A
某
8%
互
换 交 LIBOR
易
公 司 LIBOR+1.1%
B
商
Company A has issued 8% fixed-rate debt (the leftmost arrow in the figure), but enters a s pay the dealer LIBOR and receive a 7.8% fixed rate. Therefore, the company’s net payment is 8%+(LIBOR7.8%)=LIBOR+0.2%.
The dealer finds this activity profitable because it will charge a bid-asked spread on the transaction.
The bid-asked spread in the example is 0.2% of notional principal each year.
2、金融衍生工具的基本功能
( 1)套期保值（Hedging）； (2)投机(Speculation)； (3) 价格发现(Price Discovery)
二、投资银行的金融衍生品业务
1. 投资银行的生命在于创新。投资银行促 使了金融衍生工具（ Derivative Instruments ） 的产生与发展。 投资银行素有“金融工程师”之称。
It has thus transformed its floating-rate debt into synthetic fixed-rate debt.
What about the s?
Why is the dealer, which is typically a financial intermediary such as an investment bank, willing to take on the opposite side of the swaps desired by these participants?
第五讲 投资银行的金融衍生品业务
一、 金融衍生工具
20世纪70年代初, 汇率体制变化, 金融市场的 不确定性加大, 投资银行的金融工程（Financial Engineering）活动应运而生。
1.金融衍生工具（Derivative Financial
Instruments）是从即期外汇交易、从股票、 债券等传统有价证券的现货买卖以及从 股票价格指数等综合金融参考指标中派 生出来的各种投资工具或交易手段的总 称。
固定利率市场 浮动利率市场
公司A
8%
LIBOR+0.5%
公司BΒιβλιοθήκη 9.4LIBOR+1.1%
两公司同一 1.4% 市场利率差
0.6%
经过对市场的分析，公司A认为市场利率 有下降的可能，支付浮动利率对其更有利；
而公司B则认为市场利率有上升的可能，支 付固定利率对其更有利。
7.8%
8% 公 司
LIBOR
A swap: An agreement between two companies to exchange cash flows in the future.
（一）互换合约交易举例
1.利率互换
举例:
假设A、B两公司均希望得到一笔5年期 200万美元的贷款，每年付息一次。如果它 们各自去固定利率和浮动利率资本市场上 借款，需支付的年利率如下表：
Chinese firm’s affiliate (in U.S.)
The operation is conducted outside the foreign exchange market, although spot quotations may be used as the reference point for determining the amount of funds to be s.
Such a s a covered hedge against exchange loss.
The principal amounts are usually exchanged at the beginning and at the end of the life of the swap.
2.Currency Swaps
(1)Back-to-Back, or Parallel, Loan
Chinese parent firm
U.S. parent firm
In U.S.$ Direct loan
In RMB Direct loan
U.S. firm’s affiliate (in China)
2.投资银行在金融衍生交易中的角色： 经纪业务、咨询业务、自营业务
三、金融衍生工具的主要类型
➢ 远期合约(Forward Contract); ➢ 期货合约(Futures Contract)； ➢ 期权合约(Options Contract); ➢ 互换合约(S).
Forward Contract: A contract that obligates the holder to buy or sell an asset for a predetermined delivery price at a predetermined future time.
Usually, the principal amounts are chosen to be approximately equivalent using the exchange rate at the time the s initiated.
It has thus transformed its fixed-rate debt into synthetic floating-rate debt.
Conversely, Company B has issued floating-rate debt paying LIBOR+1.1%(the rightmost arrow in the figure), but enters a s pay a 8% fixedrate in return for LIBOR. Therefore, the company’s net payment is LIBOR+1.1%+(8%-LIBOR)=9.1%.