Transparency in Over-the-counter
Interest rate derivatives Markets
Marco AVELLANEDA&Rama CONT
August2010
Abstract
A major portion of interest rate derivatives,in particular interest rate swaps,is traded over the counter(OTC).This reports provides an overview of pre-trade and post-trade transparency in OTC interest rate derivatives markets.Focusing on the interest rate swap market,we pro-vide an inventory of existing forms of pre-trade and post-trade trans-parency in this market,discuss whether there is a need for increased transparency in this market,how such an increase in transparency may be achieved and to whom the costs and bene?ts would incur.
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Contents
1Introduction3
1.1De?ning market transparency (3)
1.2Scope (3)
2The interest rate swap market4
2.1A mature OTC market for institutional investors (4)
2.2Interdealer brokerage (5)
2.3Electronic trading platforms (5)
2.4Central clearing facilities (6)
2.5Exchange trading of interest rate derivatives (6)
3Transparency in interest rate derivatives markets10
3.1Pre-trade transparency in interest rate swap(IRS)markets (10)
3.2Post-trade transparency in interest rate swaps (11)
3.3Post-trade transparency for other OTC interest rate derivatives.12
3.4Trade repositories (13)
4Conclusion14 A Coverage of OTC interest rate derivatives by ICAP16
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1Introduction
Transparency in securities markets,de?ned as the degree to which information regarding quotes for securities,the prices of transactions,and the volumes of those transactions are made available to market participants.Over-the-counter derivatives markets have been criticized as being“opaque”and lacking trans-parency.Proposals for increasing transparency include requiring systematic reporting of trades to a central data repository,voluntary or mandatory central clearing and full-blown exchange trading of certain categories of interest rate derivatives.
The global interest rate derivatives market,with a notional volume of448.7 trillion USD in2009,is a major component of world?nancial markets.An important portion of interest rate derivatives is traded over the counter(OTC). In particular,the interest rate swap market,with a notional volume in excess of 332trillion USD in2009,is the most important OTC interest rate derivatives market.It is a mature market,in which banks,institutional investors and corporations have been successfully conducting bilateral transactions for more than thirty years.Other interest rate derivatives which are traded OTC include options on LIBOR rates–caps and?oors–and options on swaps(swaptions).
1.1De?ning market transparency
Market transparency may be de?ned as the extent to which information on prices and quantities is disseminated among market participants.Market trans-parency takes various forms which may bene?t di?erent market participants in di?erent ways.When discussing transparency in securities markets it is impor-tant to distinguish pre-trade and post-trade transparency.
It is also important to distinguish to whom the information is disclosed. Much of the discussion regarding market transparency during the crisis has been related to the lack of visibility on OTC markets for regulators.This is obviously an important issue and the current trend is towards a higher degree of disclosure to regulators of prices,quotes and exposures in OTC markets,which regulators intend to use in order to monitor and enhance market https://www.doczj.com/doc/a32930264.html,rmation disclosed to regulators is treated as con?dential and strict rules govern the ways in which such information may be used.It is clear,however,that the same information,if disclosed publicly,may in fact act as a trigger for speculative runs on?nancial institutions and generate market instability.This is an extreme example of a situation where“full”transparency does not contribute to market stability and liquidity.
1.2Scope
The goal of this report is to clarify some of the issues underlying the current debate on market transparency,in the context of OTC interest rate derivatives markets.Is there“enough”transparency in these markets?If not,how can
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more transparency be introduced and what will its e?ect be on market stability and liquidity?
As in any market design problem,a meaningful analysis should specify to whom the costs are incurred and to whom the bene?ts accrue.Increasing trans-parency has a cost and any meaningful discussion of market transparency must assess the bene?ts of changes in market design and weigh them against their costs.
We have attempted to provide an overview of pre-trade and post-trade trans-parency in OTC markets for standard interest rate derivatives:interest rate swaps,cross-currency swaps,caps,?oor and swaptions.Focusing on the inter-est rate swap market,we provide an inventory of existing forms of pre-trade and post-trade transparency in this market,discuss whether there is a need for increased transparency in this market,how such an increase in transparency may be achieved and to whom the costs and bene?ts would incur.
2The interest rate swap market
2.1A mature OTC market for institutional investors
The interest rate swap(IRS)market is a mature market whose participants are ?nancial and non-?nancial institutions.Financial institutions such as banks, corporations and asset managers can use interest rate swaps to hedge their interest rate risk or manage their balance sheets.
Many corporations,in particular non-?nancial corporations,may enter inter-est rate swaps in order to hedge their bond exposures.The accounting of many of these trades is based on Financial Accounting Standards Board Statement No.133(FAS133)which allows to register the interest rate swap as a hedge insofar as its characteristics match the exposure to interest rate risk initially present in the corporation’s portfolio.For this reason,most interest rate swap contracts are bespoke and their characteristics,in terms of underlying rates, tenor and maturity are customized to correspond to the clients exposure. Example A corporation or sovereign entity is pondering a bond issue in6 months.Having concerns that interest rates will rise,it can enter into a”rate-lock”interest rate swap,by paying a?xed rate and receiving?oating payments based on a reference market rate.This swap contract needs to match the exact cash?ows of the pending bond issuance.After6months,at the bond issuance date the entity can unwind the interest rate swap and issue the bond,having hedged itself against rate moves during the pre-issuance period.
Trades in interest rate swaps are often large and operated over-the-counter (OTC).Contrarily to the equity and bond markets,there is no signi?cant“re-tail”component in this market.
Dealers play an important role in the interest rate swap market.SwapClear, the main interdealer clearinghouse for interest rate swaps,has around30mem-
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bers while the WholeSale Money Brokers Association(WMBA)registers more than50dealers.Dealers communicate among themselves through various in-terdealer brokerage systems such as ICAP.These interdealer platforms play an important role in disseminating pre-trade information among dealers but are typically not accessible to non-dealers.They also act as sources of pre-trade in-formation for the whole market by aggregating dealer quotes and disseminating indicators–swap curves,volatility surfaces–to the whole market.
Pre-trade information in the form of price quotes is communicated by dealers to their clients either directly or via service providers such as Bloomberg and Reuters.
Some electronic trading platforms have also emerged but have retained only a small fraction of market?ow,less than5%in terms of notional volume in 2009.There have been some attempts at moving products such as IRS futures to exchange trading but so far these exchange traded products have attracted little volume when compared to similar OTC products.
2.2Interdealer brokerage
Given the importance of dealers in the interest rate derivatives market,a key is-sue is the information network connecting interest rate derivatives dealers.Like for other OTC derivatives,the most common type of transaction is done directly between two dealers over the telephone.This method may be time consuming because the dealer has to search for a matching counterparty.Interdealer bro-kers o?er venues where dealers may exchange pre-trade information and increase the e?ciency of this search.ICAP,with a30%share of the London interest rate swap market,is one of the primary interdealer brokers in this market.Some others interdealer brokers are Tradition,BGC and Tullett Prebon.
As their name indicates,such platforms are limited to registered dealers: buy-side clients do not typically have access to the full range of their services. However,interdealer brokers also act as sources of pre-trade information for the whole market,nondealers included,by disseminating anonymized“composite”indicators of market variables–swap curves,implied volatility surfaces–based on quotes proposed by their dealer members.These indicators are accessible to all market participants and disseminated by service providers such as Bloomberg and Reuters.
2.3Electronic trading platforms
According to a2010ISDA survey,87%percent in notional volume of standard interest rate derivatives are eligible for electronic processing[6].Electronically con?rmed transactions in interest rates derivatives represented47%of of elec-tronically eligible transactions in2009.Electronic trade con?rmation eases the exchange and processing of post-trade information and its transmission to data repositories.
Eligibility for electronic processing opens the possibility of moving such trades to electronic trading platforms.These platforms are di?erent from ex-
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changes in that trades are still done OTC.But,as observed in other OTC markets,the implementation of electronic trading platforms,either interdealer or dealer-to-client,has led to more market transparency.In such electronic plat-forms,(anonymous)quotes can be tracked and all trades are done through the platform are electronically registered,thus providing a potential source for the reporting and dissemination of post-trade information-to regulators and trade repositories-if necessary.
Interdealer electronic trading platforms for interest rate swaps already exist: ISWAP,launched in2003,and BlackBird are examples of such an electronic interdealer trading platform.From a technological point of view,there is no obstacle to the electronic trading and processing of interest rate swaps.Also, the existing platforms o?er a wide range of products and have demonstrated their ability to support bespoke price requests.Yet,these platforms have not attracted much liquidity,most dealers having preferred the voice system.Given the current regulatory context,some market participants anticipate an increase in the use of electronic platforms in the near future.Their activity seems to have increased signi?cantly in2010.
2.4Central clearing facilities
Central clearing facilities for OTC interest rate swap trades have existed for more than a decade.SwapClear,the primary inter-dealer clearing facility for interest rate swaps,currently clears more than40%of the interest rate swap market,representing trades with a total notional principal of$229trillion. Launched in1999by LCH.Clearnet,SwapClear clears swaps in14currencies; USD,EUR,and GBP out to50years,AUD,CAD,CHF,SEK and vanilla JPY out to30years and the remaining6currencies out to10years.It also clears OIS out to2years in USD,EUR,GBP and CHF.
Such clearinghouses mitigate counterparty risk through margin requirements. For instance,SwapClear successfully managed Lehman Brothers US$9trillion interest rate swap default in2008,closing out over66,000swap trades without using up all available margin[1].
Clearinghouses also facilitate post-trade reporting to regulators and trade repositories.However,in contrast with an exchange,they do not necessarily increase transparency for market participants since the information related to cleared trades is kept con?dential and not disseminated to the market.Existing swap clearing facilities do not publish trade prices-either in real-time or at the end of the day-nor do they provide facilities for arranging or facilitating new trades.
2.5Exchange trading of interest rate derivatives Exchange trading is often considered as the ultimate form of pre-and post-trade market transparency.Mandatory exchange trading of standardized derivatives has been a topic of discussion among regulators.Is mandatory exchange trading
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of interest rate derivatives feasible and,most importantly,will it improve market quality and/or enhance market stability?
First,let us recall that some interest rate derivatives–bond futures and interest rate futures–are already actively traded on exchanges.They have evolved towards this situation without any mandatory requirement on behalf of regulators and such exchanges have successfully coexisted with OTC interest-rate derivatives markets for years.
However,questions arise as to the feasibility and the eventual bene?t of such an approach for interest rate swaps.Why has a mature institutional market such as the interest rate swap market remained OTC for more than30years?Will interest rate swap markets continue to ful?ll their function if they are moved to exchanges?
There have been attempts at exchange trading in the interest rate swap market.Exchange trading of interest rate swap futures,launched on the CME a few years ago,is the prime example.But trading volumes in these contracts pale with respect to similar ones on the OTC market,and represent around 0.1%of the market in notional terms.
One reason is that corporate clients primarily use interest rate swaps for hedging bond exposures,in accordance with hedge accounting rules as de?ned by FAS133:these clients come to the swap market with speci?c interest-rate exposures related to their bond positions and o?set this risk with customized interest rate swaps or derivatives whose tenor and maturity are related to their initial exposure.In particular,clients may look for contracts with very long maturities,and exercise levels far from the current level of interest rates.The range of tenors and maturities in the exchange simply has not been able to match the needs of such clients.In other words,each swap is customized in terms of tenor and maturity and the range of tenors and maturities is too large to be covered by exchange-traded contracts and still maintain liquidity across all contracts.
However this remark alone does not rule out exchange trading of interest rate swaps.One can imagine a range of interest rate swaps with standardized tenors and maturities traded on an exchange,coexisting with an OTC market where other tenors and maturities are traded at a spread with the standardized contracts.Equity options markets o?er examples where exchange traded deriva-tives coexist with OTC derivatives,the exchange providing reference prices and volatilities which are then used as inputs for marking to market OTC trades.
This discussion suggests that,in the event where trading in a set of stan-dardized interest rate swaps is moved to an exchange,interest rate swaps with non-standard characteristics will continue to be traded over the counter.The real question is how much of the?ow will be diverted to such an exchange and how much will be done over the counter.This will depend on the range and variety of products o?ered by the exchange,the example of swap futures being a cautionary example here.
Another issue,when considering a move to exchange trading,is the frequency and size of trades.Fragmented markets in which average daily volume is much greater than average trade size are best suited for exchange trading:market
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makers are then able to o?oad risk in a short period of time,and rarely hold risk overnight,so full transparency is appropriate and will not diminish the market makers incentives to provide liquidity.Equity markets provide examples of such fragmented markets.In contrast,markets where trading is concentrated among few players and where a single trade might equal the daily volume require market makers to hold risk over longer periods of time,sometimes weeks or months. Full post-trade transparency would then dissuade market makers from entering into large trades since they it would be costly to o?oad the resulting risk.
In the interest rate swap market,there is no retail component so the cur-rent situation is closer to the second case described above.For example,as shown in Table1,interest rate swap trades registered with the TriOptima inter-est rate derivatives repository indicate around3,011,004transactions in interest rate swaps–all currencies included–in July2010,representing a total notional of339532billion USD.This leads to an average notional size of more than112 million USD for a single transaction,indicating large trade sizes.During the same month,SwapClear cleared67826transactions.These numbers are aggre-gated across contract characteristics:as shown in Table2,when considering a given maturity range,this number may drop to tens of thousands of trades per month.
Data from TriOptima indicate that the average number of new interest rate swap trades was3600per day in the month of June2010.This trade count is the aggregate across all variations of IR swaps,all maturities and all currencies,of which the biggest are USD with1,200trades per day and EUR with830trades per day.This number drops to a few hundred per day for a given maturity range.The most liquid full year IRS swap contract was the10year USD swap where208trades were made on average each day.Most of the standardized swaps in other maturities and currencies trade less than20contracts per day. Though exchange trading is more e?cient for handling large?ows of relatively small orders,such concentrated?ows of large trades may be more e?ciently handled in the OTC market.
More importantly,one should bear in mind that market stability,not trans-parency per se,should be the goal of any change in market structure.In the context of institutional markets where trades are infrequent but large in size–as opposed to liquid markets where retail?ow may be important–post-trade trans-parency may in fact increase market impact of trades and thus lead to a greater cost of execution.The recent”?ash crash”in US equity markets shows that the transparency that comes with exchange trading may also be a factor of market destabilization–revealing large orders may in fact increase their price impact and result in large market moves.The mandatory post-trade transparency which goes hand in hand with exchange trading might thus be a destabilizing factor in a market such as the interest rate swap market where trades are large and relatively infrequent.If,for other reasons,regulators eventually settle for exchange trading of interest rate swaps,it is in the interest of market stability to consider,as is common practice in other organized markets,delayed post-trade reporting requirements for trades larger than a given threshold and not require their sizes to be revealed if above a given threshold.
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Table 1:
TriOptima Interest Rate Derivatives Trade Repository: trades in July 2010.
Table 2: TriOptima Interest Rate Derivatives Trade Repository:
trades in July 2010, by maturity range.
3Transparency in interest rate derivatives mar-kets
When discussing transparency in securities markets it is important to distinguish pre-trade and post-trade transparency.
Pre-trade transparency related to the dissemination of information on the size and price of prospective trading interest,such as bid and ask quotes and quantities related to such quotes.
The level or degree of pre-trade transparency in a market can range from the total transparency permitted by certain electronic markets which centralize order?ow in a limit order book,to markets where each participant only knows his/her own orders and obtains information from other participants through repeated bilateral negotiations.
Post-trade transparency refers to the dissemination of trade prices and vol-umes of completed transactions from all markets trading that security.For exchange-traded derivatives,such transactions are recorded exhaustively.In OTC markets,post-trade transparency may be provided through electronic trading platforms,central clearing facilities or through data repositories where market participants register transactions on a voluntary or mandatory basis.
When a large trade is revealed to the market,it may be seen as conveying information and may generate other large trades,thus moving prices.Reporting of large size transactions also creates opportunities for predatory positioning or front running by other market participants,thus reducing the incentive for a participant to provide liquidity for large size trades.Thus,post-trade trans-parency may entail price impact in the case of large trades and increase the cost of trading.For this reason,in many exchanges post-trade transparency rules di?er for small and large trades,reporting being delayed for large trades in order to avoid generating market volatility and price impact.
Post-trade transparency is important for market participants in order to allow to mark their derivatives positions accurately.
Post-trade transparency–the public visibility of recent trading history by market participants–is low in interest rate derivatives markets due to few re-porting requirements,lack of systematic registering of trades and the lack of incentive of market participants to supply post-trade information.A new de-velopment is the creation of a trade repository in2010which will warehouse all G14dealer interest rate derivatives positions on a monthly basis.
3.1Pre-trade transparency in interest rate swap(IRS)
markets
Pre-trade information in interest rate swap(IRS)markets consists of quotes which then lead to trades among dealers or between a dealer and their client, typically following a voice negotiation.
One should distinguish here between
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??rm(or tradeable)quotes disseminated among dealers through interdealer brokerage systems,including quantities and price levels.These prices are not executable by nor directly available to non-dealer market participants.
?quotes disseminated by dealers to their clients,via“single dealer screens”
provided through third party dealer-to-client platforms.TradeWeb and Bloomberg are two of the major electronic platforms for multi-dealer ex-ecution for clients.Customers may view a series of quotes including price and size for di?erent swap contracts,usually with tight bid-o?er spreads.
Price bands visible on such pages may be customer-speci?c:di?erent clients may view di?erent quotes from the same dealer,depending on their previous transaction history with the dealer.The law of one price hence does not prevail in this market.Such single dealer platforms allow for price discovery and trade execution.Transactions may be either done electronically via the platform or negotiated over the phone.
?indicative(non-?rm)or“composite”levels:Interdealer brokers also act as sources of pre-trade information for the whole market,nondealers in-cluded,by disseminating anonymized“composite”indicators of market variables–swap curves,implied volatility surfaces–based on quotes pro-posed by their dealer members.These represent averages of dealer quotes whose computation may involve interpolation procedures and contain no indication of notional/size and are not tradeable.These indicators are disseminated through services providers such as Bloomberg or Reuters and are routinely used for marking to market of positions.They are not tradeable prices.
Of all these pre-trade price levels,composite quotes are those which are the most widely disseminated.It is therefore of interest to investigate their information content:are they close to,or far from,actual transaction prices?First,it should be noted that the interest rate swap market,especially for major currency interest rate swaps,has a tight bid-o?er spread.Also,as shown by a recent study of MarkitWire[9],comparing actual trade levels submitted to the MarkitWire platform and pre-trade quotes from ICAP,more than90%of trades in EUR and GBP swaps,were apparently executed within1bp of the interdealer quote.
3.2Post-trade transparency in interest rate swaps
Post-trade transparency–the visibility of(price/volume)information on recent trades by market participants–has been low in interest rate derivatives markets due to few reporting requirements,lack of systematic registering of trades and the lack of incentive of market participants to supply post-trade information.
Electronic con?rmation and processing of trades has been under way for several years and has opened the possibility of capturing post-trade information in a systematic manner.MarkitServ has emerged as the main channel for post-trade information in this market:its platform captures more than70%of trades in interest rate swaps,swaptions,caps and?oors.Currently this post-trade
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information remains con?dential and is not accessible to market participants other than the parties of the trade.
Another source of post-trade information is electronic trading platforms.As discussed above,these platforms have increased their activity since2005but the outlook for increased use of such for interest rate swaps and other OTC interest rate derivatives remains uncertain.If they do become more commonplace,they would make the e?cient dissemination of post-trade information possible,at least for trades done through these platforms.Platforms such as Bloomberg, ISWAP and TradeWeb do possess the technology for collecting and processing post-trade information and aggregating them into anonymized,composite price indicators which could be possibly be disseminated to market participants at the end of each day and provide an indication of where the market has traded on that day,in a manner similar to the indicative swap curves published based on quotes.
One may consider the end-of-day dissemination of such“composite”post-trade indicators for the interest-rate swap market based on current trades going through electronic platforms.Like composite price levels based on quotes,such indicators need not contain information on volume of trades and will not re-veal the identity of parties in the trades,but can provide useful.If electronic platforms gain in popularity,such indicators will become increasingly relevant. Alternatively,such an indicator could be computed based on a larger set of trades,such as the ones registered in platforms such as MarkitServ.
We believe that taking these steps to introduce post-trade transparency in the OTC interest rate swap market is more e?ective for improving market trans-parency than moving interest rate swaps to an exchange.As argued above,even after introducing an exchange,if a substantial portion of the market still remains OTC post-trade indicators based on a broad set of OTC transactions will still be more relevant than those based on exchange transactions which may or may not be representative of market prices.
The above discussion is centered on USD and major currency interest rate swaps where market liquidity is concentrated and the number of trades is high. Some large trades in less liquid swaps,especially in some currencies,may not be appropriate to report at end of day(especially if not traded till close to end of day).Post-trade transparency requirements may need to be adapted to the context of such less liquid markets.
3.3Post-trade transparency for other OTC interest rate
derivatives
The feasibility and the potential bene?t of disseminating such post-trade infor-mation for other interest rate derivatives–caps,?oors,swaptions–is much less obvious.
First,given the wide spectrum–in terms of exercise level,maturity of con-tracts and tenor of the underlying rate–of such products,for a given contract there may be no transaction,thus no post-trade information,during a given
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day,which makes the updating of such information problematic and procedure-dependent.
Second,given that there is less?ow,in markets such as the swaptions market a dealer may warehouse the risk related to a deal for a much longer period–even months–before unloading it through an o?setting trade.This is unlike the interest rate swaps market where end-of-day seems a reasonable delay for dis-seminating post-trade information.During this period post-trade information remains sensitive and revealing it prematurely,especially for large trades,will result in the market moving against the dealer and remove the incentive for dealers for making markets in this context.
3.4Trade repositories
Regulators have recently emphasized the reporting of OTC derivatives trades to repositories as a means of increasing the availability to regulators of information on OTC derivatives.OTC derivatives trades are increasingly reported to such repositories on a voluntary or mandatory basis.
As of January2010,TriOptima serves as the OTC Derivatives Interest Rate Trade Reporting Repository(IRTRR).A key piece of industry infrastructure, the IRTRR collects transaction data on interest rate derivatives from market participants1and provides regulators with periodic reports summarizing out-standing trade volumes and gross notionals as well as currency breakdowns and maturity pro?les by product type.Currently reporting is done on a monthly basis;however,this will move to a weekly frequency in September.
The IRTRR holds information for the full range of both cleared and non-cleared OTC derivative interest rate transactions including caps/?oors,forward rate agreements,options,swaps,swaptions and cross currency swaps.Major ?nancial institutions submit data for their OTC interest rate derivatives trade portfolios covering trades with G14institutions,buy side organizations and other?nancial and non-?nancial institutions.Trades reported to the repository include all interest rate derivatives,from plain vanilla through structured trades, if at least one of the counterparties is a G14dealer.This accounts currently for 77%of electronically eligible interest rate derivatives trades.
Contrarily to con?rmation platforms such as MarkitServ which capture trades on a daily basis,the IRTRR gives a periodic(monthly)snapshot of positions in interest rate derivatives.Increased reporting of interest rate derivatives trades to the repository is a positive step which will primarily serve towards a more ef-?cient monitoring of the market by regulators.Therefore,MarkitServ captures the information related to current/recent trading activity on a daily basis while the IRTRR captures information related to positions in interest rate derivatives. We note that the IRTRR houses all interest rate derivative positions,ranging 1The current list of institutions submitting trades to the repository is:Bank of America-Merrill Lynch,Barclays Capital,BNP Paribas,Citi,Credit Suisse,Deutsche Bank,Goldman Sachs,HSBC Group,J.P.Morgan,Morgan Stanley,The Royal Bank of Scotland Group,Soci-ete Generale,UBS AG and Wells Fargo Bank.
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from vanilla to complex and structured products,while MarkitServ is not as comprehensive in its coverage since it focuses on vanilla products.
4Conclusion
1.The interest rate swaps market is an over the counter market involving
institutional investors,based on bilateral transactions and an inter-dealer brokerage system.Most trades involve a dealer.The number of dealers is relatively small(around50).
2.Trade sizes are large in notional terms but the number of trades tends to
be much smaller than,say,in equity markets.
3.Although the interest rate swap market is a mature market,it has re-
mained in OTC mode because most interest rate swap contracts are cus-tomized to meet the clients’hedging needs,in particular with respect to FAS133hedge accounting rules.As a consequence,exchange trading of swap-related products,such as standardized interest rate swap futures which started trading several years ago,has never taken o?.
4.Interest rate derivatives are transacted at two levels:interdealer and dealer
to customer,with di?erent levels of market transparency.
5.Transactions between dealers are facilitated through interdealer brokerage
(IDB)systems where?rm interdealer quotes are visible to market partic-ipants.IDBs are the also main source of pre-trade information,in a way similar to spot foreign-exchange markets.
6.Buy–side customers have access to pre-trade information(quotes)from
a limited number of dealers,via third party information providers,but
observe neither the order?ow of other customers nor the quotes o?ered by dealers to other customers.
7.Most transactions are done through voice negotiations.Electronic trading
platforms exist for interdealer transactions,but their market share is still small.
8.Most OTC trades in interest rate derivatives are eligible for electronic con-
?rmation and processed electronically.Increasing use of electronic trade con?rmation has eased the exchange and processing of post-trade infor-mation and its transmission to data repositories.
9.From a technological standpoint there is no obstacle to the electronic
trading of interest rate swaps and other standard interest rate derivatives.
An increased use of electronic trading platforms for OTC interest rate swap transactions would enhance market transparency,especially regard-ing post-trade information.
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10.There is room for improving post-trade transparency in OTC interest rate
derivatives markets.One may consider the end-of-day dissemination of anonymized,“composite”post-trade indicators for the interest-rate swap market either based on current trades going through electronic platforms or those registered in trade repositories.We believe that taking such a step to introduce post-trade transparency in the OTC interest rate swap market is both more e?ective and easier to implement than moving interest rate swaps to an exchange.
11.Requiring public disclosure of post-trade information for other interest
rate derivatives–swaptions,caps,?oors–is more delicate since,in these markets,dealers warehouse interest rate volatility exposures and may take weeks to o?oad their exposures.Therefore,premature disclosure of trade information might deter market makers from providing liquidity.
12.Whereas fragmented markets with a large retail?ow are better handled
by an exchange,transactions which are infrequent,large in size,bespoke in nature and concentrated on a small number of players are more e?-ciently done over the counter.Interest rate swap markets are somewhat in between these two extremes,while OTC interest rate derivatives such as swaptions,caps and?oors de?nitely correspond to the second case. 13.A distinction should be made between regulatory transparency and mar-
ket transparency.Regulatory transparency means that regulators should have access to trade information on a timely basis in order to monitor mar-ket risk.Regulatory transparency in the interest rate derivatives market should be increased,and trade repositories are e?ective tools for achieving this goal.However,transaction or position data disclosed to regulators should be treated as con?dential:if made publicly available,they may have a destabilizing e?ect on the market.
Acknowledgements
We thank Simon Anderson,Kanav Bhagat,Catherine Brady,Eric B Childs, Mireille Dyrberg,William De Leon,Jon Eilbeck,Ben MacDonald,Andy Powell, and Frits Vogels for helpful discussions and information.
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A Coverage of OTC interest rate derivatives by
ICAP
16
Product Currency / Instrument Quoted Fields
Market / Data Origination Intraday End of Day
INTEREST RATE DERIVATIVES - STIRs
Forward Rate Agreements
HKD BID/ASK Hong Kong X X SGD BID/ASK Singapore X X TWD BID/ASK Singapore X X THB BID/ASK Thailand X X USD
BID/ASK
Singapore
X
X
SGD BID/ASK Singapore X X TWD BID/ASK Singapore X X THB BID/ASK Thailand X X USD
BID/ASK
Singapore
X
X
USD
BID/ASK
Singapore
X
X
FRAs IMM 6M
FRAs 3M
FRAs 6M
Product Currency / Instrument Quoted Fields
Market / Data Origination Intraday End of Day
Interest Rate Swaps (STIRS)
AUD BID/ASK Australia X X SGD BID/ASK Singapore X X USD
BID/ASK
Singapore
X
X
AUD BID/ASK Australia X X SGD BID/ASK Singapore X X USD
BID/ASK
Singapore
X
X
IMM Swaps
USD
BID/ASK
Singapore
X
X
Overnight Index Swaps
AUD BID/ASK Australia X X INR BID/ASK India
X X HKD BID/ASK Hong Kong X X SGD BID/ASK Singapore X X USD BID/ASK Singapore X X THB
BID/ASK
Thailand
X
X
INTEREST RATE DERIVATIVES - IR SWAPS
Interest Rate Swaps
AUD BID/ASK Australia X X HKD
BID/ASK Hong Kong X X INR(MIFOR)BID/ASK India X X MYR BID/ASK Malaysia X X SGD BID/ASK Singapore X X KRW BID/ASK Korea X X TWD BID/ASK Singapore X X PHP BID/ASK Philippines X X THB
BID/ASK
Thailand
X
X
Cross Currency Swaps
THB/USD BID/ASK Thailand X X TWD/USD BID/ASK Singapore X X KRW/USD
BID/ASK
Korea
X
X
Basis Swaps
AUD BB/Libor BID/ASK Australia X X HKD Hibor/Libor BID/ASK Hong Kong X X SGD Sibor/Libor BID/ASK Singapore X X MYR Klibor/Libor BID/ASK Malaysia X X THB Thibor/Libor
BID/ASK
Thailand
X
X
Swap Spreads / Forwards
HKD/USD
BID/ASK Hong Kong X X KRW/USD (CRS & IRS Spreads)
BID/ASK
Korea
X
X
HKD
MID
Hong Kong
X
X
AUD
BID/ASK
Australia
X
X
HKD
BID/ASK
Hong Kong
X
X
CNY/USD BID/ASK Hong Kong/Singapore X X TWD/USD BID/ASK Hong Kong/Singapore X X KRW/USD BID/ASK Korea X X INR/USD BID/ASK Singapore X X IDR/USD BID/ASK Singapore X X PHP/USD BID/ASK Singapore X X THB/USD BID/ASK Singapore X X VND/USD BID/ASK Singapore X X MYR/USD
BID/ASK Singapore X X KRW/USD ND CRS/IRS SPRD
BID/ASK
Korea
X
X
Swap Swap Spreads (Dual Currency)
Swap Bond Spreads
Swap Bond Futures Spreads
Swap Swap Spreads (Term)
Short Swaps (v 1M)
Short Swaps (v 3M)
Product Currency / Instrument Quoted Fields
Market / Data Origination Intraday End of Day
Non-Deliverable (Interest Rate Swaps)
MYR BID/ASK Singapore X X THB
BID/ASK Singapore X X THBFIX Basis Swap BID/ASK Singapore X X INR (OIS)BID/ASK Singapore X X INR (MIFOR)BID/ASK Singapore X X CNY BID/ASK Singapore X X KRW BID/ASK Korea X X TWD
BID/ASK
Singapore
X
X
INTEREST RATE OPTIONS
AUD MID (VOLS), BID /ASK (PREMIUM)Australia X
HKD MID (Prem/Impl Vol/BP Vol)Hong Kong X CNY BID/ASK Hong Kong X SGD BID/ASK Singapore X KRW BID/ASK Singapore X IDR BID/ASK Singapore X INR BID/ASK Singapore X THB BID/ASK Singapore X TWD BID/ASK Singapore X MYR
BID/ASK Singapore
X
AUD BID/ASK
Australia X HKD MID (Prem/Impl Vol/BP Vol)Hong Kong X CNY BID/ASK Hong Kong X SGD BID/ASK Singapore X KRW BID/ASK Singapore X IDR BID/ASK Singapore X INR BID/ASK Singapore X THB BID/ASK Singapore X TWD BID/ASK Singapore X MYR
BID/ASK
Singapore
X
DISCLAIMER: The information contained within this document is correct as of May 2010 and is for information only. The instruments and terms are occasionally subject to change. The information is from sources believed to be reliable but no representation or warranty, express or implied, is made by ICAP as to the accuracy, completeness or reliability of such material and ICAP does not accept responsibility for any loss or damage arising from errors or omissions, such that any part of the information is distorted or omitted. Equally, ICAP does not accept any liability for any loss or damage, howsoever caused, arising from any reliance that is placed on the information contained in this document. References to ICAP are references to ICAP plc, a company incorporated in England with registered number 3611426 whose registered office is at 2 Broadgate, London, EC2M 7UR, and where the context requires, includes its subsidiary and associated undertakings.
Swaption Volatilities & Premiums
Cap/Floor Volatilities & Premiums
Product Currency / Instrument Quoted Fields Market/Data
Origination Intraday End of
Day
INTEREST RATE DERIVATIVES - STIRs
Forward Rate Agreements
FRAs 3M
CHF BID/ASK Lon X X
CZK BID/ASK Lon X X
EUR BID/ASK Lon X X
EUR /Today BID/ASK Lon X X
EUR /Tomorrow BID/ASK Lon X X
GBP BID/ASK Lon X X
HUF MID Lon X X
JPY BID/ASK Lon X X
PLN MID Lon X X
RUB BID/ASK Lon X X
TRY BID/ASK Lon X X
USD BID/ASK Lon X X
第十章互换与互换市场 本章概述 本章主要介绍互换市场以及互换的定价方法。 第一节互换市场概述 1.1 利率互换与货币互换 一、利率互换 利率互换（Interest Rate Swaps）是指双方同意在未来的一定期限内根据同种货币的同样的名义本金交换现金流，其中一方的现金流根据浮动利率计算出来，而另一方的现金流根据固定利率计算。互换的期限通常在2年以上，有时甚至在15年以上。 双方进行利率互换的主要原因是双方在固定利率和浮动利率市场上具有比较优势。假定A、B公司都想借入5年期的1000万美元的借款，A想借入与6个月期相关的浮动利率借款，B想借入固定利率借款。但两家公司信用等级不同，故市场向它们提供的利率也不同，如表10.1所示。 表10.1 市场提供给A、B两公司的借款利率 从表10.1可以看出，A的借款利率均比B低，即A在两个市场都具有绝对优势。但在固定利率市场上，A比B的绝对优势为1.2%，而在浮动利率市场上，A 比B的绝对优势为0.7%。这就是说，A在固定利率市场上有比较优势，而B 在浮动利率市场上有比较优势。这样，双方就可利用各自的比较优势为对方借款，然后互换，从而达到共同降低筹资成本的目的。即A以10%的固定利率借入1000万美元，而B以LIBOR+1%的浮动利率借入1000万美元。由于本金相同，故双方不必交换本金，而只交换利息的现金流。即A向B支付浮动利息，B向A支付固定利息。 通过发挥各自的比较优势并互换，双方总的筹资成本降低了0.5%（即 11.20%+6个月期LIBOR+0.30%―10.00%―6个月期LIBOR―1.00%），这就是互换利益。互换利益是双方合作的结果，理应由双方分享。具体分享比例由双方谈判决定。我们假定双方各分享一半，则双方都将使筹资成本降低0.25%，即双方最终实际筹资成本分别为：A支付LIBOR+0.05%浮动利率，B支付10.95%的固定利率。 这样，双方就可根据借款成本与实际筹资成本的差异计算各自向对方支付的现金流，即A向B支付按LIBOR计算的利息，B向A支付按9.95%计算的利息。 在上述互换中，每隔6个月为利息支付日，因此互换协议的条款应规定每6个月一方向另一方支付固定利率与浮动利率的差额。假定某一支付日的LIBOR 为 11.00%，则A应付给B5.25万美元[即1000万′0.5′（11.00%－9.95%）]。利率互换的流程图如图10.1所示。
利率互换例题
利率互换例题 甲公司借入固定利率资金的成本是10%，浮动利率资金的成本是 LIBOR+0.25% ;乙公司借入固定利率资金的成本是12%，浮动利率资金的成本是LIBOR+0.75%。假定甲公司希望借入浮动利率资金，乙公司希望借入固定利率资金。问： （1）甲乙两公司间有没有达成利率互换交易的可能性？ （2）如果他们能够达成利率互换，应该如何操作？ （3）各自承担的利率水平是多少？ （4）如果二者之间的利率互换交易是通过中介（如商业银行）达成的，则各自承 担的利率水平是多少？ 甲乙两公司的融资相对比较优势 如果甲公司借入固定利率资金，乙公司借入浮动利率资金，则二者借入资金的总成本为：LIBOR+10.75%。 如果甲公司借入浮动利率资金，乙公司借入固定利率资金，则二者借入资 金的总成本为：LIBOR+12.25% ；
由此可知，第一种筹资方式组合发挥了各自的优势能降低筹资总成本，共 节约1.5%， 即存在“免费蛋糕”。但这一组合不符合二者的需求，因此，应进行 利率互换。 互换过程为：甲公司借入固定利率资金，乙公司借入浮动利率资金，并进 行利率互换， 甲公司替乙公司支付浮动利率，乙公司替甲公司支付固定利率。 假定二者均分“免费蛋糕”，即各获得0.75%，则利率互换结果如下图所示： LIBOR-0.5% 10% LIBOR+0.75 固定利率债权 在这一过程中，甲公司需要向固定利率债权人支付 10%的固定利率，向乙 公司支付LIBOR-0.5%的浮动利率(直接借入浮动利率资金需要支付 LIBOR+0.25%，因获得0.75%的免费蛋糕，因此，需向乙公司支付 LIBOR- 0.5%)，并从乙公司收到10%的固定利率，因此，甲公司所需支付的融资总成 本为：10%+LIBOR-0.5%-10%= LIBOR-0.5%，比他以浮动利率方式直接筹资节 约 0.75%。 乙公司需要向浮动利率债权人支付 LIBOR+0.75%的浮动利率，向甲公司支 付10%的固 定利率，并从甲公司收到 LIBOR-0.5%的浮动利率，因此，乙公司 所需支付的融资总成本为： LIBOR+0.75%+10%-( LIBOR-0.5%)=11.25%，比 他以固定利率方式直接筹资节约 0.75%。 乙公司应该向甲公司净支付：10%-(LIBOR-0.5%)=10.5%-LIBOR 加入中介(如商业银行)，并假定三者均分“免费蛋糕”，则利率互换结果如 甲公司 10 % 乙公司 浮动利率债权
第一节互换概述 一、互换定义 简单的说，互换是指在互换方之间将各自资产收益或负债成本现金流互相调换。在互换交易中，一般总是双方将各自比较优势的资产或负债或现金流与另一方进行交换。 二、互换买方卖方 这里以常见的固定利率对浮动利率互换为例介绍。互换的买方指利率互换中固定利率支付方（同时也是浮动利率接受方）；互换的卖方即浮动利率支付方（同时也是浮动利率接受方）。 三、互换作用 1.互换双方可以利用各自的比较优势，降低筹资成本，并防范互换各方面面临的汇率、利率变动风险。 2.互换交易可以使互换各方方便地筹集到所希望的期限、币种及利率结构的资金。并可使互换方资产负债相匹配，以适应其资产负债管理要求。通过互换业务，还可以将流动性较差的债务加以转换，并使互换方财务状况得以改善。通过互换，还可以使跨国公司避免外汇管制及税收政策方面的限制，以充分利用跨国公司的独特优势。 四、互换的种类 从所涉及交易品种划分，互换可分为货币互换、利率互换、商品互换及股权互换及信用互换，还有衍生互换。 我们在后面的章节中逐一介绍。 第二节利率互换 一、利率互换概念 利率互换是指在同种货币间不同债务或资产在互换双方之间的调换，最基本的利率互换是固定利率支付或收取与浮动利率的支付或收取的交换。 最普通的利率互换是一方同意向另一方支付固定利率，同时另一方同意向对方支付浮动利率。实际上只需某一方支付二者的净利差即可。支付固定利息的一方称为互换买入方，支付浮动利息的一方称为互换卖出方。 基本原理是：互换双方利用在不同资金市场上的比较优势进行信用套利。即双方从信贷市场的不完全性或市场的低效率中共同获利。 二、利率互换概述 利率互换是那些需要管理利率风险的银行家、公司财务主管、资产组合经理们使用的常见工具。同其它金融衍生工具一样，互换可以使你在不必调整基础资产组合的条件下从而控制风险水平。助学金营销协会（SALLIE MAE）在1982年签订了第一张互换合约。 一些固定利率资产会带来固定的利息；这些资产产生的收入水平不会随着市场利率的变动而变化。而其它资产却会有浮动的、变化的利息。典型的浮动利率是LIBOR或美国短期国债利率，最普便使用的浮动利率是6个月期的浮动利率。 在一项互换交易中，有两个主要的参与者，其中一方支付固定利率，另一方支付确定标的的浮动利率。我们称支付固定利率的一方是买进互换，支付浮动利率的一方是卖出互换。 随着互换市场的成长，很显然，标准化互换的出现既有助于市场的发展，又可以减少起草合同的相关的法律费用。运用互换的金融机构已经认识到不必每次筹划一个新的互换交易都要起草新的合同文本。 这样就导致了国际互换交易商协会的诞生，现在更名为国际互换和衍生产品协会（ISDA）。它的出现反映了大规模衍生市场需要标准化，ISDA为标准化互换提供了一套标
人民币利率互换交易协议 编号：SH-CNYIRS-08XXX 甲方：公司“以下简称甲方” 乙方：* * 银行股份有限公司* * 分行“以下简称乙方” 根据甲方于ⅩⅩ年月日出具的编号为SU-CNYIRS08XXX 的《人民币利率互换交易指令书》，乙方已经接受甲方指令条件并达成交易。经平等协商一致，现甲方与乙方就上述指令所涉交易内容及双方的权利和义务达成如下协议： 一、定义 本协议项下所称的“交易”是指人民币利率互换交易，具体是指：交易双方约定在未来的一定期限内，根据约定数量的人民币本金交换现金流的行为，其中一方的现金流根据浮动利率计算，另一方的现金流根据固定利率计算。
二、交易内容 1、利率互换开始日期：ⅩⅩ年月日 2、利率互换结束日期：2016年月日（从开始日起1年整， 如遇非北京工作日向后顺延）； 3、名义本金金额：人民币700,000,000.00元； 4、甲方支付浮动利率：SHIBOR O/N； SHIBOR O/N：指中国同业拆借中心每天上午9：30左右发布的当日隔夜拆借定盘利率； 5、浮动利率重置： 1）每季度为一个付息期； 2）付息期内，每1天为一个计息期，浮动利率SHIBOR O/N 每天重置； 3）首个计息日利率为ⅩⅩ年月日的SHIBOR O/N，即％，以后每个工作日重置SHIBOR O/N 4）如利率重置日为非工作日，则以该重置日前一个工作日的SHIBOR O/N作为该日的利率； 6、浮动利率计息基础：Act/365，复利； 7、乙方支付固定利率：％；
8、固定利率计息基础：Act/365，单利； 9、利息支付日：每季度支付一次。 10、计息调整惯例：调整（Adjusted）。即：按假日调整后的实 际付息日计算当期利息； 11、工作日调整惯例：修正的下一工作日（Modified Following）。即：如果协议付息日为国家法定假日，先检查 下一工作日是否跨入了下一个日历月，如果没有跨入下一日 历月，就调整到下一工作日；如果跨入了下一个日历月，就 调整到协议付息日的前一个工作日； 12、银行工作日：北京 13、利息计算方：* * 银行股份有限公司* * 分行 14、结算账户： 15、交易适用法律：中国法律及法规 三、甲方的声明与保证 1、甲方是依法设立并合法存续的法人，具备签订和履行本协议所必须的权利能力和行为能力，能独立承担民事责任。 2、进行本协议项下交易的目的是防范风险或保值，不违反国家
货币掉期（CRS）,外汇互换/掉期（FX Swap）,利率互换（IRS）的区别 自央行发布《中国人民银行关于在银行间外汇市场开办人民币外汇货币掉期业务有关问题的通知》后，货币掉期（Cross Currency Interest Rate Swap ，简称 C R S ）正式进入人们的视野。银行间外汇市场目前已有即期结售汇、远期结售汇、即期、远期、外汇互换等汇率产品，随着货币掉期的加入，产品线逐渐丰富，可供汇率风险管理的工具也逐渐增多。 可分解为本外币资产组合 货币掉期指在约定期限内交换约定数量的两种货币，同时定期交换两种货币利息的交易协议。一般在期初按约定汇率交换两种货币，并在期末以相同汇率、相同金额进行一次本金的反向交换，也有只在期末交换本金。利息支付可以采用固定利率，也可以采用浮动利率，于是有固定对固定、固定对浮动、浮动对浮动三种基本形式的货币互换。人民银行规定人民币参考利率应该是同业拆借中心发布的货币市场利率，如七天回购利率（R007）、 3 个月SHIBOR 等，或存贷款基准利率。外币参考利率可有交易双方协定，一般采用伦敦同业拆放利率（LIBOR ），如 3 个月美元LIBOR 等。 货币掉期与利率掉期相似，利率掉期是同种货币不同利率之间的互换，如固定利率换3个月SHIBOR ,不交换本金只交换利息，因此违约风险较小。而货币掉期是两种货币的利率 之间的互换，如人民币 3 个月SHIBOR 换美元 3 个月LIBOR ，期初买方（定义为收美元利息的一方）支付美元收到人民币（一般按即期汇率），期间收基于LIBOR 的美元利息付基于SHIBOR 的人民币利息，期末再按同样汇率收回美元付出人民币。因为期末有本金交换，所以货币掉期的违约风险要大于利率掉期，并且多了一种汇率风险。 名称上货币掉期与外汇互换容易弄混，外汇互换（FX Swap ）指期初买入美元期末卖出美元或相反方向，相当于一笔即期与一笔远期（或两笔远期）的综合，只涉及近端汇率与远端汇率而不涉及利率。而货币掉期本金交换近端远端按相同汇率，期间还交换利息。 浮动对浮动货币掉期可以拆解为固定对固定货币掉期与一笔人民币利率互换、一笔美元 利率互换的加总，如人民币美元3个月SHIBOR 对3 个月LIBOR 货币掉期可拆解为人民币基于 3 个月SHIBOR 的利率互换、美元基于 3 个月LIBOR 的利率互换、固定利率对固定利率的人民币兑美元货币掉期三笔交易，因此固定利率对固定利率的货币掉期的定价是最为核心的。 以固定利率对固定利率货币掉期的定价为例，一般将其视为一个美元债券与一个人民币 债券的组合，将美元端的现金流按一定的折现因子折现到期初可得到美元债券的价值，同样将人民币端的现金流按其相应的折现因子折现到期初可得到人民币债券的价值，美元债券价 值乘以即期汇率减去人民币债券价值即为对货币掉期买方的价值，一般在期初通过确定合适 的人民币利率来使合约价值为零。浮动对浮动的人民币兑美元货币掉期美元端如果是以3个月LIBOR 来计息，而人民币端以 3 个月SHIBOR 为基准，则期初的定价即为确定在 3 个月SHIBOR 上加多少点使合约价值为零，货币掉期合约的市值重估采用同样方法。 人民币兑美元货币掉期除了面临违约风险外，还面临了三种市场风险，分别是人民币利率、美元利率、人民币兑美元即期汇率三种价格变动的风险。银行等金融机构在进行人民币兑美元货币掉期交易时可采用合约价值对以上三种变量的delta 值来进行交易风险管理。
利率互换及其交易策略介绍 一、利率互换简介 利率互换（ Interest Rate Swap, IRS），是指交易双方约定在未来的一定期限 内根据约定数量的名义本金，在合同期指定的一系列特定日期按照不同的计息方 式交换利息的交易。最常见的利率互换是固定利率与浮动利率的互换，在一系列指定日期，一方须支付浮动利率，另一方则支付固定利率。而在实际结算时，双 方只用交付差额，比如在某一指定日期，浮动利率大于固定利率，那么支付浮动利率的交易方支付（浮动利率－固定利率）* 名义本金。 利率互换的基本原理是基于比较优势。比较优势理论的核心是指：由于筹资者信用等级不同，所处地理位置不同，对于不同金融工具使用的熟练程度不同， 取得资金的难易程度不同等原因，在筹资成本上存在着比较优势。这种比较优势的存在使筹资者能够达成相互协议，在各自领域各展所长，然后相互交换债务，从而达到降低筹资成本或对冲利率风险的目的。 例如：A 公司是信用评级为 AAA 级的大型公司，其固定利率融资成本为 7%，浮动利率融资成本为 LIBOR+0.4% ； B 公司是信用评级为 BBB 的中小型公司，它的固定利率融资成本为 8.5%，浮动利率融资成本为 LIBOR+0.7% 。 表 1：A 公司与 B 公司固定、浮动融资利率利差 A 公司 B 公司利差 固定利率融资成本7%8.5% 1.5% 浮动利率融资成本LIBOR+0.4%LIBOR+0.7%0.3% 从上表可以看出，无论是固定利率融资还是浮动利率融资， A 公司都拥有绝对优势，但 B 公司在浮动利率融资上具有比较优势。现假设 A 公司需要浮动利 率资金， B 公司需要固定利率资金，双方都需要发挥自己的相对优势，并通过利 率互换将这种优势转会化为实际经济利益。因此， A 公司按 7%的固定利率筹措 资金，B 公司按 LIBOR+0.7% 的浮动利率筹措资金然后进行利率互换。于是A和B达成如下互换协议：
郑振龙《金融工程》第2版课后习题 第七章互换的定价与风险分析 1．假设在一笔互换合约中，某一金融机构每半年支付6个月期的LIBOR，同时收取8％的年利率（半年计一次复利），名义本金为l 亿美元。互换还有1.25年的期限。3个月、9个月和15个月的LIBOR（连续复利率）分别为10％、10.5％和11％。上一次利息支付日的6个月LIBOR 为10.2％（半年计一次复利）。试分别运用债券组合和FRA 组合计算此笔利率互换对该金融机构的价值。 答：（1）运用债券组合计算该笔利率互换的价值 ①现金流交换日交换的固定利息额) (04.0)2/%8(1亿美元=?=K 根据固定利率债券定价公式有： )(9824.004.104.004.025.111.075.0105.025.01.0亿美元=++=?-?-?-e e e B fix ； ②下一交换日应交换的浮动利息额)(051.0)2/%2.10(1* 亿美元=?=K )(0251.1)051.01(25.01.0亿美元=+=?-e B fl ； ③由题意可知，该金融机构是互换空头，即浮动利率的支付者，则其利率互换的价值为：（亿美元）互换-0.0431.0251-0.9824==-=fl fix B B V 。 （2）运用FRA 组合计算该笔利率互换的价值 6个月计一次复利的8%对应的连续复利利率为=+)2/%81ln(27.84%。 计算该金融机构每次交换后的FRA 价值。 ①3个月后交换的FRA 价值为：-0.011= ）e e -(e ×10.25-10%0.510%0.57.84%???（亿美 元）； ②3个月到9个月的远期利率为：0.1050.750.100.250.10750.5?-?=
货币掉期(CRS),外汇互换/掉期(FX Swap),利率互换(IRS)的区别 自央行发布《中国人民银行关于在银行间外汇市场开办人民币外汇货币掉期业务有关问题的通知》后，货币掉期（Cross Currency Interest Rate Swap，简称CRS）正式进入人们的视野。银行间外汇市场目前已有即期结售汇、远期结售汇、即期、远期、外汇互换等汇率产品，随着货币掉期的加入，产品线逐渐丰富，可供汇率风险管理的工具也逐渐增多。 可分解为本外币资产组合 货币掉期指在约定期限内交换约定数量的两种货币，同时定期交换两种货币利息的交易协议。一般在期初按约定汇率交换两种货币，并在期末以相同汇率、相同金额进行一次本金的反向交换，也有只在期末交换本金。利息支付可以采用固定利率，也可以采用浮动利率，于是有固定对固定、固定对浮动、浮动对浮动三种基本形式的货币互换。人民银行规定人民币参考利率应该是同业拆借中心发布的货币市场利率，如七天回购利率（R007）、3个月SHIBOR等，或存贷款基准利率。外币参考利率可有交易双方协定，一般采用伦敦同业拆放利率（LIBOR），如3个月美元LIBOR等。 货币掉期与利率掉期相似，利率掉期是同种货币不同利率之间的互换，如固定利率换3个月SHIBOR，不交换本金只交换利息，因此违约风险较小。而货币掉期是两种货币的利率之间的互换，如人民币3个月SHIBOR换美元3个月LIBOR，期初买方（定义为收美元利息的一方）支付美元收到人民币（一般按即期汇率），期间收基于LIBOR的美元利息付基于SHIBOR的人民币利息，期末再按同样汇率收回美元付出人民币。因为期末有本金交换，所以货币掉期的违约风险要大于利率掉期，并且多了一种汇率风险。 名称上货币掉期与外汇互换容易弄混，外汇互换（FX Swap）指期初买入美元期末卖出美元或相反方向，相当于一笔即期与一笔远期（或两笔远期）的综合，只涉及近端汇率与远端汇率而不涉及利率。而货币掉期本金交换近端远端按相同汇率，期间还交换利息。 浮动对浮动货币掉期可以拆解为固定对固定货币掉期与一笔人民币利率互换、一笔美元利率互换的加总，如人民币美元3个月SHIBOR对3个月LIBOR货币掉期可拆解为人民币基于3个月SHIBOR的利率互换、美元基于3个月LIBOR的利率互换、固定利率对固定利率的人民币兑美元货币掉期三笔交易，因此固定利率对固定利率的货币掉期的定价是最为核心的。 以固定利率对固定利率货币掉期的定价为例，一般将其视为一个美元债券与一个人民币债券的组合，将美元端的现金流按一定的折现因子折现到期初可得到美元债券的价值，同样将人民币端的现金流按其相应的折现因子折现到期初可得到人民币债券的价值，美元债券价值乘以即期汇率减去人民币债券价值即为对货币掉期买方的价值，一般在期初通过确定合适的人民币利率来使合约价值为零。浮动对浮动的人民币兑美元货币掉期美元端如果是以3个月LIBOR来计息，而人民币端以3个月SHIBOR为基准，则期初的定价即为确定在3个月SHIBOR上加多少点使合约价值为零，货币掉期合约的市值重估采用同样方法。 人民币兑美元货币掉期除了面临违约风险外，还面临了三种市场风险，分别是人民币利
《金融工程学》作业七 第7章 第17节结束时布置 教材第130页 1、2、3、4 1. 假设在一笔互换合约中，某一金融机构每半年支付6个月期的LIBOR ，同时收取8%的年利率（半年计一次复利），名义本金为1亿美元。互换还有1.25年的期限。3个月、9个月和15个月的LIBOR （连续复利率）分别为10%、10.5%和11%，上一次利息支付日的6个月LIBOR 为10.2%（半年计一次复利）。试分别运用债券组合和FRA 组合计算此笔利率互换对该金融机构的价值。 答:（1）运用债券组合： 从题目中可知$400k =万，*$510k =万，因此 0.10.250.1050.750.111.2544104$0.9824 fix B e e e -?-?-?=++=亿美元 ()0.10.25100 5.1$1.0251 fl B e -?=+=亿美元 所以此笔利率互换对该金融机构的价值为 98.4－102.5＝－427万美元 （2）运用FRA 组合： 3个月后的那笔交换对金融机构的价值是 ()0.10.250.51000.080.102107e -???-=-万美元 由于3个月到9个月的远期利率为 0.1050.750.100.250.10750.5?-?= 10.75％的连续复利对应的每半年计一次复利的利率为 () 0.1075/221e ?-= 0.11044 所以9个月后那笔现金流交换的价值为 ()0.1050.750.51000.080.11044141e -???-=-万美元 同理可计算得从现在开始9个月到15个月的远期利率为11.75%，对应的每半年计一次复利的利率为12.102%。 所以15个月后那笔现金流交换的价值为 ()0.111.250.51000.080.12102179e -???-=-万美元 所以此笔利率互换对该金融机构的价值为 107141179427---=-万美元 2. 请解释协议签订后的利率互换定价和协议签订时的互换定价有何区别。 答:协议签订后的利率互换定价，是根据协议内容与市场利率水平确定利率互换合约的价值。对于利率互换协议的持
CHAPTER 14 INTEREST RATE AND CURRENCY SWAPS 1. Alpha and Beta Companies can borrow for a five-year term at the following rates: Alpha Beta Moody’s credit rating Aa Baa Fixed-rate borrowing cost 10.5% 12.0% Floating-rate borrowing cost LIBOR LIBOR + 1% a. Calculate the quality spread differential (QSD). b. Develop an interest rate swap in which both Alpha and Beta have an equal cost savings in their borrowing costs. Assume Alpha desires floating-rate debt and Beta desires fixed-rate debt. No swap bank is involved in this transaction. 2. Do problem 1 over again, this time assuming more realistically that a swap bank is involved as an intermediary. Assume the swap bank is quoting five-year dollar interest rate swaps at 10.7% - 10.8% against LIBOR flat. 8. A company based in the United Kingdom has an Italian subsidiary. The subsidiary generates €25,000,000 a year, received in equivalent semiannual installments of €12,500,000. The British company wishes to convert the euro cash flows to pounds twice a year. It plans to engage in a currency swap in order to lock in the exchange rate at which it can convert the euros to pounds. The current exchange rate is €1.5/￡. The fixed rate on a plain vanilla currency swap in pounds is 7.5 percent per year, and the fixed rate on a plain vanilla currency swap in euros is 6.5 percent per year. a. Determine the notional principals in euros and pounds for a swap with semiannual payments that will help achieve the objective. b. Determine the semiannual cash flows from this swap. ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part.
固定利率掉期产品介绍 当企业已借入高固定利率的外债，而资本市场融资成本不断降低时，会相对加大外债偿还成本，合理地使用金融衍生工具对债务利率进行管理，可有效地降低外债债务偿还成本。下面，结合我市某企业的外债债务状况，介绍一种固定利率掉期产品。 举例债务现状：截至2005年上半年尚有贷款余额6835万美元，剩余还款期年，分25次还款；年利率为%。经测算，该项债务未来需偿还利息总额约为3438万美元。 固定利率掉期产品结构： 掉期期限年。掉期后按下面约定在每个还款日交换利息（每季度交换一次，计息方式为实际计息天数/360）： 银行支付：当期贷款余额×%。 客户支付：第一年当期贷款余额×% 第二年至第三年当期贷款余额×（上一期支付利率+后置6M LIBOR×N/90）。计算公式中的N为CMS30-CMS2<0的天数，即30年掉期利率小于2年掉期利率的天数。 第四年至第十年当期贷款余额×上一期支付利率利息交易核心内容解读 该产品通俗表述为：客户在整个利息交换期内，基础交换利率为%，第二、第三年（称交换利率变动条件观察期）依据市场CMS30-CMS2<0的天数，调整
计算客户此后应支付利息的利率水平。由此可见，该产品的核心内容是：CMS30和CMS2的关系。 1、若出现CMS30-CMS2<0时，则按上一期支付利率+后置6M LIBOR×N/90计算应支付利息的利率，观察期内按季度计算,累计递加。 2、若不出现CMS30-CMS2＞0的情况，则执行上一期支付利率。 3、若观察期内均为CMS30-CMS2＞0则全部利息交换利率固定为%。 产品效能及风险分析 效能：该产品的最大效能条件为观察期内CMS30-CMS2全部＞0。结合上面举例外债债务测算，可将交换利率固定在%，未来利息总支出为2010万美元，可比原债务降低利息支出1428万美元。若出现CMS30-CMS2＜0的情况，依据出现的天数和市场即期6个月LIBOR的不同，对未来还款成本增减影响各不相同。具体情况测算如下表（“-”为减少支出）： 风险：从上表内测算的数据可以看出，风险的高低主要取决于不同LIBOR 水平下第二年至第三年间N的大小。汇总不同LIBOR水平情况下突破原债务利率水平（%）的风险临界值（即超过此值，将增加偿债成本）如下：当LIBOR为5、6、7、8、9、10%时，CMS30-CMS2<0的天数的风险临界值约为50、44、38、32、29和27天。 交易利弊分析：
案例16：货币互换 某化工厂在1987年底筹措了250亿日元的项目资金，期限十年，固定利率5%。计划1992年项目投产后以创汇的美元来归还日元贷款。这样企业到偿还贷款时，将承受一个较大的汇率风险。如果汇率朝着不利于企业的方向波动，那么即使1美元损失10日元，企业亦将多支付16.56亿日元。而日元兑美元的汇率几年里波动三四十日元是极平常的事情。所以，未雨绸缪，做好保值工作对于企业十分重要。以下是该企业通过货币互换对债务进行保值的具体做法。 （一）交易的目的及市场行情分析 1990年上半年，某化工厂在金融机构专家的指导下，通过对美、日两国基本经济因素的分析和比较，认为从中长期来看，日元升值的可能性是很大的。预期日元经过三次大的升值和回跌循环期（第一次循环期：1971年——1975年；第二次循环期，1975年——1985年；第三次循环期；1985年至目前），从1992年可能进入一个新的日元升值周期。这样企业从1992年还款起，将会有很大的汇率风险。在1988年日元曾两度升值，其汇率为120日元，到1990年初已贬值到145日元。从技术图上分析日元还将从145日元兑1美元向下贬值至155日元水平。另外，有信息表明日本资金正大量外流，这对日元汇价造成很大的压力。因此，该企业预计1990年可能出现美元兑日元的相对高值时机，到时可以通过货币互换这一有效的保值工具，把250亿日元债务互换为美元债务，以避免长期汇率波动的风险。 在筹资时，该企业请有关金融专家为项目制定过一个筹资方案，如果借日元，项目设计的汇率水平应该是1美元兑148日元，如果是借美元，浮动利率是6个月，或者是固定利率8.7%。由于1987年底，日元货款利率明显比美元利率低3.7个百分点，如果还款时日元平均升值达1美元兑121.50日元，那么借日元所得到的利差正好抵销对美元的汇率损失。如果企业能在行情有利的情况下，不失时机地运用货币互换，把汇率固定在一个比较理想的水平，这样不但能避免以后日元升值带来的汇率风险，另一方面企业已经得到前三年借日元的利差好处。如果汇率能固定在设计的汇率水平以上，这样又可以大大降低项目的预算成本。 （二）实际交易 1990年2月下旬，日本股票连连暴跌，日经平均指数跌幅达30%，由此引起日元汇价大跌。美元兑日元汇价从145 日元经过不到一个月的时间，冲破了150日元台阶，3月下旬已达154日元，以后又升至160日元。当时有的国外金融专家分析美元兑日元汇价会抵170日元，甚至有的预测可能会到180日元。但是该企业比较客观实际，认为外汇趋势是很观预测的，把握当前才是十分重要。1美元兑160日元已比该企业预期和希望的汇价要好，比项目筹资方案中设计的汇价高出12日元（设计汇价是1美元兑148日元）。利率方面，由于1990年初市场日元利率已是高水平，比原债务5%固定利率约上升了3个百分点。所以，按当时的互换市场已能对日元债务进行保值，并且从汇率和利率得益中可以大大降低项目预算成本。故该企业毅然决定于1990年4月份委托一家金融机构及时成交了该笔日元对美元的债务互换。最终把250亿日元债务以160日元兑1美元的汇率互换成1.5625亿美元债务，并且支付美元浮动利率6个月。 与项目设计的汇率和利率水平比较，汇率部分比设计水平降低：（250亿日元÷148日元/1美元）（250亿日元÷160日元/1美元）=1269万美元利率部分比设计成本降低：1.5625亿美元（互换后的本金）×1.9%（降低的利差）×4.8584（平均年限）=1442万美元因此，汇率和利率部分合计比设计水平降低2709万美元，经济效益十分显著。这是一笔十分成功的货币互换交易。 （三）互换期限的计算 互换交易中，如果本金是一次性到期归还，那么，该互换期限的计算就是从交易日以后的第二个营业日开始到归还本金这一天结束，如果这个期限是五年，我们就称此为一笔五年期的互换交易。如果债务的本金是分次归还的，那么，互换期限就要用平均期限来计算。从结构上讲，一笔分次还本的互换交易可视作为由一系列不同期限的互换交易所组成。以本货币互换为例，这是一笔分十二次还本的货币互换，通过下面的计算（见表下表1），得出互换平均年限是4.8584年，差不多是一笔五年期的货币互换，而不能因为整个交易期限为七年半（1990年4月到1997年11月），而认定它是
利率互换及其交易策 略介绍
利率互换及其交易策略介绍 一、利率互换简介 利率互换（Interest Rate Swap, IRS），是指交易双方约定在未来的一定期限内根据约定数量的名义本金，在合同期指定的一系列特定日期按照不同的计息方式交换利息的交易。最常见的利率互换是固定利率与浮动利率的互换，在一系列指定日期，一方须支付浮动利率，另一方则支付固定利率。而在实际结算时，双方只用交付差额，比如在某一指定日期，浮动利率大于固定利率，那么支付浮动利率的交易方支付（浮动利率－固定利率）*名义本金。 利率互换的基本原理是基于比较优势。比较优势理论的核心是指：由于筹资者信用等级不同，所处地理位置不同，对于不同金融工具使用的熟练程度不同，取得资金的难易程度不同等原因，在筹资成本上存在着比较优势。这种比较优势的存在使筹资者能够达成相互协议，在各自领域各展所长，然后相互交换债务，从而达到降低筹资成本或对冲利率风险的目的。 例如：A公司是信用评级为AAA级的大型公司，其固定利率融资成本为7%，浮动利率融资成本为LIBOR+0.4%；B公司是信用评级为BBB的中小型公司，它的固定利率融资成本为8.5%，浮动利率融资成本为LIBOR+0.7%。 表1：A公司与B公司固定、浮动融资利率利差 从上表可以看出，无论是固定利率融资还是浮动利率融资，A公司都拥有绝对优势，但B公司在浮动利率融资上具有比较优势。现假设A公司需要浮动利率资金，B公司需要固定利率资金，双方都需要发挥自己的相对优势，并通过利率互换将这种优势转会化为实际经济利益。因此，A公司按7%的固定利率筹措资金，B公司按LIBOR+0.7%的浮动利率筹措资金然后进行利率互换。于是A和B达成如下互换协议：
货币互换与利率互换 货币互换（currency swap） 目录 1 货币互换概述 2 货币互换优点 3 货币互换的交易机制 4 货币互换交易价格的报价 5 货币互换功能 6 货币互换的定价 7 货币互换实例 货币互换概述 利率互换与货币互换在互换交易中占主要地位。 货币互换(又称货币掉期)是指两笔金额相同、期限相同、计算利率方法相同，但货币不同的债务资金之间的调换，同时也进行不同利息额的货币调换。简单来说，利率互换是相同货币债务间的调换，而货币互换则是不同货币债务间的调换。货币互换双方互换的是货币，它们之间各自的债权债务关系并没有改变。初次互换的汇率以协定的即期汇率计算。 货币互换的目的在于降低筹资成本及防止汇率变动风险造成的损失。 货币互换的条件与利率互换一样，包括存在品质加码差异与相反的筹资意愿，此外，还包括对汇率风险的防范。 货币互换优点 ①可降低筹资成本 ②满足双方意愿 ③避免汇率风险，这是因为互换通过远期合同，使汇率固定下来。这个互换的缺点与利率互换一样，也存在违约或不履行合同的风险，如果是这样，另一方必然因利率、汇率变动而遭受损失 这里须注意的是，货币互换与利率互换可以分别进行，同时也可结合同时进行。但操作原理与上述单个互换一样。 互换交易形式除上述利率互换和货币互换两大形式外，还有其他许多形式，这里介绍3种。 (1)平行贷款(parallel loan)。 (2)背对背贷款(back-to-back loan)。 (3)中长期期汇预约(medium and long-term foreign exchange contract) 货币互换的交易机制 使用货币互换涉及三个步骤： 第一步是识别现存的现金流量。互换交易的宗旨是转换风险，因此首要的是准确界定已存在的风险。 第二步是匹配现有头寸。只有明了现有头寸地位，才可能进行第二步来匹配现有头寸。基本上所有保值者都遵循相同的原则，即保值创造与现有头寸相同但方向相反的风险，这就是互换交易中所发生的。现有头寸被另一数量相等但方向相反的头寸相抵消。因而通过配对或保值消除了现有风险。 互换交易的第三步是创造所需的现金流量。保值者要想通过互换交易转换风险，在互换
一、 单项选择 1、下列关于远期价格和远期价值的说法中，不正确的是：（B ） B ．远期价格等于远期合约在实际交易中形成的交割价格 2.在衍生证券定价中，用风险中性定价法，是假定所有投资者都是( 风险无所谓的 3.金融工具合成是指通过构建一个金融工具组合使之与被模仿的金融工具具有(相同价值 4.远期价格是( 使得远期合约价值为零的交割价格 5.无收益资产的美式期权和欧式期权比较( 美式期权价格大于欧式期权价格 6.无收益资产欧式看跌期权的价格上限公式是( )(t T r Xe p --≤ 7.在期货交易中，基差是指（B.现货价格与期货价格之差 8.无风险套利活动在开始时不需要（任何资金） 投入。 9.金融互换具有( 降低筹资成本 )功能。 10.对利率互换定价可以运用(债券组合定价 )方法。 11.期货价格和远期价格的关系（ 期货价格和远期价格具有趋同性 )。 12.对于期权的买者来说，期权合约赋予他的（ 只有权利而没有义务 13.期权价格即为( 内在价值加上时间价值 14.下面哪一因素将直接影响股票期权价格( 股票价格的波动率 15.无收益资产的欧式看涨期权与看跌期权之间的平价关系为( s p Xe c t T r +=+--)( 16、假设有两家公司A 和B ，资产性质完全一样，但资本结构不同，在MM 条件下，它们每年创造的息税前收益都是1000万元。A 的资本全部由股本组成，共100万股（设公司不用缴税），预期收益率为10%。B 公司资本中有4000万企业债券，股本6000万，年利率为8%，则B 公司的股票价格是（100）元 17、表示资金时间价值的利息率是（社会资金平均利润率 18.金融工程的复制技术是（一组证券复制另一组证券 19、金融互换的条件之一是( 比较优势 20、期权的内在价值加上时间价值即为( 期权价值 21、对于期权的卖者来说，期权合约赋予他的（ 只有义务而没有权利 22、无收益资产的美式看跌期权和欧式看跌期权比较( 美式期权价格大于欧式期权价格 二、多项选择 1、下列因素中，与股票欧式看涨期权价格呈负相关的是：（期权执行价格/期权有效期内标的股票发放的红利 2、以下关于实值期权和虚值期权的说法中，不正确的是：（ ABCD ） A ．当标的资产价格高于期权执行价格时，我们将其称为实值期权 B ．当标的资产价格低于期权执行价格时，我们将其称为虚值期权
利率互换和货币互换的定价思想和定价模型 刘蕾 数量经济系 利率互换和货币互换的估值及定价，既涉及到数学问题也涉及到技术问题。在对互换交易进行估价和定价的过程中，不同的市场对收益的计算方法往往不同，而且互换交易不是标准化的场内交易，因此，其定价过程也就相对复杂了。 对于互换定价我们用的也是无套利均衡分析方法。即互换定价，通常是指寻找一种合适的固定利率，使某一笔新互换交易净现值为零(否则就存在无风险套利机会)。而所谓估值是指确定某一笔现存互换业务净现值，其固定利率是已知的。简单的说，定价是另净现值为零求固定利率；而估值是用已知的固定利率确定净现值。 而且类似于其他金融衍生工具的定价，我们对互换定价也应有以下的基本假设： 1、假设市场是完全的，不存在无风险利润； 2、假设投资者可进行无限制买空和卖空； 3、不存在交易费用； 4、不存在违约风险 这里针对利率互换和货币互换的定价分别进行讨论。 一、利率互换的估值和定价 利率互换是协议双方同种货币的固定利率与浮动利率之间的互换。利率互换的定价，就是要定出与浮动利率互换的固定利率的大小。求解互换的固定利率，首先是将未来各期浮动利率的支付款进行贴现求总（这其实也就是对浮动利率支付款估值），然后根据净现值为零，即浮动利率的支付款和固定利率支付款现值相等的技术将固定利率求解出来。 固定利率收取方的现金流量如下： ik ？ 图 1 同种货币内部的普通利率互换 应该指出，浮动利率的确定是采用与某种利率指数挂钩的办法。从理论上讲，采用短期国债利率作为利率指数最有道理，实际上最常用的是伦敦银行同业拆放利率，即LIBOR(London InterBank Offer Rate)，非标准的互换的浮动利率有时用LIBOR 加减若干基本点（一个基本点是0.01%）给出。另外，对于普通标准利率互换来说，浮动利率应该是无风险利率。因此，未来浮动利率期望值就是远期利率。也就是说，我们用远期利率作为浮动利率。 因此，我们首先从对浮动利率部分的估值开始。假设一次K 期利率互换交易的浮动利率部分现值的一般表达式为： j k j j j j v B d P f PV ∑=-=11浮动 （1） 其中：浮动PV 为浮动利率部分的现值 j f 为自时点j-1至时点j 的远期利率 j p 为自时点j-1至时点j 的名义本金额
第六章互换 复习思考题 6.1.货币互换在我国人民币国际化进程中起到了什么样的作用？ 6.2.利率互换的应用相比通过债券的发行和赎回操作来管理利率风险具有哪些优势？ 6.3.通过互换来发挥比较优势需要交易双方具备什么样的条件？ 讨论题 6.1.权益互换在我国有哪些应用？相比融资融券具有哪些优势？ 6.2.互换产品的发展对我国利率市场化发展有何作用？ 6.3.为何互换产品比远期合约更受市场欢迎？ 6.4.查阅资料，了解商品互换的实际应用。 复习思考题答案 6.1.货币互换在我国人民币国际化进程中起到了什么样的作用？ 答：除了规避风险，利用互换还可以促进货币在其他国家的应用，比如我国在推进人民币国际化的过程中，通过货币互换大大提升了其他国家的人民币结算。截止2013年10月，中国人民银行已与包括英格兰、欧洲央行、韩国、新加坡等22个国家和地区的央行签署了27笔货币互换交易，合计2.8167万亿元人民币。货币互换的签署可为相应国家人民币市场的进一步发展提供流动性支持，促进人民币在境外市场的使用，也有利于贸易和投资的便利化。 6.2.利率互换的应用相比通过债券的发行和赎回操作来管理利率风险具有哪些优势？ 答：利率互换管理利率风险的优势体现在以下几个方面： 1.利率互换相对债券的发行和赎回，管理利率风险的方式更灵活，可以根据未来利率市场环境的变化，通过增加相应期现的利率互换合约灵活的调整公司的负债结构，降低融资成本。 2.利率互换管理利率风险的成本更低，利率互换由签约双方协商决定，且一般只交换利息差，交易成本较低，同时调整风险敞口的成本相对债券的发行和赎回成本也更低。 3.利率互换管理利率风险更快捷方便，债券发行和赎回程序繁琐，审核时间比利率互换合约的达成要长很多。 4.利率互换属于表外业务，在税收方面也具有优势 6.3.通过互换来发挥比较优势需要交易双方具备什么样的条件？ 答：互换通过比较优势进行套利需满足两个条件： 第一，互换两方对于对方的资产或负债均有需求； 第二，二者在互换标的上存在比较优势。 在此条件下，通过互换，买卖双方可以共同达到提高收益或者降低成本的目的，二者的总收益正是比较优势部分。 讨论题答案 6.1.权益互换在我国有哪些应用？相比融资融券具有哪些优势？ 答案提示：此题目需要学生自主搜集整理资料了解权益互换（股权互换）的应用，此处援引中信证券股权互换产品的介绍说明权益互换的应用，做个参考： 通过股票收益互换可以实现以下功能： 股权融资：持股客户通过收益互换可以向证券公司进行融资，实现与股权质押融资、买断式融资同样的交易效果。 策略投资：证券公司通过收益互换可以向客户提供多样化的交易策略，帮助客户进行主题投资、获取alpha收益、增强指数收益等。 杠杆交易：通过收益互换，客户并不需要实际持有股份，只需支付资金利息即可换取股