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Фінансовий менеджмент банку - Primostka L.O.

7.6. HEDZHUVANNYA TO THE RISIK OF VDUSTOKOVYH BETS ON THE BASIS OF SWAP-CONTRACTS

Відсотковий swap - tse kontraktnogo yagoda mezh duma uchasnikami about obmіn відсотковимими with payments in rozraunku on viznachenu sumu, yaka maє on metі vstanovlenja bottom витрат запозичення.

Існують two types відсоткових свопів:

1) prosti, abo "vanіllnі" (vanіlla), swap, yakі perebachayut obmіn fіksovanoї vіdsotkovoї betting on floating float rates on fіksovanu;

2) basic swap, the result of a floating rate is to be exchanged for a float, or to a rosarkhovanu on the basis of the baseline rate.

Swap vіsotkovichih rates - tse sposіb zmіni zagalnogo rivnya chuttivostі activeyv chi pasivіv banku to fluctuation rinkovih rates. The contractors can contract to change the way they are done beforehand, having completed the operation of exchanging fictional rates for floating, and navpacks. Swap takozh allow you to read the exact lines of information in the rows of the day and day, and the anneals, keep so many grocery streams, yakі zadovolnyayut management of the bank.

For zdіysnennya operation swap neobhydna znachna rіznitsya in the credit ratings uchasnikiv, prichomu vona maє stanoviti not mensh yak 0,75% vіd rіvnya відсоткових rates for the loan. Yak rule, the participant with a zigzagging rating vypplacho vidsochki for a floating rate, and on the other hand with a lower credit rating oderzhuet fіksovannyі vіdsotkovі payment.

Sutnist bolshostі vіdsotkovyh swap in the field, in the position of a pozhalnik with a lower credit rating oderzhuet dovgostrokovy credit for the fisovannuyu vidsotkovauyu rate, yaka is meaningfully lower for the one that you can save on the market yourself, do not pay for the swap. Tse vidbuvayutsya zavdyaki vt, scho uchasnik ugodi zhimim with a rating to beat dovgostrokovu posku vіd svogo іmenі, scho permissibly zniziti vidsootkі vitrati. In obmіn on tsezchalnik with a lower rating, I get short stitches кошти під плаваючу відсоткову rate і transfer to the position of the parties, yaka має вищий рейтинг. Such obmin permissive transformuvati dovgostrokovu fіksovanu rate in gnuchkishu i, mozhlivo, I lower the short-row rate. Skin zasisnikіv swap zdіysnjue posku on that rink, de vigrash z poglyadu pіvіvnyal'nyh vitratі maxіnі, іpotіm obydіvі sides обмінються відсотковими payments for the sticks that are irradiated with the skin of them. At the result of the vitrati, the deposit of the settlement of the swap site is znizhuyutsya for both parties, navіt тодиі, if the positivnik with the best rating is able to get the koshti yak on the dovgostrovoy, and on the short-stalled rink cheaper, nizh poschalnik with the lower credit rating. When the leather side swaps itself, it splits its bogies into the same for them. In fact, the participants are obliged to exchange their losses with the floating rates and at the same time pay for the pockets. Zdebolshogo obmin nomominalnye sumami posk, yakі nazivayut uvnovuyu sumoju, not vbdbuvaetsya. Tom swap-contract itself is not familiarized with the balance of participants, hocha may change the viscous rizik, actions with balancing positions for assets that passive.

Swap takozh vikoristovuytsya for podolannya imbalansіv mizh rows otushennya active і zobov'azan. The bank is able to activate short-term activations, see the floating rate, and finance for rakhunok dovgostrokovyh zobov'azan, zarulenih pіd fіksovanu bid. At such times the bank osteriagetsya znizhennia rinkovih rates, scho prizvede before zmenshennya gains. Інший банк (компанія), yakomu nalezhat dovgostrokovi activitiy fіksovannuyu stakomuyu income that zobov'azannya short lines in the future, osterіgayatsya zrostannia vіdsotkovyh rates. So, the participants of the market are candidates for settling in order to swap money about obmin in real interest rates.

If the basic swap contracts are to be settled, the base for the floating floating payments is to be placed behind the piles. On the international financial markets, a popular interest rate that is vichristovovannoy in the basic swaps, ñ LIVOR, the rate of the first-class poshchalnik, the rate of the loan in the USA, the compositional rates for deposits of certificates and commercial bills, the rate for treasury bills.

The application 7.8.

SPACE ("VENYLNIY") SWAP OF VYSOOTKOV BETS

The company has a 5-rocky credit for a sum of $ 30 million. USA. З урахуванням credit rating компанії вартість такої позики становитиме 9% річних. The company zvertaєtsya to the bank with a propository about укддення please swap, abi to hold a 5 credit for a loan, which is cheaper for that one, you can otrimati autonomously. One-hour company zobov'azuyetsya zaluchiti koshti on korotkostrokovomu rinku komertscinyh paperyv i rozmistiti їh at the bank pіd 6-місячну rate LIBOR. Bank vozguzhuyutsya with swom-swap contracts, for the company I pay the yomu vinogorodu in rozmіrі 1% vіd sumi ugodi at the moment її укладення.

For zdіysnennya zatotih zobov'azan for a swap-contract, the bank to dig a pose on the dovgostrokovomu rink for 5 rockiv in the sum of $ 30 million. The bank is a major rating, a company that allows you to earn a loan, and a 8% interest rate. Also, the company will hold a loan in the amount of $ 30 million. On 5 rockів під rate 8%. Відсоткові платеі за кредитом компанія виплачує банкові. One-hour company zashuchaet kosti on the market for 6 months, for the sake of invoicing the 180-day merchant account for a sum of $ 30 million. For a zinc price of 6.5% of richest.

Ці short-stitches залучені кошти розміщсяться в банку, за що компанія одержує 6-місячну rate LІBOR, yaka become 7% річних. The rate for commercial paperms is lowered for LIBOR rates in the middle by 0.50-0.75% (dd. 7). The company could use finance in the loan for a short-term loan of koshtis. Alya for all that you need to vizusti ta rozmischuvati kerertsynyi paperi stretching p'yati rockiv pid rinkovu bid, yaka folded for an hour vipusku, sho meaning zaluchennia koshtiv pіd float bet. Such a way to finance a meeting with a very important risk, and with a long stretch of money, you can change rates. In addition, the skin operation of rozmischennya komercitsnyh papernіv saprovozhuyutsya vitratami, pozyazannyim z vyhodom on the market.

Розв'язання

Zmist rozglyaduvannogo pleas swap polyagaet in obmіnі dovgostrokovogo credit with a fictional rate rate on short-term loans with a floating rate.

Results of swap for the company:

1) depreciation of vitrage for 1% of the loan of a dovgostrovogo loan, Šo for p'yat rokіv stanovitime dd .:

(0.09-0.08) • 30000000 • 5 = 1500000;

2) дохід від різниці між rate LІBOR, yaku vіd bank for розміщення коштів for 6 місяців, the rate for commercial paperms, kotru neobhіdіno vіplatiti vigazhennі vіpusku, dol:

(0.07-0.065) • 30000000 • 180: 360 = 75000;

3) vitrati on komisynu vinagorodu for a swap to make 300000 dollars .; Vodnochas kompanii nesa vitrati v vypusku komertscinyh paperyv;

4) in the course of p'yati rockiv companii prohedzhuvalo vidsotkovy rizik, obyazany zі zmіnoyu rinkovyh rates for credit; Economies for rakhunok swap to become 1 million dollars.

Result the swap for the bank:

1) комісійні for a swap at розмірі 300000 dale. The bank will hold a vidrazu with the holdings;

2) bank zmіg profinansuvati part of the loan, yakі priv'yana up to 6-місячної rate LІBOR, through кошти, розміщені компанією to the bank під rate LIBOR. Tse allowed the bank to unite the visceral risk for 6 months in vainly active and zobov'azan at rozmiri $ 30 million;

3) for self-imposed short-rowed koshtiv bank, the bank would need to look at the yogo credit rating, pay LIBOR plus the credit spread in the rozmiri 0,125%.

In the case of the application of actual sums, the buli have been secured by the bank that is the bank, while the swap of the real exchange with sums is not collected by the sums. The leather side of the described swap is self-contained in front of creditors for its own zobovans. After 6 months the company collected $ 30 million. To the bank and repaying zobov'yanya for commercial paperms. Through 5 rock companies, the company turns over $ 30 million. A bank, a whikon of its own accords before the creditor.

In the case of operations, as a rule, I can not take the risk of non-payment, of the consequences of the invasion of zobov'azan odnієyu зі сторін. Yaksho company through 5 rockies is not the credit of the banks, then before the creditor, the bank will be self-sufficient. For znizhennya zhogo mind riziku please swap yak contractov, yakih legally zakripleni rights vlaschnost oboh storin at raz bankratstva neobshih obstavin, scho prizvodit to neobikonannya minds of the land. When exchanging real sums, the parties can zizniti rizik non-payment, having secured the guarantee of having paid a loan to the credit.

The application 7.9.

BASIC SWAP OF VYSOOTKOV BETS

The bank has secured a loan for the Mizhbankovtsy market for a floating rate for 2 rock. Payments for the loan are based on the LIBOR plus credit spread 1%. Bank rozmyschuyu ostoryanii koshi u kreditnii operatsii short-row nature, for some money payments for LIBOR plus serednogozvozheny spread 3%. Cе permissibly отримувати прибуток у розмірі 2%. Through the рік bank, having seen a loan for itself, a loan for the same sum per one ric, albeit the basis for a payment plan was the rate for treasury bills of the USA plus 4%. Describe a swap contract.

Розв'язання

At such times the bank is accustomed to a basic risk, the consequences of a discount in the wage rate for treasury bills are those of LIBOR. Poki tsi rates to regulate in parallel, the bank otrimuvatime stabylny pributok. Yakshcho rates to give zmіnjuvatis at protnyzhnih strains abo riznoyu shvidkistyu, then the bank can otrimati dodatkovi pributki, so zaznati znachnyh zbitkiv. Oskilki і уго да з з з For the company, you must know the participant, who would wait for payment of the treasury bill plus a spread (1 - 2%) in the course of one fate, and in the amount of payment for the LIBOR plus 1% interest. Taka operatsіya allow banks and zafiksuvati value pributkiv, oksilki rate zaluchennia that rate rozmischennya koshtiv base on one and the same size - stavtsi for treasury bills. Otzhe, reach the bank for payment of the swap transaction, do not zalezhatimut vid zmіni vidsotkoy betting on the market, but it means hedgevannya risiku. For mіzhbankіvskoyu credit bank, the bank і has given vikonuє its own debts and the rate of LIBOR plus 1%, але саме таку суму paymentів the bank to win від іншої side swap. Otzhe, zmіni in рівнях rates LIBOR not vplyvayut vіdsotkovі vitrati to bank. The basic swap is added to the bank of prohedzhuvi viscous rizik.

The application 7.10.

INTEGRATION OF VDS-STOCK SWOP-CONTRACTORS

Alfa Bank and Gamma Bank on April 1, 1998 deposited a swap-contract with a term for one ric to dispose of $ 1 million. USA. Bank "Alpha" pogodzhuyutsya ryulchuvati swim rate, yaka based on the 6-month line of LIBOR. By the promo of the swap, the bid is to be paid in two installments: in 6 months from the date of the settlement of the land on 30.09.98 at the rate of LIBOR, secured on 01.04.98, that in 12 months, toto on 31.03.99, at the rate of LIBOR, the loan is secured on the market on 30.09.98. Bank "Gamma" will rally the price in the line.

Якою має бути прийнятна фіксована rate in pointless for the swap of the swap for the market, as of 01.04.97, on the basis of the following rates: 6-month LIBOR - 7%, 12-month LIBOR - 7.8%?

Розв'язання

Розрахунки зроблені на основі базового періоду - 360 днів та тривалості будь-якого місяця - 30 днів.

For the reasons of swap, the bank "Alpha" is to be paid after 6 months in the sum, dd .:

0.07 • 180: 360 • 1000000 = 35000.

6-month rate LIBOR, yaka diyatime on the market in 6 months, nevidom. Tom for rozraunkіv використовується forward rate, отримана з кривої дохідності спот-ринку. Forward 6-month LIBOR r6 can be calculated by formula (7.7):

(1 + 0.078 • 360: 360) = (1 + 0.07 • 180: 360) (1 + r6 • 180: 360),

R6 = 8.3%.

Otzhe, a friend payment to the bank "Alpha" ochikuyutsya in rozmіrі, dd .:

0.083 • 180: 360 • 1000000 = 41500.

For the reasons of swap, the bank "Gamma" will taku fikosovanu bid, yaka daє nulovu chistu teperishhnu vartit swap. Tse means, sho sumi payment (i fiksovanih, i float) miyut bouti discount, prichomu discount rates - tse 6-month LIBOR - 7% and 12-month LIBOR - 7.8%.

Nekhay FS - sum payment in dolars for the fictional rate (nevidoma value). Todi, vikoristovoychy discount formula (7.9), you can write a note:

Звідси FS = 38184 dollars., It is not acceptable to receive a rate of 7,637%:

(38184: 1000000) • (360: 180) • 100% = 7,637.

Перевірка:

.

Otzhe, bank "Gamma" mae ryukchuvati fіksovanu sumu payment in rozmіrі 38184 dale. Dvichi - 30.09.98 and 31.03.99 by the extension of the day of the swap. In fact, banks are more easily redistributed in soums payment. With the first payment of the bank "Gamma" to pay the sum of 3184 dollars. (38184 - 35000), with each other - the bank "Alpha" to pay the bank "Gamma" sum 3316 dollars. (41500 - 38184).

In the case of the downward curvature of the third party, the yak is to pay a fictional rate, rally on the alternating stages of swap, and reject more on pisnіh stadiyah. Yakshto actual rates vidriznyatimutsya vіd ochikuvanyh, then the payer of a floating rate can vigrati chi progriti, ale paysnik fіksovanoї rates є nezalezhnim vіd kolivan zinkovyh rates.

Self-control nutrition

1. What is the role of pributok bank for vid'єmnomu gepi for umov zostoronya visokotkovikh rates on the market?

2. Is there a demonstration of a zagalny rіven vіdsotkovogo risiku bank?

3. What are the main problems with the process of practical zeposuvannya gep-management?

4. In chomu polyagae osoblivіst mehanizmu vikonannya FRA?

5. What are the basic characteristics of Eurodolar financial contracts?

6. Is there a method of financing a dowry for futures short-liners high rates?

7. What is the hejuvanne?

8. Do you need to carry out the management of the bank in the risk of losing interest rates to the Yaku operations in the futures?

9. Do you have the opportunity to use the COLLAR opcion CAP?

10. Yakі vіdmіnnostі існують між forgive that basic swap of відсотковиких rates?