home Other disciplines books Mіzhnarodnі rozrahunki that valyutnі operatsії - Savluk M.І.

Mіzhnarodnі rozrahunki that valyutnі operatsії - Savluk M.І.

12.2. Swap market analysis kapіtalіv

12.2.1. Ponyattya interest svopіv, їh Vidi that feature

Protsentnі swaps (swaps market analysis abo kapіtalіv) Je pohіdnim іnstrumentom operatsіy deposit market analysis. The interest rate swaps osnovі lezhit deposit operatsіya, tobto zaluchennya abo rozmіschennya koshtіv on mіzhnarodnih Rink pennies that kapіtalu.

Yak has zaznachalosya, interest rizik note vischy, denote dovshy termіn depozitnoї operatsії. Protsentnі swaps give zmogu hedzhuvati interest rizik, scho abo vinikaє at zaluchennі rozmіschennі koshtіv one-of-line od 15 rokіv. Zvazhayuchi on dovgostrokovu nature Tsey іnstrument vikoristovuєtsya perevazhno kapіtalіv on market analysis (market analysis on tobto dovgostrokovih deposit operatsіy).

Interest rate swaps - tse obmіn mіzh EYAD abo bіlshoyu kіlkіstyu storіn interest payments abo nadhodzhennyami.

Yak zaznacheno vische in osnovі swap lezhit deposit operatsіya. Banks, scho zdіysnyuyut operatsії іz zaluchennya that rozmіschennya koshtіv, mozhut obmіnyatisya interest payments, scho s viplivayut їhnіh zobov'yazan for a loan. Napriklad, banks and that in toil zobov'yazannya for interest payments for loans for the amount of $ 1 million. US termіnom 10 rokіv (ale for rіznimi interest rates). Over the minds vzaєmnoї zaіnteresovanostі stink mozhut uklasti favor obmіn about interest payments. In tsomu rozdіlі mi rozglyanemo osoblivostі that mehanіzm zdіysnennya such obmіnu.

Protsentnі swaps peredbachayut vzaєmovigіdny obmіn zobov'yazannyami for borgovimi іnstrumentami abo Interest income od aktivіv.

Vazhlivoyu peredumovoyu zdіysnennya interest rate swaps Je zbіg strokіv that sum depozitіv scho lie osnovі swap іnshoyu obov'yazkovoyu minds Yea those scho depozitnі operatsії zdіysnyuvatisya toil in th odnіy tіy samіy valyutі.

Je dosit bagato rіznovidіv interest svopіv, ale in danomu rozdіlі mi rozglyanemo two naybіlsh poshirenі їh VD: Key interest rate swap is the interest rate swaps Zi zmіnnoyu bazoyu narahuvannya rates.

Key interest rate swap (plain vanilla) yavlyaє him obmіn fіksovanoyu payments for interest rates on platezhі for plavayuchoyu rates.

Yak vіdomo, Participants fіnansovogo Rinku toil rіznі minds access to resursіv, vartіst yakih in particular cutaneous vipadku deposits od rating that reputatsії pozichalnika. Fіnansovі place the s vischim rated toil zmogu pozichati resources for nizhchimi rates, and to market analysis fіksovanih yak, so i plavayuchih rates. Prote Mauger article so scho minds of s rinkіv truncated taki Je bіlsh privablivimi. For pozichalnikіv s nizhchim rated by market makers kotiruvatimut rates scho mіstyat bіlshu premіyu for rizik, tobto rates will vischimi for vsіma views pozik, Ale znovu Mauger article, scho tsya rizik Premia for not bude odnakovoyu at kotiruvannі rates for vsіma borgovimi іnstrumentami.

Rozglyanemo specific butt. Banks and that in kotiruyut takі rates for loans in amerikanskih Dolar:

Yak can be seen s guidance danih, Bank A Got absolutely perevagu at the market rates fіksovanih yak, so i plavayuchih scho daє zmogu zrobiti visnovok scho credit ratings to A vischy for rating banks in. Ale mi bachimo takozh, scho on market analysis plavayuchih interest rates by banks in kotiruyut porіvnyano vigіdnіshі rate (vіdriv od rates scho kotiruyut pozichalnikam s rating maintained upstream, uniquely Mensch) tobto bank in Got the Same vіdnosnu perevagu tsomu on market analysis. Zrozumіlo, scho in danomu razі bank A vigіdnіshe zaluchati resources pid fіksovanu bet on the Same to scho tsomu Rinku vіn Got nabagato Krashchi minds nіzh competitors (Nashomu prikladі rіznitsya becoming 2%, abo 200 bp). The Bank vigіdnіshe zaluchati resources pid plavayuchu rate (rіznitsya becoming deprivation 80 bp). Ale Mauger article so scho Bank A rozrahovuє padіnnya on interest rates, in addition zaіnteresovany zaluchennі resursіv pid plavayuchu rate; The Bank, in its Cherga, oderzhuє dohіd od rozmіschenih for fіksovanoyu koshtіv i bet not hotіv bi narazhatisya on interest rizik at zaluchennі resursіv pid plavayuchu rate. In danomu razі banks and that in dotsіlno Bulo b zdіysniti Interest rate swaps: skin іz bankіv zaluchaє resources on that market analysis, de Yomou kotiruyut vigіdnіshі minds and potіm obmіnyuyutsya interest payments. Tobto Bank A pozichaє Costa pid fіksovanu rate swap for ale viplachuє protsentnі platezhі for plavayuchoyu rates and oderzhuє - for fіksovanoyu. The Bank, in its Cherga, zaluchaє resources pid plavayuchu rate swap for ale splachuє fіksovanu bet that oderzhuє plavayuchu.

Slіd zauvazhiti scho Leather Bank Nese vіdpovіdalnіst to the creditor for svoїm borgovim zobov'yazannyam Square od of Quality vikonannya zobov'yazan counterparty for swaps. Yakscho rotate to hover butt, then oznachaє Tse, scho Bank A for whether yakih minds Got splachuvati vіdsotki for fіksovanoyu rate of 6.5%, Square od of chi bude vikonuvati Bank interest rate swaps in the minds (kompensuvati bank A platezhі for fіksovanoyu rate) . In his Cherga banking zobov'yazany splachuvati rate of LIBOR + 160 bp.

Already nagoloshuvalosya to ensure scho Got Booty swap vigіdnim for oboh storіn. Krіm of scho banks gain access to Bazhanov for skin іnstrumentu, stink slit th win Vigoda, more splachuvatimut for Tsey іnstrument less then, nіzh od them vimagaє rinok.

Rіznitsya mіzh interest rates on bankіv rіznih Rink odnakovoyu not Je (in Nashomu prikladі Won becoming 200 bp at the market fіksovanih rates 80 bp that - at the market plavayuchih). Rіznitsya, yak viplivaє s pozitsіy storіn on rіznih Rink, nazivaєtsya yakіsny spread. In Nashomu prikladі dorіvnyuє Won: 200 bp - 80 bp = = 120 bp (tobto yakіsny spread Je vіdobrazhennyam vіdnosnoї perevagi). Yakscho bude swap zdіysneno without poserednikіv, the Leather Bank Got vigrati od swap 60 bp (120/2). Tobto rezultatі swap in dermal s bankіv splachuvatime 60 bp less then. Ale yak usually protsentnі swaps zdіysnyuyutsya for participation poserednika, yaky styaguє fee for svoї Hotel. Tsya board nazivaєtsya dealer's margin. Yakscho mi pripustimo, scho in Nashomu prikladі dealer margin 20 bp of becoming, in the Leather Bank rezultatі swap splachuvatime 50 bp (abo 0.5%) less then. The net result for the bank A dorіvnyuvatime splatі plavayuchoї rate LIBOR + 30 bp of (LIBOR + 80 bp of - 50 bp), and for the bank - splatі fіksovanoї rate of 8% (8.5% - 0.5%).

Driving zdіysnennya swap hovering in Fig. 12.1.

Fig. 12.1. Interest rate swaps (plair vanilla)

Yakscho rozglyanuti groshovі flows (cash flow) oboh bankіv then obsessively:

Yak bachimo, dohіd dealer skladaєtsya for rakhunok rіznitsі, mіzh fіksovanimi payments Cauterets vіn oderzhuє that splachuє, tobto dealer kotiruє third-party bid that offer interest rate swaps.

Interest rate swaps Zi zmіnnoyu bazoyu narahuvannya protsentnoї rates

Interest rate swaps Zi zmіnnoyu bazoyu narahuvannya protsentnoї rates peredbachaє obmіn zobov'yazannyami s plavayuchoyu bet on INSHI zobov'yazannya s plavayuchoyu rates, interest rates for yakih rozrahovuєtsya on rіznih bases napriklad obmіn platezhіv on LIBOR bazі on platezhі bazі at prime rate (Tse takozh mozhut Buti platezhі on bazі Reigning tsіnnih paperіv bets komertsіynih paperіv toscho). Participants fіnansovogo Rinku zdіysnyuyut takі swap dwellers mother rozrahovanі on odnakovіy bazі revenues od aktivіv that platezhі for zobov'yazannyami scho rozmіschuyutsya that zaluchayutsya for plavayuchimi rates. Such swaps fate mozhut brati Dvi abo three sides.

Butt. Bank And Got dohіd od asset rozmіschenogo pid plavayuchu rate of LIBOR, that splachuє fіksovany vіdsotok for zaluchenі Costa banking Got dohіd on bazі prime rate and platezhі zdіysnyuє on bazі of LIBOR, the bank C oderzhuє platezhі for fіksovanoyu bet that splachuє vіdsotki on bazі the prime rate. Interest rate swaps s participation Tsikh bankіv vіdobrazheny in Fig. 12.2. In rezultatі swap Leather s uchasnikіv dіstav mozhlivіst oderzhuvati that splachuvati vіdsotki, rozrahovanі on odnіy bazі.

Fig. 12.2. Interest rate swaps Zi zmіnnoyu bazoyu narahuvannya interest rates