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Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-1
INTERNATIONALFINANCIAL
MANAGEMENT
EUN / RESNICK
Third Edition
Chapter Objective:
This chapter discusses currency and interest rate swaps, which are relatively new instruments for hedging long-term interest rate risk and foreign exchange risk.
Bab ini membahas swap mata uang dan swap tingkat bunga. Swap merupakan instrumen lindung nilai yang relatif baru bagi kepentingan nilai risiko jangka panjang dan risiko valuta asing.
DERIVATIVE :
Currency & Interest Rate Swaps
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-2
Chapter Outline
Types of Swaps Size of the Swap
Market The Swap Bank Interest Rate Swaps Currency Swaps
Jenis Swaps Ukuran Pasar Swap Bank Swap Bank Swap Tingkat Suku
Bunga Swap Mata Uang
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-3
Definitions
In a swap, two counterparties agree to a contractual arrangement wherein they agree to exchange cash flows at periodic intervals.
There are two types of interest rate swaps: Single currency interest rate swap
“Plain vanilla” fixed-for-floating swaps are often just called interest rate swaps.
Cross-Currency interest rate swapThis is often called a currency swap; fixed for fixed rate debt
service in two (or more) currencies.
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-4
Size of the Swap Market
In 2001 the notational principal of:Interest rate swaps was $58,897,000,000.
Currency swaps was $3,942,000,000 The most popular currencies are:
U.S. dollar Japanese yen Euro Swiss franc British pound sterling
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-5
The Swap Bank
A swap bank is a generic term to describe a financial institution that facilitates swaps between counterparties.
The swap bank can serve as either a broker or a dealer. As a broker, the swap bank matches counterparties but
does not assume any of the risks of the swap. As a dealer, the swap bank stands ready to accept either
side of a currency swap, and then later lay off their risk, or match it with a counterparty.
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-6
An Example of an Interest Rate Swap
Consider this example of a “plain vanilla” interest rate swap.
Bank A is a AAA-rated international bank located in the U.K. and wishes to raise $10,000,000 to finance floating-rate Eurodollar loans. Bank A is considering issuing 5-year fixed-rate Eurodollar bonds
at 10 percent. It would make more sense to for the bank to issue floating-rate
notes at LIBOR to finance floating-rate Eurodollar loans.
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-7
An Example of an Interest Rate Swap
Firm B is a BBB-rated U.S. company. It needs $10,000,000 to finance an investment with a five-year economic life. Firm B is considering issuing 5-year fixed-rate
Eurodollar bonds at 11.75 percent. Alternatively, firm B can raise the money by issuing 5-
year floating-rate notes at LIBOR + ½ percent. Firm B would prefer to borrow at a fixed rate.
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-8
An Example of an Interest Rate Swap
The borrowing opportunities of the two firms are:
COMPANY B BANK A
Fixed rate 11.75% 10%
Floating rate LIBOR + .5% LIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-9
An Example of an Interest Rate Swap
The swap bank makes this offer to Bank A: You pay LIBOR – 1/8 % per year on $10 million for 5 years and we will pay you 10 3/8% on $10 million for 5 years
COMPANY B BANK A
Fixed rate 11.75% 10%
Floating rate LIBOR + .5% LIBOR
Swap
Bank
LIBOR – 1/8%
10 3/8%
Bank
A
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-10
COMPANY B BANK A
Fixed rate 11.75% 10%
Floating rate LIBOR + .5% LIBOR
An Example of an Interest Rate Swap
Here’s what’s in it for Bank A: They can borrow externally at 10% fixed and have a net borrowing position of
-10 3/8 + 10 + (LIBOR – 1/8) =
LIBOR – ½ % which is ½ % better than they can borrow floating without a swap.
10%
½% of $10,000,000 = $50,000. That’s quite a cost savings per year for 5 years.
Swap
Bank
LIBOR – 1/8%
10 3/8%
Bank
A
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-11
An Example of an Interest Rate Swap
Company
B
The swap bank makes this offer to company B: You pay us 10½% per year on $10 million for 5 years and we will pay you LIBOR – ¼ % per year on $10 million for 5 years.
Swap
Bank10 ½%
LIBOR – ¼%
COMPANY B BANK A
Fixed rate 11.75% 10%
Floating rate LIBOR + .5% LIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-12
COMPANY B BANK A
Fixed rate 11.75% 10%
Floating rate LIBOR + .5% LIBOR
An Example of an Interest Rate Swap
They can borrow externally at
LIBOR + ½ % and have a net
borrowing position of
10½ + (LIBOR + ½ ) - (LIBOR - ¼ ) = 11.25% which is ½% better than they can borrow floating.
LIBOR + ½%
Here’s what’s in it for B: ½ % of $10,000,000 = $50,000 that’s quite a
cost savings per year for 5 years.
Swap
Bank
Company
B
10 ½%
LIBOR – ¼%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-13
An Example of an Interest Rate Swap
The swap bank makes money too.
¼% of $10 million = $25,000 per year for
5 years.
LIBOR – 1/8 – [LIBOR – ¼ ]= 1/8
10 ½ - 10 3/8 = 1/8
¼
Swap
Bank
Company
B
10 ½%
LIBOR – ¼%LIBOR – 1/8%
10 3/8%
Bank
A
COMPANY B BANK A
Fixed rate 11.75% 10%
Floating rate LIBOR + .5% LIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-14
An Example of an Interest Rate Swap
Swap
Bank
Company
B
10 ½%
LIBOR – ¼%LIBOR – 1/8%
10 3/8%
Bank
A
B saves ½%A saves ½%
The swap bank makes ¼%
COMPANY B BANK A
Fixed rate 11.75% 10%
Floating rate LIBOR + .5% LIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-15
An Example of a Currency Swap
Suppose a U.S. MNC wants to finance a £10,000,000 expansion of a British plant.
They could borrow dollars in the U.S. where they are well known and exchange for dollars for pounds. This will give them exchange rate risk: financing a
sterling project with dollars. They could borrow pounds in the international
bond market, but pay a premium since they are not as well known abroad.
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-16
An Example of a Currency Swap
If they can find a British MNC with a mirror-image financing need they may both benefit from a swap.
If the spot exchange rate is S0($/£) = $1.60/£, the U.S. firm needs to find a British firm wanting to finance dollar borrowing in the amount of $16,000,000.
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-17
An Example of a Currency Swap
Consider two firms A and B: firm A is a U.S.–based multinational and firm B is a U.K.–based multinational.
Both firms wish to finance a project in each other’s country of the same size. Their borrowing opportunities are given in the table below.
$ £
Company A 8.0% 11.6%
Company B 10.0% 12.0%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-18
$9.4%
An Example of a Currency Swap
$ £
Company A 8.0% 11.6%
Company B 10.0% 12.0%
Firm
B
$8% £12%
Swap
Bank
Firm
A
£11%
$8%
£12%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-19
An Example of a Currency Swap
$8% £12%
$ £
Company A 8.0% 11.6%
Company B 10.0% 12.0%
Firm
B
Swap
Bank
Firm
A
£11%
$8% $9.4%
£12%
A’s net position is to borrow at £11%
A saves £.6%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-20
An Example of a Currency Swap
$8% £12%
$ £
Company A 8.0% 11.6%
Company B 10.0% 12.0%
Firm
B
Swap
Bank
Firm
A
£11%
$8% $9.4%
£12%
B’s net position is to borrow at $9.4%
B saves $.6%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-21
An Example of a Currency Swap
$8% £12%
$ £
Company A 8.0% 11.6%
Company B 10.0% 12.0%
Firm
B
The swap bank makes money too:
The swap bank faces exchange rate risk, but maybe they can lay it off (in another swap).
Swap
Bank
Firm
A
£11%
$8% $9.4%
£12%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-22
The QSD
The Quality Spread Differential represents the potential gains from the swap that can be shared between the counterparties and the swap bank.
There is no reason to presume that the gains will be shared equally.
In the above example, company B is less credit-worthy than bank A, so they probably would have gotten less of the QSD, in order to compensate the swap bank for the default risk.
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-23
A is the more credit-worthy of the two firms.
Comparative Advantage as the Basis for Swaps
$ £
Company A 8.0% 11.6%
Company B 10.0% 12.0%
A has a comparative advantage in borrowing in dollars.
B has a comparative advantage in borrowing in pounds.
A pays 2% less to borrow in dollars than B
A pays .4% less to borrow in pounds than B:
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-24
B has a comparative advantage in borrowing in £.
Comparative Advantage as the Basis for Swaps
$ £
Company A 8.0% 11.6%
Company B 10.0% 12.0%
B pays 2% more to borrow in dollars than A
B pays only .4% more to borrow in pounds than A:
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-25
A has a comparative advantage in borrowing in dollars.B has a comparative advantage in borrowing in pounds.
If they borrow according to their comparative advantage and then swap, there will be gains for both parties.
Comparative Advantage as the Basis for Swaps
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-26
SWAP
Kedua belah pihak sepakat melakukan perjanjin untuk menukar cash flow di masa yang akan datang pada periode yang akan datang.
Bank Swap bertindak sebagai broker atau dealer atau perantara untuk menswap transaksi dua perusahaan
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-27
Tipe Swap
Interest Rate Swap Dua belah pihak sepakat menukar mata uangnya.
Cross Currency Swap Dua belah pihak sepakat menukar dua mata uang yang
berbeda
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-28
Kasus 1
Telkom butuh dana $10.000.000 (Rating AAA). Telkom boleh mengeluarkan obligasi dengan tingkat bunga fixed 10% atau pada tingkat suku bunga mengambang pada level JIBOR (boleh meminjam).
PT PN butuh dana $10.000.000 (Rating BBB). PT PN boleh mengeluarkan obligasi dengan tingkat bunga fixed 11,75% atau pada tingkat suku bunga mengambang pada level JIBOR + ½%.
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-29
Solusi 1
Bank Swap menawarkan Telkom JIBOR – 1/8% dan bank akan membayar Telkom sebesar 10 3/8%.
Bank Swap akan menawarkan PT PN 10 ½% dan bank akan membayar JIBOR – ¼%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-30
Solusi 1
Peluang meminjam untuk kedua perusahaan adalah sebagai berikut:
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-31
Solusi 1
Bank Swap memberikan penawaran terhadap PT TELKOM, sebagai berikut:PT TELKOM membayar (kepada Bank Swap) LIBOR – 1/8% per tahun selama 5 tahun untuk pinjaman sebesar $10.000.000Bank Swap akan memberikan pinjaman kepada PT TELKOM sebesar 10 3/8% (dari total pinjaman) selama 5 tahun untuk pinjaman sebesar $10.000.000
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR
Swap
Bank
JIBOR – 1/8%
10 3/8%
PT TELKOM
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-32
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR
Solusi 1
PT TELKOM: PT TELKOM dapat meminjam pada tingkat suku bunga tetap sebesar 10% dan memiliki keuntungan pinjaman Swap sebesar:
-10 3/8 + 10 + (JIBOR – 1/8) =
JIBOR – ½ % dimana ½ % lebih baik dibandingkan meminjam dengan tingkat suku bunga mengambang tanpa Swap (JIBOR).
10%
½% of $10,000,000 = $50,000. Angka ini merupakan biaya yang dapat dihemat oleh PT TELKOM setiap tahunnya selama periode 5 tahun.
Swap
Bank
JIBOR – 1/8%
10 3/8%
PT TELKOM
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-33
Solusi 1
PT PN
Bank Swap memberikan penawaran terhadap PT PN: PT PN membayar Bank Swap 10½% setiap tahun untuk pinjaman sebesar $10 million selama 5 years dan Bank Swap akan membayar PT PN JIBOR – ¼ % per tahun untuk pinjaman selama 5 tahun
Swap
Bank10 ½%
JIBOR – ¼%
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-34
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR
Solusi 1
PT PN dapat meminjam pada tingkat suku bunga JIBOR + ½ % dan memiliki net position pinjaman 10½ + (JIBOR + ½ ) - (JIBOR - ¼ ) = 11.25% dimana lebih rendah ½% dibandingkan tingkat suku bunga tetap pinjaman biasa.
LIBOR + ½%
Penawaran Swap untuk PTPN:
½ % dari $10,000,000 = $50,000 , merupakan biaya
yang dapat dihemat per tahun selama periode 5
tahun.
Swap
Bank
PT
PN
10 ½%
JIBOR – ¼%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-35
Solusi 1
Bank Swap memperoleh keuntungan juga
¼% dari $10.000.000=
$25,000 per tahun untuk periode 5
tahun.
LIBOR – 1/8 – [LIBOR – ¼ ]= 1/8
10 ½ - 10 3/8 = 1/8
¼
Swap
Bank
PT
PN
10 ½%
LIBOR – ¼%LIBOR – 1/8%
10 3/8%
PT TELKOM
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-36
An Example of an Interest Rate Swap
Swap
Bank
PT
PN
10 ½%
JIBOR – ¼%JIBOR – 1/8%
10 3/8%
PT TELKOM
PTPN menghemat ½%PT TELKOM menghemat ½%
Bank Swap memperoleh keuntungan ¼%
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-37
Offsetting Spot Position (Proporsi)
PT TELKOMBorrows (Received) (fx) -10 3/8%
Pays (fx) 10 %
Pay (fl) JIBOR – 1/8 %
Net JIBOR - 1/2%
Untung (JIBOR ) – (JIBOR – ½%) = ½%
Proporsi = ½ / (1/2 + ½ + ¼) = 40%
PT PNBorrows (Received) (fl) - (JIBOR – ¼%)
Pays (fl) JIBOR + 1/2%
Pay (fx) 10 1/2 %
Net 11,25 %
Untung 11,75% - 11,25 % = ½%
Proporsi = ½ / (1/2 + ½ + ¼) = 40%
Bank SwapReceived (fx) 10 1/2% (a)
Pays (fx) 10 3/8% (b)
Received (fl) JIBOR – 1/8% (c)
Pays (fl) JIBOR – 1/4 % (d)
Net (a-b)+(c-d) 1/8% + 1/8%= ¼%
Proporsi = 1/4 / (1/2 + ½ + ¼) = 20%
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-38
Fungsi Bank Swap
Menghitung Spread Mencari keunggulan komparative Membagi proporsi keuntungan Membuat mekanisme Swap Mengecek keuntungan
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-39
Kasus 2
Jika soalnya sama tetapi proporsi yang diinginkan adalah:
PT TELKOM = 20% = 0,25 PT PN = 20% = 0,25 Bank Swap = 60% = 0,75
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-40
Solusi 2: Offsetting Spot Position
PT TELKOMProporsi = 1/4 / (1/4 + 1/4 + 3/4) = 20%
Untung (JIBOR ) – (JIBOR – 1/4%) = 1/4%
Borrows (Received) (fx) - 10 %
Pays (fx) 10 %
Pay (fl) JIBOR – 1/4 %
Net JIBOR - 1/4%
PT PNProporsi = 1/4 / (1/4 + 1/4 + 3/4) = 20%
Untung 11,75% - 11,50 % = 1/4%
Borrows (Received) (fl) - (JIBOR – 1/2%)
Pays (fl) JIBOR + 1/2%
Pay (fx) 10 1/2 %
Net 11,50 %
Bank SwapProporsi = 3/4 / (1/4 + ¼ + ¾ ) = 60%
Received (fx) 10 1/2% (a)
Pays (fx) 10 % (b)
Received (fl) JIBOR – 1/4% (c)
Pays (fl) JIBOR – ½ %(d)
Net (a-b)+(c-d) ½ % + ¼ %= ¾ %
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-41
Solusi 2
Swap
Bank
PT
PN
10 ½%
JIBOR – ½ %JIBOR – 1/4%
10 %
PT TELKOM
PTPN menghemat ¼ % (20%)
PT TELKOM menghemat ¼ % (20%)
Bank Swap memperoleh keuntungan ¾ % (60%)
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-42
Kasus 3
Jika soalnya sama tetapi proporsi yang diinginkan adalah:
PT TELKOM = 30% = 0,3 PT PN = 30% = 0,3 Bank Swap = 40% = 0,4
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-43
Solusi 2: Offsetting Spot Position
PT TELKOMProporsi = 0,3 / (0,3+ 0,3+ 0,4) = 30%
Untung (JIBOR ) – (JIBOR – 0,3) = 0,3
Borrows (Received) (fx) - 10 %
Pays (fx) 10 %
Pay (fl) JIBOR – 0,3 %
Net JIBOR - 0,3%
PT PNProporsi = 0,3/ (0,3 + 0,3 + 0,4) = 30%
Untung 11,75% - 11,45 % = 0,3
Borrows (Received) (fl) - (JIBOR – 0,45 % )
Pays (fl) JIBOR + 0,5 %
Pay (fx) 10 1/2 %
Net 11,45 %
Bank SwapProporsi = 0,4 / (0,3 + 0,3 + 0,4) = 40%
Received (fx) 10 1/2% (a)
Pays (fx) 10 % (b)
Received (fl) JIBOR – 0,3 (c)
Pays (fl) JIBOR – 0,45(d)Net (a-b)+(c-d) 0,5 % - 0,15 %= 0,35 % atau
dibulatkan 0,4 %
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved. 10-44
Solusi 2
Swap
Bank
PT
PN
10 ½%
JIBOR – 0,45 %JIBOR – 0,3%
10 %
PT TELKOM
PTPN menghemat 0,3 % (30%)
PT TELKOM menghemat 0,3 % (30%)
Bank Swap memperoleh keuntungan 0,4 % (40%)
PT PN PT TELKOM
Fixed rate 11.75% 10%
Floating rate JIBOR + .5% JIBOR