澳洲银行通过交叉货币基差互换对冲美元加息风险

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简单介绍一下外汇掉期(Fx Swap),也可以成为外汇互换。主要分为利差(Interest Rate Spread)和基差(Cross Currency Basis Swap),前者与央行货币政策息息相关,后者反应的是两种货币的供需相对力量对比。

交叉货币基差互换(Cross Currency Basis Swap):是指不同货币基于不同参考利率的浮动利率对浮动利率的互换,交易体双方分别收取和支付两种不同浮动利率的利息款项。这种方式可以防止央行货币政策对对冲方的影响,但会受到市场结构性、监管政策等其他因素的影响。

举例:A公司能以浮动利率借来美元,而B公司能以浮动利率借来欧元,而A公司需要使用欧元,B公司需要使用美元,则A、B公司经过商量后交换二者的货币,即A公司以浮动利率贷来美元后将其转贷款给B公司使用,由B公司来偿还浮动利率的美元贷款,同样,B公司以浮动利率贷来欧元后将其贷款给A公司使用,由A公司来偿还浮动利率的欧元贷款,就实现了交叉货币基差互换。 这样就各取所需,交换双方都满意。

现在来说说澳洲,自从2016年底至今,美联储已经升息175个基点,但澳洲银行的现金利率和房屋贷款利率只做了很少的变动,这主要归因于澳洲银行采用了交叉货币基差互换操作。

First, the Australian bank raises US dollars in the US wholesale markets. Next,the Australian bank and its swap counterparty exchange principal amounts at current spot exchange rates; that is, the Australian bank ‘swaps’ the US dollars it has just borrowed and receives Australian dollars in return. It can then extend Australian dollar loans to Australian borrowers;

Over the life of the swap, the Australian bank and its swap counterparty exchange a stream of interest payments in one currency for a stream of interest receipts in the other. In this case, the Australian bank pays an Australian dollar interest rate to the swap counterparty and receives a US dollar interest rate in return. The Australian bank can use the interest payments from Australian borrowers to meet the interest payments to the swap counterparty, and it can pass the interest received from the swap counterparty onto its bondholders;

At maturity of the swap, the Australian bank and its swap counterparty re-exchange principal amounts at the original exchange rate. The Australian bank can then repay its bond holders.

通过这种方法,澳洲银行对于美联储升息的影响降到了最低,海外融资成本的上升,并没有传导到房地产融资当中,房地产与银行业并没有进入到负反馈。后期分析澳洲货币的时候,主要的驱动因素还是需要关注全球总需求的变化。

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