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Swaps

In: Business and Management

Submitted By cinthia7483
Words 2607
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Cuestionario.
7.1. Se ofrecieron a las compañías A y B las siguientes tasas anuales sobre un préstamo de $20 millones en cinco años:

| Tasa fija | Tasa variable | Compañía A:Compañía B: | 5.0%6.4% | LIBOR + 0.1%LIBOR + 0.6% |

La compañía A requiere un préstamo a tasa variable; la compañía B requiere un préstamo a tasa fija. Diseñe un swap que produzca un neto de 0.1% anual para un banco que actúe como intermediario y que parezca igualmente atractivo para ambas compañías.
A tiene una ventaja comparativa evidente en los mercados de tasa fija, pero desea solicitar fondos del préstamo a una tsa variable. B tiene una ventaja comparativa evidente en los mercados a tsa variable, pero desea solicitar préstamos a una tasa fija. Esto proporciona la base para un swap. Existe un diferencial de 1.4% anual entre las tasas fijas que se ofrecen a las dos compañías, y un diferencia de 0.5% anual entre las tasas variables que se ofrecen a las dos compañías. La ganancia total para todas las partes proveniente del swap es:

Por lo tanto de 1.4 – 0.5 = 0.9% anual. Ya que el banco obtiene el 0.1% anual de esta ganancia, el swap debería hacer que tanto A como B estuvieran 0.4 anual en una mejor posición. Esto significa que dicho swap debería conducir a A a solicitar fondos en préstamo a la tasa LIBOR – 0.3%, y debería conducir a B a solicitar fondos en préstamo al 6%. El acuerdo adecuado es, por lo tanto, como se muestra en el diagrama anterior.

7.2. Un swap sobre una tasa de interés de $100 millones tiene una vida restante de 10 meses. En los términos del swap, se intercambia la tasa LIBOR a seis meses por una tasa de 7% anual (con capitalización semestral). El promedio para la tasa demanda – oferta que se está intercambiando por una tasa LIBOR a seis meses en swap de todos los plazos de vencimiento es actualmente de 5% anual con capitalización continua. La tasa LIBOR a seis meses era de 4.6% anual hace dos meses. ¿Cuál es el valor actual del swap para la parte que paga la tasa variable? ¿Cuál es el valor para la parte que paga la tasa fija? Use un descuento LIBOR.
Dentro de cuatro meses se recibirán $3.5 millones ( = 0.5 x 0.07 x $100 millones) y se pagarám $2.3 millones ( = 0.5 x 0.046 x $100 millones). (Ignoramos los problemas relacionados con el cálculo de días). Dentro de 10 meses se recibirán $3.5 millones, y se pagará la tasa LIBOR prevaleciente en un plazo de cuatro meses. El valor del bono a tasa fija subyacente del swap es:

3.5e-0.05x4/12 + 103.5e-0.05x10/12 = $102.718 millones
El valor del bono a tasa variable subyacente del swao es:
(100 + 2.3)e-0.05x4/12 = $100.609 millones
El valor del swap para la parte que paga una tasa variable es de $102.718 - $100.609 = $2.109 millones. Para quien paga una tasa fija es de -$2.109 millones. Estos resultados también se pueden obtener descomponiendo el swap en contratos a plazo. Considere la parte que paga una tasa variable. El primer contrato a plazo implica un pago de $2.3 millones y la recepción de $3.5 millones dentro de cuatro meses. Tiene un valor de 1.2e-0.05x4/12 = millones. Para valuar el segundo contrato a plazo, hacemos notar que la tasa de interés a plazo es de 5% anual con capitalización continua, o de 5.063% anual con capitalización semestral. El valor del contrato a plazo es
100 x (0.07 x 0.5 – 0.05063 x 0.5)e-0.05x10/12 = $0.929 millones.
El valor total del contrato a plazo es, por lo tanto, de $1.180 + $0.929 = $2.109 millones.

7.3. La compañía X desea solicitar en préstamo dólares estadounidenses a una tasa de interés fija. La compañía Y desea solicitar en préstamo yenes japoneses a una tasa de interés fija. Las cantidades que requieren las dos compañías son aproximadamente iguales a los tipos de cambio actuales. Las compañías están sujetas a las siguientes tasas de interés, las cuales se ajustaron para reflejar el efecto de los impuestos: | Yenes | Dólares | Compañía X:Compañía Y: | 5.0%6.5% | 9.6%10.0% |

Diseñe un swap que produzca un neto de 50 puntos base por año para un banco que actúe como intermediario. Haga que el swap parezca igualmente atractivo para ambas compañías y asegurese de que todo el riesgo en moneda extranjera lo corra el banco.
X tiene una ventaja comparativa en los mercados de yenes, pero quiere solicitar fondos en prestamos en dólares. Y tiene una ventaja comparativa en los mercados de dólares, pero desea solicitar un préstamo en yenes. Esto proporciona la basa para el swap. Existe un diferencial de 1.5% anual entre las tasas de yenes y un diferencia de 0.4% anual entre las tasas de dólares. La ganancia total para todas las partes que intervienen en el swap es, por consiguiente, de 1.5 – 0.4 =1.1% anual. El banco requiere 0.5% anual, dejando 0.3% anual tanto para X como para Y. El swap debería conducir a X a solicitar dólares en préstamo al 9.6 – 0.3 = 9.3% anual, y a que Y solicite yenes en préstamo al 6.5 – 0.3 = 6.2% anual. El acuerdo adecuado es, por lo tanto, como se muestra en el diagrama que se presenta a continuación. Todo el riesgo cambiario lo corre el banco

7.4. Explique que es una tasa sobre swaps. ¿Cuál es la relación entre las tasas de los swaps y los rendimientos a la par?
Una tasa de swap para un plazo de vencimiento en particular es el promedio de las tasas fijas de demanda y de oferta que un creador de mercado esta dispuesto a intercambiar por la tasa LIBOR en un swap estándar plain vanilla con ese plazo de vencimiento. La frecuencia de los pagos y los convencionalismos del cálculo de días en un swap estándar que se este considerando varían de un país a otro. En Estados Unidos, los pagos sobre un swap estándar son semestrales y el convencionalismo del calculo de días para cotizar la tasa LIBOR es real/360. El convencionalismo del cálculo de días para cotizar la tasa fija es, por lo general, real/365. La tasa del swap para un plazo de vencimiento en particular es el rendimiento a la par LIBOR/swap para ese vencimiento.

7.5. Un swap de divisas tiene una vida restante de 15 meses. Implica el intercambio de intereses al 10% sobre £20 millones por un interés al 6% sobre 30 millones una vez al año. La estructura de plazos de las tasas de interés tanto en el Reino Unido como en Estados Unidos es actualmente plana, y si el swap se negociara el dia de hoy, las tasas de interés intercambiadas serian de 4% en dólares y de 7% en libras esterlinas. Todas las tasas de interés se cotizan con una capitalización anual. El tipo de cambio actual (dólares por libras esterlinas) es de 1.5500. ¿Cuál es el valor del swap para la parte que está pagando libras esterlinas? ¿Cuál es el valor del swap para la parte que está pagando dólares?
2/(1.07)1/4 + 22/(1.07)5/4 = £22.182 millones
El valor del bono en dólares que sirve de base al swap es
1.8/(1.04)1/4 + 31.8/(1.04)5/4 = $32.061 millones
El valor del swap para la parte que paga libras esterlinas es, por lo tanto, de
32.061 – (22.182 x 1.55) = -$2.322 millones
El valor del swap para la parte que paga dólares es de +$2.322 millones. Los resultado también se pueden obtener visualizando el swap como un portafolio de contratos a plazo. Las tasas de interés de capitalización continua en libras esterlinas y en dólares estadounidenses son de 6.766% y de 3.922 anual, respectivamente. Los tipos de cambio a plazo a tres meses y a 15 meses son de
1.55e(0.03922-0.06766)x0.25 = 1.5390 y 1.55e(0.03922-0.06766)x1.25 = 1.4959
Los valores de los dos contratos a plazo correspondiente al intercambio del interés para la parte que paga libras esterlinas son, por consiguiente, de:
(1.8 – 2 x 1.5390)e-0.03922x0.25 = -$1.266 millones
(1.8 – 2 x 1.4959)e-0.03922x1.25 = -$1.135 millones
El valor del contrato a plazo correspondiente al intercambio de capitales es de
(30 – 20 x 1.4959)e-0.03922x1.25 = +$0.079 millones
El valor total del swap es de -$1.266 - $1.135 + $0.079 = -$2.322 millones.

7.6. Explique la diferencia entre el riesgo de crédito y el riesgo de mercado en un contrato financiero.

El riesgo de crédito surge de la posibilidad de incumplimiento proveniente de la contraparte. El riesgo de mercado surge de los movimientos en diversas variables de mercado, como las tasas de interés y los tipos de cambio. Una complicación es que el riesgo de crédito de un swap depende de los valores de ciertas variables de mercado. La posición de una compañía en un swap tiene un riesgo de crédito tan solo cuando el valor del swap para compañía es positivo.

7.7. Un tesorero corporativo le indica que acaba de negociar un préstamo a cinco años a una tasa de interés fija competitiva de 5.2%. El tesorero explica que consiguió una tasa de interés de 5.2% solicitando fondos en préstamo a la tasa LIBOR a seis meses a 150 puntos base e intercambiando la tasa LIBOR por 3.7%. El continúa diciendo que esto fue posible porque su compañía tiene una ventaja comparativa en el mercado de tasa variable. ¿Qué ha pasado por alto de tesorero?
La tasa no es verdaderamente fija porque, si la evaluación de crédito de la compañía disminuye, no podrá renovar sus préstamos a tasa variable a la tasa LIBOR más 150 puntos base. La tasa fija de préstamos efectiva aumenta entonces. Suponga, por ejemplo, que el diferencial del tesorero sobre la tasa LIBOR aumenta de 150 a 200 puntos base. La tasa sobre las solicitudes de préstamo aumenta de 5.2% a 5.7%.

Preguntas adicionales.
7.20. a) A la compañía A le ofrecen las tasas que se listan en la tabla 7.3. Puede solicitar fondos en préstamo durante tres años al 6.45% ¿Por cual tasa variable podrá intercambiar esta tasa fija? b) A la compañía B le ofrecen las tasas que se muestran en la tabla 7.3. Está en condiciones de solicitar fondos en préstamo durante cinco años a la tasa LIBOR mas 75 puntos base. ¿Por cual tasa fija podrá intercambiar esta tasa variable?

7.21. a) A la compañía X le ofrecen las tasas que se listan en la tabla 7.3. Puede invertir durante cuatro años al 5.5.%. ¿Por cuál tasa variable podrá intercambiar esta tasa fija? b) A la compañía Y le ofrecen las tasas que se listan en la tabla 7.3. Puede invertir durante 10 años a la tasa LIBOR menos 50 puntos base. ¿Por cuál tasa fija podrá intercambiar esta tasa variable?

7.22. La tasa LIBOR a un año es de 10% con capitalización anual. Un banco negocia swaps en los que se intercambia una tasa de interés fija por una tasa LIBOR a 12 meses con pagos que se intercambian en forma anual. Las tasas sobre los swaps a dos y tres años (expresadas con capitalización anual) son de 11 y 12% anual. Estime las tasas cero LIBOR a dos y tres años cuando se usa un descuento LIBOR.

7.23. La tasa cero LIBOR a un año es de 3% y la tasa LIBOR a plazo para un periodo de uno a dos años es de 3.2%. La tasa sobre los swaps a tres años para un swap con pagos anuales es de 3.2%. Todas las tasas se capitalizan anualmente. ¿Cuál es la tasa LIBOR a plazo para el periodo de dos a tres años, si se usa un descuento OIS y las tasas cero OIS para vencimientos de 1, 2 y 3 años son de 2.5%, 2.7% y 2.9%, respectivamente? ¿Cuál es el valor de un swap a tres años en el que se recibe 4% y se paga la tasa LIBOR sobre un capital de $100 millones?

7.24. En un swap de tasas de interés, una institución financiera paga 10% anual y recibe la tasa LIBOR a tres meses a cambio de un capital nocional de $100 millones con pagos que se intercambian cada tres meses. El swap tiene una vida restante de 14 meses. El promedio de las tasas fijas de oferta y demanda que se intercambian actualmente por la tasa LIBOR a tres meses es de 12% anual para todos los plazos de vencimiento. Hace un mes la tasa LIBOR a tres meses era de 11.8% anual. Todas las tasas se capitalizan trimestralmente. ¿Cuál es el valor del swap? Use un descuento LIBOR.

7.25. La compañía A desea solicitar en préstamo dólares estadounidenses a una tasa de interés fija. La compañía B desea solicitar en préstamo libras esterlinas a una tasa de interés fija. Se cotizaron las siguientes tasas anuales (ajustadas por los efectos de los diferenciales en impuestos):

| Libra esterlina | Dólares estadounidenses | Compañía A:Compañía B: | 11.0%10.6% | 7.0%6.2% |

Diseñe un swap que produzca, en forma neta, 10 puntos base a un banco que actúe como intermediario y que, además, produzca una ganancia de 15 puntos base por año para cada una de las dos compañías.
7.26. Para todos los plazos de vencimiento, la tasa de interés del dólar estadounidense (USD) es de 7% anual y la tasa de dólar australiano (AUD) es de 9% anual. El valor actual del AUD es de 0.62 USD. En un contrato de un swap, una institución financiera paga 8% anual en AUD y recibe 4% anual en USD. Los capitales en las dos monedas son de $12 millones de USD y 20 millones de AUD. Los pagos se intercambian cada año, y acaba de ocurrir un intercambio. El swap durará dos años mas. ¿Cuál es el valor del swap para la institución financiera? Suponga que todas las tasas de interés se capitalizan en forma continua.

7.27. La compañía X tiene sede en el Reino Unido y desea solicitar en préstamo $50 millones a una tasa de interés fija por cinco años en fondos estadounidenses. Como la compañía no es muy conocida en Estados Unidos, esto ha resultado ser imposible. Sin embargo, se ha cotizado a la compañía un 12% anual sobre fondos en libras esterlinas a tasa fija durante cinco años. La compañía Y tiene sede en Estados Unidos y desea solicitar en préstamo el equivalente de $50 millones en fondos en libras esterlinas durante cinco años a una tasa de interés fija. No ha podido obtener una cotización, pero le han ofrecido fondos en dólares estadounidenses al 10.5% anual. Los bonos del gobierno a cinco años actualmente reditúan 9.5% anual en Estados Unidos y 10.5% en el Reino Unido. Sugiera un swap de divisas adecuado que produzca 0.5% anual en forma neta al intermediario financiero.

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