debt foreign exchange and interest rate exposure management

... floating interest rate and the cap rate Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate Interest rate collar Combination of cap and floor Interest ... survey (FRAs, interest rate swaps, cross-currency swaps, and foreign exchange and interest rate options) averaged $659 billion, up percent See Chart Chart 2: Daily U.S FX and Interest Rate Derivatives ... turnover in foreign exchange (FX) spot, forwards, and swaps as the foreign exchange part of the survey Trading in forward rate agreements (FRAs), currency and interest rate swaps, foreign exchange...

Ngày tải lên: 06/03/2014, 02:21

... expectations, monetary and fiscal policies and the value of the U.S dollar Other interest rates, including bank prime lending rates, home mortgage rates and corporate and municipal bond rates, tend to ... estimate of forward rates, option prices may move sharply when current spot rates are unchanged 13 Basic Strategies with Interest Rate Options Using options to implement interest rate strategies offers ... inversely related to interest rates An investor must be able to understand this inverse relationship between bond prices and yields That is, whenever interest rates rise, prices on outstanding Treasury...

Ngày tải lên: 06/03/2014, 14:20

... evidence that merger pricing and acquirer excess returns are a function of the interest- rate environment This evidence suggests that interest rates and interest- rate exposure does, indeed, affect ... realized rising -rate environment 17 Target and acquirer positioning is related to the interest rate environment, particularly the level and trend in interest rates Targets’ interest- rate betas were ... Abstract: This study examines how interest rates and interest- rate exposures affect the level of acquisition activity, the identities of targets and acquirers, and the pricing of acquisitions in...

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 15/02/2014, 05:20

... understand the underlying analytics, assumptions, and methodologies and ensure such systems and processes are incorporated appropriately in the strategic (long-term) and tactical (short-term) management ... management process Such policies and procedures should ensure the IRR implications of significant new strategies, products and businesses are integrated into IRR management process Policies and ... process for managing interest rate risk The level of structure and formality in this process should be commensurate with the activities and level of risk approved by senior management and the board...

Ngày tải lên: 15/02/2014, 05:20

... positions in interest- rate futures Finally, less than percent of the sample banks report having open positions in interest- rate swaps, interest- rate options, interest- rate forwards, and interest- rate ... use of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, is associated with higher growth rates in C&I loans Robustness Check To check ... commercial and industrial loan portfolios More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interestrate futures, and interest- rate forwards,...

Ngày tải lên: 17/02/2014, 03:20

... with robust standard errors in brackets The symbols *, **, and *** represent significance levels of 10%, 5%, and 1% respectively 32 Fig Interest rates on overdrafts and interbank rate in Italy ... Japan (Aoki and Patrick, 1994), Germany (Harhoff and Körting, 1998) and Italy (Angelini et al.,1998) and in more market oriented ones such as the U.S (Petersen and Rajan, 1994; Berger and Udell, ... market and banking rates is the ratio between deposits and total funding (RETAIL), including deposits, bonds and interbank borrowing Banks which use relatively more bonds and interbank debt than...

Ngày tải lên: 17/02/2014, 03:20

... currency swaps, currency options and other foreign exchange products) Turnover on global foreign exchange markets and in interest rate derivatives is analysed in Tables to and in Tables to 9, respectively ... instrument and currency The triennial survey collects data on turnover of OTC interest rate derivatives for three instruments: forward rate agreements (FRAs), interest rate swaps and interest rate ... (from $3.3 trillion) at current exchange rates Because euro/dollar exchange rates were very similar in April 2007 and 2010, growth calculated at constant exchange rates was similar at 18% The 2010...

Ngày tải lên: 06/03/2014, 02:21

... intensity and interest rates In this section we consider a model with stochastic intensity and interest rates In this kind of models λ is a stochastic process but, conditional on the filtration generated ... Brigo and Mercurio (2001, 2001b) We will often use the integrated process, that is t t β t Λ(t) = λs ds, and also Y β (t) = ys ds and Ψ(t, β) = ψ(s, β)ds We take the short interest- rate and the ... since the attractive feature of the model is the separate and semi-automatic calibration of the interest- rate part to interest- rate data and of the intensity part to credit market data Indeed,...

Ngày tải lên: 06/03/2014, 04:21

... rather standard division into net interest income and non -interest income, the net interest income from the business with non-banks (with respect to loans and deposits) and other sources of interest ... Demirg¨c-Kunt and Huizinga (1999) and Gischer and J¨ttner (2003) Interest rate differentials (i.c u¸ u gaps between contractual interest rates and money market rates) as ex-ante measures of banking ... of several factors (interest rates for outstanding amounts and new business on both sides of the balance sheet, the level and the structure of interest- earning assets and interest- bearing liabilities),...

Ngày tải lên: 06/03/2014, 14:20

Ngày tải lên: 15/03/2014, 01:20

... Examples include foreign exchange contracts, foreign currency and interest rate future contracts, foreign currency and interest rate options, and foreign currency and interest rate swaps Generally, ... Interest Rate Risk Management Page developing and implementing appropriate interest rate risk measurement techniques; and developing and implementing effective interest rate risk management and control ... apply within its interest rate risk management programme, and the minimum criteria it should use to prudently manage and control its exposure to interest rate risk Interest rate risk management must...

Ngày tải lên: 15/03/2014, 02:20

... this series may be subject to further publication Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies Balázs Égert, Oesterreichische Nationalbank; EconomiX ... διρεχτιον µαττερσ NONPARAMETRIC SIGN TEST – p-values EVENT SIZE W PRE- AND POST-EVENT WINDOW 10 15 20 30 40 50 60 DIRECTION: EXCHANGE RATE STRENGTHENING Slovakia DAYS DAYS 10 DAYS 20/30 DAYS wind smooth ... tkl/usd 0.2 0.0 20-Dec-05 2-Jan-06 ron/eur 25-Nov-05 21-Oct-05 12-Aug-05 3-Jun-05 16-Sep-05 interest rate 8-Jul-05 actual 29-Apr-05 24-Mar-05 12-Jan-05 17-Feb-05 verbal Νοτε: Τηε ριγητ−ηανδ σχαλε...

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 15/03/2014, 14:20

... zero -interest- rate bound and the role of the exchange rate for monetary policy in Japan” by G Coenen and V Wieland, March 2003 219 “Extra-euro area manufacturing import prices and exchange rate ... events using a SUR approach Interest rate swap spreads are defined as the difference between the interest rate of the fixed leg of the 10-year interest rate swap and the 10-year government bond ... running excessive deficits and increasing debt ratios, a European fiscal policy framework was adopted setting deficit and debt limits for EU member states and installing an elaborated surveillance procedure...

Ngày tải lên: 22/03/2014, 23:20

... Data Interest rates and interest rate futures: Table A1 below lists for each of the six economies the source of the eight 90-day interest rate futures, the policy rate and the 30-day interest rate ... change in 30-day interest rates on the day of monetary policy decisions, consistent with Campbell and Lewis (1998) and Kohn and Sack (2003) This 30-day interest rate, a market interest rate, should ... effect on domestic interest rate futures of foreign policy decisions and a number of selected foreign data releases (see, for example, Campbell and Lewis 1998, and Gravelle and Moessner 2001)...

Ngày tải lên: 22/03/2014, 23:20

... the aggregate interest rate is used, calculated as a weighted average of the available interest rates on denar loans (enterprises and households) and interest rates on total foreign exchange loans ... of lending rates and interest rate spreads in Croatia between 1999 and 2003 Čihák supposes that interest rate spread is a function of the deposit rate, total assets, market share, and the share ... of Banks' Interest Rates, i.e the interest rate data are related to all currencies, maturities and sectors interest rate spread - the difference between the lending and the deposit rate in the...

Ngày tải lên: 22/03/2014, 23:20

... longterm interest rate exposure but negatively associated with short-term interest rate exposure Nevertheless, the derivative activity of banks has no significant influence on their exchange rate exposure ... ***,** and * represent significance at the 1%, 5% and 10%, respectively 11 Graph Level and First Differences of Interest Rates and Market Returns Short Term Interest Rates 0.099 0.090 0.081 Month Interest ... Journal of Money, Credit and Banking 24, 2742 Au Yong, H.H., Faff, R and Chalmers, K (2007): “Derivative activities and Asia-Pacific banks’ interest rate and exchange rate exposures” Journal of...

Ngày tải lên: 22/03/2014, 23:20

... exchange markets and foreign exchange rate determination, foreign exchange risk management, and international investment analysis Peijie Wang, May 2005 Contents Foreign Exchange Markets and Foreign ... knowledge in foreign exchange rate regimes and foreign exchange rate arrangements to better understand foreign exchange rate behaviour, since the choice of foreign exchange rate regimes can influence ... swap rate was 0.003, with an outright quote of the forward rate being $1.2078 and a spot rate of $1.2108/€ 12 Foreign Exchange Markets and Foreign Exchange Rates Table 1.4 US dollar exchange rates...

Ngày tải lên: 24/03/2014, 04:20

... corrective action when interestrate management policies, practices, and procedures are deficient in controlling and monitoring interest- rate risk February 1998 Page Interest- Rate Risk Management Examination ... interest rates change The interest- rate sensitivity of exchange- traded options is usually easy to identify because exchange contracts are standardized On the other hand, the interest- rate sensitivity ... categories of credit risk and does not incorporate other factors, including overall interest- rate exposure and management s ability to monitor and control financial and operating risks Therefore,...

Ngày tải lên: 29/03/2014, 13:20