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HON I LI SUT
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TRNG I HC KINH T TP.HCM
DANH SCH NHM
NGUYN TH KIU NNG
VNG V NGC THO NHI
O PHI KHNH VN
BI KHNH LINH DUY
CU TRC BI
CC KHI NIM C BN
NG DNG HON I LI SUT
I
NH GI HON I LI SUT
II
III
CC KHI NIM C BN
Hp ng hon i (swap) v bn cht l mt hp ng k
hn c c im l bao gm mt chui cc giao dch vi mt mc
gi c nh ti nhiu ngy khc nhau trong tng lai. Cc bn
giao dch hon i cc khon thanh ton hoc ti sn khc nhau.
Hon i l mt sn phm phi sinh ti chnh bao gm hai bn
giao dch thc hin mt chui cc thanh ton cho bn cn li vo
nhng ngy c th.
Cn c vo trng thi ca hng ha c s
HON
I LI
SUT
HON
I TIN
T
HON
I
CHNG
KHON
HON
I
HNG
HA
CC KHI NIM C BN
CC KHI NIM C BN
c im ca hon i
o Cc hon i c mt ngy bt u, mt ngy kt thc v ngy
thanh ton (settlement date) ngy m vic thanh ton c
thc hin
o Khong thi gian gia cc ln thanh ton gi l k thanh ton
(settlement period).
o Khng c cc khon thanh ton bng tin mt t mt bn ny
cho bn kia gi tr ban u bng 0, ngha l hin gi ca hai
dng thanh ton l nh nhau.
o Mi hon i c c th ha bi mt s tin giao dch c
gi l vn khi ton (notional principal).

o L cc cng c OTC. Trong :
- Nh giao dch, l nh ch ti chnh cung cp cc hon i trn th
trng
- Ngi s dng cui cng (end user), thng l mt doanh nghip,
mt qu hu bng, qu phng nga ri ro, hoc l mt t chc no
.
o Cc nh giao dch hon i nim yt gi v li sut m h s thc
hin giao dch vi khch hng trong mt hon i.
o Vic hon i gnh chu ri ro thanh ton theo nguyn tc b
tr
c im ca hon i
CC KHI NIM C BN
Hon i li sut l mt chui cc thanh ton tin li gia hai
pha. Mi tp hp thanh ton da trn li sut c nh hoc th
ni.
Nu li sut th ni v hon i c thc hin trn ng la th
s dng li sut LI BOR. Hon i trn cc ng tin khc s
dng li sut tng ng vi cc ng tin .
Hai bn hon i mt chui cc thanh ton tin li trn cng mt
ng tin vo nhiu ngy thanh ton khc nhau, da vo mt s
vn khi ton c th nhng khng thanh ton s vn khi ton
ny.
CC KHI NIM C BN
Hnh thc ph bin nht ca cc loi hon i li sut l
hon i vanilla thun nht (plain vanilla swap)
CC KHI NIM C BN
L mt loi hon i li
sut m mt bn thc hin
thanh ton theo li sut c
nh cn bn cn li thc hin
thanh ton theo li sut th
ni.
Gi s : cng ty MSC thc hin mt giao dch hon i vi vi mt
nh giao dch l ngn hng FSW.
+ S vn khi ton l 10 triu$. Ngy bt u l 15/01.
+ FSW thc hin thanh ton cho MSC li sut LIBOR 90 ngy
vo ngy 15 ca thng 1, 4, 7 v 11 trong mt nm.
+ Kt qu thanh ton c xc nh da trn li sut LIBOR vo thi
im u k thanh ton cn vic thanh ton c thc hin vo cui k
thanh ton . Do , kt qu thanh ton vo ngy 15/04 s da trn li
sut LIBOR vo ngy 15/01 v tng t nh vy cho cc ngy thanh
ton cn li .
+ MSC s tr cho FSW khon thanh ton c nh theo li sut
6%/ nm. Tin li thanh ton c tnh ton da trn s ngy m
chnh xc gia hai ngy thanh ton hoc hai bn cng gi nh l
1thng c 30 ngy.
+ Cc bn khi thanh ton cho nhau cn daj trn mt nm c 360 hoc
365 ngy . Chng ta gi nh rng mt nm c 360 ngy .
V D MINH HA
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V D MINH HA

Bn thanh ton v bn nhn thanh ton theo li sut th
ni s c mt dng tin vo mi ngy thanh ton l:

(vn khi ton)( LIBORli sut c nh)(90/360 hoc 365)

T gc ca MSC, khon thanh ton s l:
10.000.000(LIBOR-0,06)(90/360)


(Vn khi ton)(LIBOR li sut c nh)(s ngy/360 hoc 365)
15/01
15/04 15/07 15/10 15/01
10 triu
(0,06)q
10 triu
(0,06)q
10 triu
(0,06)q
10 triu
(0,06)q
Ghi ch: L
nn/tt
tng trng cho li sut Libor vo ngy
nn/tt. V q=s ngy/360
)q triu(L 10
15/1
)q triu(L 10
15/4 )q triu(L 10
15/7
)q triu(L 10
15/10
Dng tin ca hon i li sut vanilla nhn t gc cty MSC
V D MINH HA
Khon chi tr ca A l :
(vn khi ton)*(0.06)*(s ngy/360)
Khon chi tr ca B l :
(vn khi ton)*(LIBOR)*(s ngy/360)
Khon nhn v thun ca A l :
(vn khi ton)*(LIBOR-0.06)*(s ngy/360)

V D MINH HA
Vn khi ton: $10.000.000
Li sut c nh: 6%
Gi s mi thng c 30 ngy v mt nm c 360 ngy

Ngy
LIBOR
(%)
S ngy
FSW
chi tr
MSC
chi tr
Thanh ton
thun cho
MSC
15/01 6,8%
15/04 6% 90 $170.000 $150.0000 $22.500
15/07 5,24% 90 $150.000 $150.000 $0
15/10 4,75% 90 $131.000 $150.000 $-19.000
15/01 90 $118.000 $150.000 $-31.000
V D MINH HA
S dng hon i li sut vanilla thun nht
chuyn khon vay li sut th ni sang khon vay
li sut c nh

A
Ngi cho
vay
B
6%
LIBOR
LIBOR + 0.5%
NG DNG HON I LI SUT
Ri ro li sut ca ngn hng xy ra khi :
Li sut cho vay c nh trong khi li sut huy
ng th ni
Li sut cho vay th ni trong khi li sut huy
ng c nh
NG DNG HON I LI SUT
Hon i c s dng chuyn i cc khon
vay LS c nh sang khon vay LS th ni
Hon i lm gim chi ph s dng vn ca
doanh nghip
NG DNG HON I LI SUT
Li sut thu : 8,25%
Li sut chi : LIBOR+0,5%
Li nhun: 8,25%-(LIBOR+0,5%)
L nu 8,25% - LIBOR- 0,5%<0
hoc Libor >7,75%
ngn hng A lo s LI BOR tng
Mc tiu ca A l tm i tc chu
tr theo LIBOR cho A

Danh mc u t
100 triu $ trong 5
nm. TSSL k vng
l 8,25%
Ngn hng A
i tc cho vay 100
triu $ theo LIBOR
thi hn 5 nm
% 25 , 8
% 5 , 0 LIBOR
NG DNG HON I LI SUT
V D
Danh mc u t 100
triu $ trong 5 nm.
TSSL k vng l 8,25%
Ngn hng A
i tc cho vay 100 triu
$ theo LIBOR thi hn 5
nm
Ngn hng C
% 5 , 0 LIBOR
LIBOR
X
% 25 , 8
NG DNG HON I LI SUT
Dng tin ca ngn hng A sau khi thc hin hon i
Nhn t danh mc u t : 8,25%
Nhn t ngn hng C : LIBOR
Tr cho ngn hng C : X
Tr cho i tc cho vay : LIBOR +0,5%
Dng tin :
8,25 + LIBOR X LIBOR - 0,5% = 7,75% - X



NG DNG HON I LI SUT
Li sut thu: LIBOR+0,75%
Li sut chi: 7%
Li nhun : LIBOR+0,75%-7%
L nu LIBOR+0,75%-7% <0
hoc l LIBOR < 6,25%
Ngn hng B lo s LI BOR gim
Mc tiu ca B l mong mun
tm i tc chu nhn LIBOR t B.
Cho vay 100
triu $ thi hn 5
nm, li sut
LIBOR+0,75%
Ngn hng B
Pht hnh tri
phiu mnh gi
100 triu $ thi
hn 5 nm, LS 7%
% 75 , 0 LIBOR
% 7
NG DNG HON I LI SUT
Cho vay 100 triu $ thi
hn 5 nm, li sut
LIBOR+0,75%
Ngn hng B
Pht hnh tri phiu mnh
gi 100 triu $ thi hn 5
nm, LS 7%
Ngn hng C
LI BOR + 0.75%
7%
LI BOR
Y
NG DNG HON I LI SUT
Dng tin ngn hng B sau khi thc hin hon i
Nhn t khon cho vay: LIBOR+0,75%
Chi tr li tri phiu : 7%
Nhn t ngn hng C : Ym
Chi tr cho ngn hng C : LIBOR
Dng tin :
LIBOR+0,75%+Y-7%-LIBOR= Y-6,25%


NG DNG HON I LI SUT
Danh mc u t 100
triu $ trong 5 nm.
TSSL k vng l
8,25%
Ngn hng A
i tc cho vay 100
triu $ theo LIBOR
thi hn 5 nm
Ngn hng C
Cho vay 100 triu $
thi hn 5 nm, li
sut LIBOR+0,75%
Ngn hng B
Pht hnh tri phiu
mnh gi 100 triu $
thi hn 5 nm, LS
7%
LIBOR
% 7
X
Y
LI BOR +0.75%
7%
LI BOR +0.5%
8.25%
NG DNG HON I LI SUT
Dng tin ca ngn hng C
o Nhn t ngn hng A : X
o Nhn t ngn hng B : LIBOR
Tr cho ngn hng A : LIBOR
Tr cho ngn hng B : Y
Dng tin : X+LIBOR-LIBOR-Y = X-Y
Do c 3 ngn hng u hot ng v li nhun nn ta c:


7,75>X>Y>6,25

NG DNG HON I LI SUT

0,5 Y X
0,5 6,25 Y
0,5 X - 7,75

6,75% Y
7,25% X
Gi s,3 ngn hng u c li nhun bng nhau
Xc nh X v Y bng cch gii HPT:
NG DNG HON I LI SUT