스왑(SWAP)

소개

스왑에 대한 내용 소개 및 현금흐름, 가치평가 등을 자세히 모아놓은 PPT파일입니다.

목차

Introduction
Mechanics of Interest Rate Swaps (IRS)
Example of IRS
Using the Swap to transform a Liability
Using the Swap to transform an Asset
Role of Financial Intermediary
Market Makers
Day Count Issues
Confirmation
The comparative-advantage argument
Determining LIBOR/Swap zero rates
Example
Valuation of interest rate swaps
Introduction
Valuation in Terms of FRAs
Currency Swaps
Typical Uses of a Currency Swaps
omparative Advantage
.
.

본문내용

Nature of Swaps
A swap is an agreement to exchange cash flows at specified future times according to certain specified rules
Two popular swaps
plain vanilla interest rate swaps
fixed-for-fixed currency swaps

plain vanilla interest rate swaps
In this swap a company agrees to pay cash flows equal to interest at a predetermined fixed rate on a notional principal for a number of years. In return, in receives interest at a floating rate on the same notional principal for the same period of time.
floating rate
The floating rate in most interest rate swap agreements is the London Interbank Offered Rate (LIBOR).

Consider a 3-year swap initiated on March 5, 2007, between Microsoft and Intel.
An agreement by Microsoft to receive 6-month LIBOR & pay a fixed rate of 5% per annum every 6 months for 3 years on a notional principal of $100 million

Cash Flows to Microsoft

Received:0.5*0.042*100million = 2.1million
Paid:0.5*0.05*100million = 2.5million
Example of IRS

Example of IRS
Cash Flows to Microsoft

fixed rate to floating rate
floating rate to fixed rate
LIBOR+0.1%→ 5.1%
5.2%→ LIBOR+0.2%

LIBOR- 0.2%→ 4.8%
4.7%→ LIBOR- 0.3%
fixed rate to floating rate
floating rate to fixed rate

참고자료

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