(IRS)
... Swap Rate.... KTB.
. SWAP - Swap. (Currency Swap). (Interest Swap). * ( )..
. SWAP - IRS (Coupon Swap) A LIBOR B (Basis Swap) A PRIME RATE LIBOR B
. SWAP - (Swap Rate) AA ( U$ Libor) Telerate Bloomberg. / (Swap Pay), (Swap Receive). (Swap Spread) Swap Rate. AA (Swap ) AAA ( ) Credit Spread. (Credit Risk), Credit Spread. (Yield) + =
. SWAP -
. SWAP -
. - 1 1~10 50 10 1 3000 ~ 4000 91 CD 2 ex) 11 12 5 12 2 5 9. cf) Delayed Swap 11 12 11 10. 3 3 Advance Payment Area Payment cf) Modified Following Business Day Convention
. - 2 1~10, 100 bid / offer spread 10bp ISDA(International Swap & Derivatives Association)
. - SWAP, 4 10 ( )-
1. - Swap Spread
1. - Swap Yield Curve
1. - 3Y Swap Spread
1. Swap rate (Effective fixed rate) Swap ( par bond )
1. Swap rate (Effective fixed rate) = Zero Coupon Rate & Par Rate Zero Coupon Rate Swap Yield Curve
1. Swap rate (Effective fixed rate) < 1 > LIBOR LIBOR 6M LIBOR 1Y 1 360 365 365/360. Par Rate 2 3 Par Rate. 1.5 2.5 Par Rate.( )
1. Swap rate (Effective fixed rate) < 2 > Par Rate Zero Coupon Rate 6M 1 Zeor Rate LIBOR Zeor Rate Par Rate. 1.5Y BOOTSRAPPING Zero Rate. EX)1.5Y Zero Coupon Rate. 0.5 1.99916, 1 1.99916, 1.5 101.99916 1.99916 1 + 0.0354861/2 + 1.99916 101.99916 + = 100 (1 + 0.0376661/2)² (1 + R1.5/2)³ R1.5 = 4.00446
1. Swap rate (Effective fixed rate) < 3 > Zero Coupon Rate Discount Factor Zero Rate. EX1) 0.5 1 1 + 0.0354861/2 = 0.98257 EX2) 1.5 1 = 0.94226 (1 + 0.0400446/2)³
1. Swap rate (Effective fixed rate) < 4 > Discount Factor Coupon Rate 1%. 100 0.01/2 = 0.5
1. Swap rate (Effective fixed rate) < 1 > Zero Coupon Rate Implied Forward Rate Zero Rate. EX) 0.5 1 ( 1 + 0.0354861/2 ) f = 3.98484 ( 1 + f/2 ) = (1 + 0.0376661/2)²
2. Swap rate (Effective fixed rate) < 2 >. 1/2, 6 LIBOR
2. Swap rate (Effective fixed rate) < > Rate... Coupon Rate 1%.. 13.0127/2.786145 = 4.67%
2. Swap rate (Effective fixed rate) Swap - par bond..
2. Swap rate (Effective fixed rate) Delayed Swap (1 2 )
2. Swap rate (Effective fixed rate) AMORTIZATION ( )
2.
2.
2.
2. 2.76869 1% 2.78645. Zero Rate 1 0.5%, 2 0.75 Zero Rate.
2. - 1.1 Call, CD, CP,, View ( 1, 2, 3 ) / 3 CD CD91
3. - 1.2 ( - CD ). 3 5.50 %, CD 4.40% 5.50% - 4.40% = 1.10%( ). 4.40%( ) 5.50%( ) + 1.10% Unwinding Capital Gain = 2 new 5.20%(2 ) = 3 5.50%(3 ) 2 (5.50% -5.20% = 30bp)
3. - 2, Zero - Coupon, PAYER.
3. - 3 Steep yield curve ( Flat, Inverted Curve ) CMT(Constant Maturity Treasury ), 3 CD + spread 3 5.75%( 3 ) 4.88%(CD ) + 90bp 3 - CD < Spread.. ( Yield Curve Slope. )
3. - 4 Portfolio Duration / CD CD.
3. - 5 Portfolio Duration / CD CD.
3. - 6 /.
3. 1.
3. 2.
3. 2. Swap
3. 3. FRN Swap
4. 3. FRN Swap
4. 3. FRN Swap
4. 4. FRN Swap
4. 3. FRN Swap
4. 3. FRN Swap 5.60%
4. KTB - 1 3 - / (IRS) - (Pay) - IRS = { 3 - ( + ) + CD + 20bp } + 3 (CD + 20bp) ( ) ( ( ))
4. KTB - 2 3 FRN - / (IRS) - (Receive) - IRS = { 3 + % - ( CD + 20bp + ) + } + FRN ( 3 + % ) (CD + 20bp) ( ) ( ( ))
4. KTB - 1 -, ( Spread Expanding ) - (Receive) / + - IRS + 2002. 6. 26 ( ) 2002. 9. XX 3 3 5.75% 5.75% 3 3 5.41% 5.41% 40 40 - - 15bp 15bp 3 3 6.10% 6.10% 3 3 6.09% 6.09% - - 5 5 - - 1bp 1bp - 5 tick, Swap Spread - 1bp ( Spread Extending )
4. KTB - 1 2002. 6. 26 5.75% 12 12 100 ( ) 100 ( ) 3 CD 3 100 3 100 5.41% 2002. 9. XX 45 Swap Spread 14bp 6.10% 12 12 100 ( ) 100 ( ) 3 100 3 100 45 ( tick*100 *10000) 45 ( tick*100 *10000) -37.8-37.8 (14bp*100 *2.7tick) (14bp*100 *2.7tick) 7.2 7.2 6.09% 3 CD 3 100 3 100
4. KTB - 2 -, ( Spread Tightening ) - (Pay) / + - IRS + 2002. 3. 20 ( ) 2002. 6. 18 3 3 6.47% 6.47% 3 3 6.81% 6.81% 56 56 34bp 34bp 3 3 5.95% 5.95% 3 3 6.11% 6.11% 1 1 16bp 16bp (6/18) - 1 tick, Swap Spread 16bp ( Spread Tightening ).
5. KTB - 2 2002. 3. 20 6.47% 12 12 100 ( ) 100 ( ) 6.81% 3 CD 3 100 3 100 2002. 6. 18 55 Swap Spread 18bp 5.95% 12 12 100 ( ) 100 ( ) 3 100 3 100 55 ( tick*100 *10000) 55 ( tick*100 *10000) -48.6-48.6 (18bp*100 *2.7tick) (18bp*100 *2.7tick) 6.4 6.4 3 CD 6.11% 3 100 3 100
5. Amortizing Swap. Accreting / Roller Coaster / Mortgage-inedxed / CMO Swap Callable Swap Payer early terminate. Puttable / Extendable Swap Seasonal Swap ( fixed-for-fixed with mismatched payment dates ) Step-up / Step-down Swap. Rate-capped Swap / Floor / Collar Zero Coupon Swap Index Swap / Equity Swap / Commodity Swap
5. - Swaption Receiver Swaption - Par( ) Ex) $1 coupon x 5 par Max 0, {x (d 1 +d 2 +d 3 +d 4 +d 5 ) + d 5 }- 1 Ex) 10% Callable Bond A receiver swaption First call date 6, Call price 100, call 10 - A 10 6 receiver swaption. callable bond A swaption 10 Libor. Payer Swaption - Par( ) Ex) $1 coupon x 5 par Max 0, 1 -{x (d 1 +d 2 +d 3 +d 4 +d 5 ) + d 5 } Put - Call parrity Forward Swap = Receiver Swaption - Payer Swaption
5. - Forward Start Swap 1 Forward Start Swap Swap Swap Deffered (start) Swap Ex) A three-month forward swap 3 swap K Libor + 100 $100M A 1 fixed Swap rate Swap 3 ( 5 fixed Swap rate 7.45%) A A Three-Month Forward Swap (7.623%)
5. - Forward Start Swap 2 A Swap Dealer B 5 3 swap 7.50% (A current fixed-rate rate for a 5-year swap 7.45%) Swap Dealer B A 3 7.5% Swap Dealer C 5.5% 3 200 b.p. A Company Company L+100 5 3 Swap Libor 7.5% 3 Swap Swap Swap Dealer Dealer B 5.5% Libor 5 3 Swap 7.5% 5 3 Swap (L) 3 Swap (5.5%) 3 Swap L 2.00 K Bbank Bbank Swap Swap Dealer Dealer C
5. - Forward Start Swap 3 Swap Dealer B A Forward Start Swap 2% swap rate 12.3b.p. swap rate x(1-(1/(1+1.875%) i )/(1-1/(1+1.875%)) = 200 (i 1-20) x = 12.3 3 5-200b.p. x x x Forward Start Swap 7.5% + 0.123% = 7. 623% A Company Company Libor 7.623% Swap Swap Dealer Dealer B