Syfte: Syftet är att undersöka svenska storföretags användande av derivatet ränteswap (svensk benämning för interest rate swap) för år 2012 och 2013 samt att undersöka skillnader utifrån tidigare funna bakomliggande faktorer mellan företag som använder olika typer av ränteswaps och företag som inte använder ränteswap. Metod: Studien tillämpade en empirisk totalundersökning gällande de icke-finansiella företagen noterade på Nasdaq OMX Stockholm Large Cap för slutet på år 2012 respektive år 2013. Utifrån företagens årsredovisningar kategoriserades företagen i fyra grupper baserat på företagets användande av ränteswap. Fem tidigare funna bakomliggande faktorer för användandet av ränteswap sammanställdes genomsnittligt per kategori och jämfördes därefter kategorierna emellan. Resultat: Av de största noterade börsföretagen använde 29 av 40 stycken företag ränteswap år 2012 och 29 av 42 företag år 2013. Företag som använde rörlig ränteswap var signifikant större än de företag som inte använde ränteswap för år 2012 och 2013. År 2013 hade de företag som använde fast och båda typer av ränteswaps högre andel kortfristiga lån i jämförelse med de företag som inte använde ränteswap. Uppmätta skillnader kategorierna emellan för de resterande tre undersökta faktorerna; andel långfristiga lån, löptiden på företagens lån liksom företagens förväntade obeståndskostnader var inte signifikanta vilket innebar att de uppmätta skillnaderna inte kunde hänföras till svenska storföretag. Slutsatser: Över två tredjedelar av de undersökta företagen använde ränteswap. Storleken för företag som använde ränteswap var en urskiljande faktor i jämförelse med företag som inte använde ränteswap. För svenska storföretags andel kortfristiga lån för ett av de undersökta åren talar det mesta för att företag som använde ränteswap hade högre andel kortfristiga lån än företag som inte använde ränteswap. Skillnader i andel långfristiga lån, löptid på lån liksom förväntade obeståndskostnader kategorierna emellan kunde inte hänföras till svenska storföretag och därmed inte ses som urskiljande faktorer för användande av ränteswap. / Purpose: The purpose is to investigate the largest Swedish companies utilization of interest rate swap (afterwards referred to as IRS), as well as variations in the underlying factors between companies who use IRS and companies who do not. Methodology: The study applied an empirical investigation about the non-financial companies noted on Nasdaq OMX Stockholm Large Cap for the end of year 2012 and year 2013. By their annual reports, companies where divided into four categories based on their usage of IRS. Five earlier factors for the use of IRS were compiled per category and were then compared between the categories. Findings: 29 out of the 40 largest listed companies used IRS 2012, and 29 out of 42 companies 2013. The companies who used variable IRS were significantly larger than the ones who didn't use IRS. Companies who used fixed, and both types of IRS year 2013, had a higher proportion of short-term loans compared to the companies which didn't use IRS. Measured differences between the categories for the remaining three factors; proportion of long-term loans, duration on the companies loans as well as their expected distress costs was not significant which implicates that the measured differences could not be assigned to Swedish corporations. Conclusions: Over two thirds of the investigated companies used IRS. The size of the companies that used IRS was a factor which differed between companies who used IRS and the companies that didn't. The proportion of short-term loans showed a significant disparity for one of the investigated years indicated that the companies who used IRS have a larger proportion of short-term loans than the ones who don't. Differences in the proportion of long-term loans, duration on loans and expected distress costs between the categories could not be assigned to Swedish corporations.

With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. By starting at the basic rate instrument, bonds, we will work our waytowards the pricing formula for a swaption, the Black76 model. The Black76model is a variant of the Nobel prize winning formula Black-Scholes-Merton.With the pricing model we can start looking at the main scope of this thesis,a hedging strategy against swaptions from a clearinghouse perspective.Clearinghouses are central to the modern financial market. They act asa middleman in order to clear trades from clearing members and have anoversight of the financial market. In case a clearing member defaults, theclearinghouse will gain control over the defaulted portfolio. The clearing-house will host an auction of the portfolio which they strive to hold after5 to 15 days. When they hold the portfolio, they are exposed to the risksand therefore it’s of great importance to be able to hedge the assets in theportfolio. In this thesis a strategy and algorithm have been developed todelta-hedge swaptions in order to be delta-neutral under stable market con-ditions.In the thesis we will consider two cases. The first case is when the clear-inghouse receives the portfolio long before the swaptions maturity. In thiscase forward swaps are used to hedge and in order to reduce the number offorward swaps obtained, compression is used. The second case is when theswaption maturity will be reached within the period the clearinghouse holdsthe portfolio. For the days before maturity is reached, forward swaps andcompression is used. After maturity is reached interest rate swaps is used tohedge.For both cases the result is very close to achieving delta-neutrality. Withnormalized deltas with respect to the notional amount the mean delta ex-posure is of the magnitude 10−4 for the first case and 10−6 for the second.However, one thing to keep in mind is that everything is based on simu-lated values under some simplifying assumptions. This thesis should be asolid ground for future studies where more extreme scenarios are considered.With more extreme scenarios one could investigate the possibility to hedgewith Gamma or another Greek such as Vega. / Med den ökande användningen av ränteswappar är det av stor vikt att förståswaptioner, vilket är en option på en ränteswapp. En swaption kan användasbåde för spekulativa syften och för att hedgea mot risker i ränteförändringar.Det viktigaste att förstå är hur man prissätter en swaption. Eftersom swap-tioner baseras på underliggande tillgångar så kommer vi börja med det mestgrundläggande, obligationer, och arbeta oss fram till modellen vi kommer an-vända, Black76. Black76-modellen är en variant av den nobelprisvinnandemodellen Black-Scholes-Merton. Med denna modell kan vi börja undersökadet huvudsakliga syftet med avhandlingen, en hedgningsstrategi för swap-tioner från perspektivet av ett clearingshus.Clearinghus är en central del av den moderna finansmarknaden. De agerarsom en mellanhand för att hantera affärer mellan clearingmedlemmar ochhar en översikt över marknaden. Ifall en clearingmedlem går i konkurs,kommer clearinghuset att ta över portföljen med tillgångar. Clearinghusetkommer att hålla en auktion för att sälja av portföljen. De strävar efteratt hålla auktionen så snabbt som möjligt och det sker generellt efter 5 till15 dagar. Medan de har portföljen så är de exponerade mot riskerna i till-gångarna och därför är det av största vikt att kunna hedga tillgångarna. Iden här avhandlingen har en strategi och en algorithm tagits fram för attanvända delta-hedging för att uppnå delta-neutralitet under normala mark-nadsrörelser.Vi kommer att undersöka två olika fall. Det första fallet är när portföljen tasöver när det är lång tid kvar till swaptionens förfallodatum. Då kommer viatt använda forward swaps för att hedgea och för att minska antalet swapparkommer vi att använda kompression. Det andra fallet är när förfallodatumetuppnås under tiden som clearinghuset håller i portföljen. Dagarna innan för-fallodatumet kommer vi hedgea med forward swaps med kompression. Närdatumet är nått så kommer vi istället att använda ränteswappar.I båda fallen är resultaten nära att uppnå delta-neutralitet. Med normalis-erade deltan med avsenende på det nominella beloppet är medelvärdet avdelta-exponeringen av magnituden 10−4 för det första fallet och 10−6 för detandra. Men, det är värt att komma ihåg att allting är baserat på simuler-ade värden under förenklade antaganden. Denna avhandling bör utgöra enbra grund för vidare studier där man kan undersöka mer extrema mark-nadsrörelser. Med extremare rörelser skulle man kunna undersöka hedgn-ingsstrategier med andra Greker som till exempel Gamma och Vega.

<p>This paper presents empirical evidence on the determinants of interest rate swap spreads in Sweden during the period 1999-2003. The results suggest that the spread between STIBOR and the general collateral repo rate is positively related to shorter maturity swap spreads. The risk premium associated with commercial bonds is positively related to swap spreads of all maturities. A negative relationship is observed between the term structure of interest rates and swap spreads. The short-term interest rate is positively related to spreads with shorter maturities. Interest rate volatility, stock-market movements and exchange rate movements appear to have no impact on Swedish swap spreads.</p>

This paper presents empirical evidence on the determinants of interest rate swap spreads in Sweden during the period 1999-2003. The results suggest that the spread between STIBOR and the general collateral repo rate is positively related to shorter maturity swap spreads. The risk premium associated with commercial bonds is positively related to swap spreads of all maturities. A negative relationship is observed between the term structure of interest rates and swap spreads. The short-term interest rate is positively related to spreads with shorter maturities. Interest rate volatility, stock-market movements and exchange rate movements appear to have no impact on Swedish swap spreads.

This diploma thesis analyses various approaches to calculate risk-free interest rate. In the beginning it deals with the term risk-free asset a various types of bases we could start calculating from. The paper suggests using spot rates and searches for alternative interest rates on the market. These are subsequently applied to real data coming from Czech market. Specifically they are the bootstrapping method and also the method of deriving risk-free interest rate from interest swap rate. Closing thoughts are dealing with various problems an appraiser may encounter while calculating risk-free rate. For example the problem of using nominal/real rates, nonexistent long-term government bonds or the presence of a default risk for particular government. This diploma thesis closes with a decision tree that could serve as a lead for appraiser in the process of estimating risk-free interest rate.

Philosophiae Doctor - PhD / In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods.

The goal of this master thesis is to analyze main changes affecting interest rate swaps in the Czech republic, which took place since 2007, in areas of regulation, valuation of interest rate swaps and negative interest rates. The first part defines derivative and describes sort of derivatives and type of swaps. The second part deals with interest rate swaps, pricing and valuation, and contractual documentation. The third part explains the impact of regulation MiFID I, EMIR and MiFID II on interest rate swaps. The fourth part analyzes changes in interest rate swaps valuation and negative interest rates issues.

By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. To combat these problems we set out to minimize the size and quantity of contracts by performing what is called a compression. We have looked into three different types of compression methods for interest rate swap contracts. One method is specialized for central clearing, Coupon Blending, and two methods for bilateral clearing, Closed Loops, and the Network Simplex Method. By using Monte Carlo Simulations, all three methods could be compared to one another to conclude the significant findings. The clear winner for centrally cleared contracts was Coupon Blending which could terminate over 92% of the contracts, and reduce the total absolute size of the contracts by over 75%. Network Simplex came in as a close second which could also reduce the total absolute size of the contracts by over 75% but only terminate 86%. Coupon Blending and Network Simplex, both had very similar accuracy in their compression. However, NetworkSimplex performed better at keeping the system’s total risk intact. For bilateral clearing, NetworkSimplex performed the best where the Closed Loops strategy was not an optimized approach. / Genom att delta i den finansiella marknaden köper och säljer en participant olika sorters kontrakt vilket resulterar i att samlingen av kontrakt växer. Med en ständigt växande samling av kontrakt skapas problem som, att kostnaden för hantering ökar, att orderbokens hantering blir svårare och en ökad risk för konkurs. För att undvika dessa problem kan man utföra kompression vilket är att försöka reducera kontrakten i antal och storlek. Vi har studerat tre olika typer av kompressionsstrategier för kompression av ränteswappar. Den första strategin är Coupon Blending som är specialiserad för central clearing medan de två andra, Closed Loops och Network Simplex Metoden är utvecklade för bilateral clearing. Genom att använda Monte Carlo Simuleringar på alla tre strategier kunde vi dra slutsatser kring deras egenskaper och effektivitet. Den bästa strategin var Coupon Blending som kunde terminera över 92% av alla kontrakt, och samtidigt reducera den totala absoluta storleken på kontrakten med 75%. Network Simplex presterade också bra och kunde reducera den totala absoluta storleken på kontrakten med 75% och terminera 86% av kontrakten. Coupon Blending och Network Simplex hade bägge en liknande noggrannhet, men Network Simplex var något bättre på att hålla systemets totala risk intakt. För bilateral clearing presterade Network Simplex bäst där Closed Loops strategin inte var tillräckligt optimerad.

[pt] Investidores aceitam retornos inferiores em ativos que ofereçam liquidez e segurança, sendo tal desconto conhecido como taxa de conveniência. Este estudo utiliza a diferença entre a taxa fixa do swap de juros e a taxa de juros dos títulos do tesouro como medida da taxa de conveniência. Enquanto a literatura comumente foca na análise do referido prêmio especificamente para os Estados Unidos, construo uma estratégica de swap spread para quatro países: Estados Unidos, Reino Unido, Brasil e Polônia, sendo os dois primeiros desenvolvidos e os demais emergentes. Os resultados mostram que a taxa de conveniência dos países desenvolvidos analisados é, em média, positiva e atinge valores extremos durante crise financeira, em linha com os demais artigos sobre o assunto. Diferentemente, a taxa dos países emergentes é, na maior parte do período, negativa e assume montantes ainda menores em momentos de estresse, comportando-se, portanto, de forma oposta. Empiricamente, essa diferença entre a taxa de conveniência calculada para os Estados Unidos e para o Brasil é relacionada a medidas de liquidez e de risco, levando à compreensão de que em momentos de estresse financeiro, o tesouro americano sustenta uma taxa de conveniência ainda maior do que a do tesouro brasileiro. / [en] Investors are willing to accept lower returns when investing in assets that provide liquidity and safety. This discount is acknowledged as convenience yield. This study considers the difference between the fixed leg of an interest rate swap and the treasury bond yield as a measure of the convenience yield. While the literature commonly focuses on the analysis of this referred premium for the United States, I construct a swap spread strategy for four countries: United States, United Kingdom, Brazil and Poland. The former two are developed countries while the latter are emerging countries. The results show that the convenience yield for the developed countries analyzed is, on average, positive and hits extreme values during financial crisis, in accordance with other papers on this issue. Distinctly, the yield for emerging countries is mostly negative and incurs in even lower amounts at moments of distress, behaving in the opposite way. Empirically, this difference between the convenience yield calculated for the United States and for Brazil is related to measures of liquidity and safety premium, entailing to the understanding that at moments of financial stress, the American treasury sustains an even larger convenience yield when compared to the Brazilian treasury.

「凸性偏誤」（Convexity Bias），非債券的「凸性因子」（Convexity），來自利率非平行變動對債券價格的影響。對利率交換契約而言，有其特殊意義。是指利用一連串到期日連續的期貨契約，作為評價利率交換契約的模型，卻因為在期貨契約到期前，其隱含利率並不等於遠期利率的情況下，採用未經修正過的模型，將錯誤估算交換契約的價格。而此偏誤值因隨著到期日的增加，或利率的波動增高而逐漸擴大，呈曲線特性，故稱之為「凸性偏誤」（Convexity Bias）。 由於完整資料收集不易，本論文的重心就限於探討美國歷史上，從1994年至1996年間，美國聯邦準備理事會（Federal Reserve Board；FED），第一階段利息大幅變動期間，利率的變動對凸性偏誤的影響，並預測之後利率變動時，對利率交換契約價格的影響。旨在以實證資料作完整分析，希望藉此探討凸性偏誤是否也會因利率變動程度的不同，進而對利率交換契約價格產生不同程度的影響。並進一步利用簡單的模型，推算出準確的遠期利率，作為評價利率交換契約的指標。將來若利率發生變動，交換契約的交易雙方，也能因此得到正確的交換契約價格，進行交易或避險，以減低利率風險可能帶來的損失。