchange b.London International Financial Futures Exchange c.Singapore International Monetary ExchangeIII.STRUCTURED NOTESInterest-bearing securities whose interest payments are determined by reference to a formula set in advance and adjusted on specific reset dates.STRUCTURED NOTESInverse Floatersa floating-rate instrument whose interest rate moves inversely with market interest rates.