八年级英语试卷
Interest Rate Hedging:
Unveiling Market Complexities
May 28, 2014
New York Cash Exchange
Amanda Breslin, CFA
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Disclaimer
TRANSACTIONS IN OVER‐THE‐COUNTER DERIVATIVES (OR “SWAPS”) HAVE SIGNIFICANT RISKS, INCLUDING, BUT NOT LIMITED TO, SUBSTANTIAL RISK OF LOSS. YOU SHOULD CONSULT YOUR OWN BUSINESS, LEGAL, TAX AND ACCOUNTING ADVISERS WITH RESPECT TO PROPOSED SWAP TRANSACTION AND YOU SHOULD REFRAIN FROM ENTERING INTO ANY SWAP TRANSACTION UNLESS YOU HAVE FULLY UNDERSTOOD THE TERMS AND RISKS OF THE TRANSACTION, INCLUDING THE EXTENT OF YOUR POTENTIAL RISK OF LOSS. THIS MATERIAL HAS BEEN PREPARED BY A SALES
OR TRADING EMPLOYEE OR AGENT OF CHATHAM HEDGING ADVISORS AND COULD BE DEEMED A SOLICITATION FOR ENTERING INTO A DERIVATIVES TRANSACTION.THIS MATERIAL IS NOT A RESEARCH REPORT PREPARED BY CHATHAM HEDGING ADVISORS.IF YOU ARE NOT AN EXPERIENCED USER OF THE DERIVATIVES MARKETS, CAPABLE OF MAKING INDEPENDENT TRADING DECISIONS, THEN YOU SHOULD NOT RELY SOLELY ON THIS COMMUNICATION IN MAKING TRADING DECISIONS.
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The Chatham Difference ‐independent hedging advisor
▪Interest Rate Hedging
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▪Commodity Hedging
▪Hedge Accounting Advisory ▪Regulatory Advisory ▪Debt & Capital Advisory
▪Full web ‐bad platform
▪Financial risk mgt modules ▪Debt management modules ▪Covered by SSAE 16 audit
▪Serving 1200+ clients annually
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Current IR Landscape
Common Approaches
a.Market approach
b.Strategic approach
a.Pricing dynamics
Today’s Agenda
5
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
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6.0%
7.0%
Mar ‐04
Mar ‐05Mar ‐06Mar ‐07Mar ‐08Mar ‐09Mar ‐10Mar ‐11Mar ‐12Mar ‐13Mar ‐14
USD 5Y LIBOR Swap Rate 3M LIBOR
0.0%
0.5%1.0%1.5%
2.0%
2.5%Mar ‐12
Sep ‐12Mar ‐13Sep ‐13Mar ‐14
Source: Bloomberg
Current Interest Rate Landscape
3M LIBOR and 5‐year swap rates have been volatile and are currently historically low
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2.5%
3.0%3.5%
4.0%1 Yr台式电脑怎么连接wifi
2 Yr
3 Yr
4 Yr
5 Yr
7 Yr
内部控制缺陷9 Yr
10 Yr
2010201520142013
Current Interest Rate Landscape
Interest Rate Swap Yield Curves
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Pre-Crisis
Post-Crisis
❑Large pool of market dealers ❑Abundant Liquidity
❑Less strict bank regulation
❑Minimum cost of funds among banks
❑More concentrated pool of market dealers ❑Constrained credit capacity ❑Stringent bank regulation
❑Higher cost of funds among banks.
❑Efficient execution costs
❑Clo to zero funding charges
❑Credit and capital charges were flexible
❑Documentation and KYC requirements were light ❑Higher execution costs
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❑Meaningful funding charges
❑Significant credit and capital charges
❑LIBOR no longer a good proxy for funding cost
Current Interest Rate Landscape
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0.0%
10.0%20.0%30.0%40.0%50.0%60.0%70.0%80.0%90.0%100.0%86%
44%
71%
86%
44%
50%
88%
58%81%
96%
59%
81%
92%39%
55%
85%35%
82%
89%36%85%
94%32%
94%
89%
形容长城的词语
48%
75%
一周岁Source: The State of Financial Risk Management: Quantitative Benchmark Report –Chatham Financial’s independent study of more than 1,000 US, public companies examining their risk exposures, hedging, and hedge accounting practices.
Current Interest Rate Landscape
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Current IR Landscape
Common Approaches
a.Market approach
b.Strategic approach
Unveiling Complexities a.Pricing dynamics
b.Documentation and Structuring
c.
Counterparty considerations
Best Practices:Ca Study
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Mar ‐14
Mar ‐15Mar ‐16Mar ‐17Mar ‐18Mar ‐19Mar ‐20Mar ‐68% Probability
95% Probability
