SWAP )I>ECTO I;O PO> LOTA?TE

C=ILE C=( TO9A U? P>RSTA9O )E CLP$Q0G9  LO )EPOSITA E? LA CUE?TA )E EU* E? SA?TIAJO EEUU

EU* TO9A U? P>RSTA9O )E US)9  LO )EPOSITA E? LA CUE?TA )E C=( E?  C=ICAJO C=( EU* CLP(* US) L B ( US) L B ( CLP(*

A ) )#&g e )s *&<="ms !"! #7s )s *#gs e*ee e LIBOR >

 e) '"* e !#m".

P& e2em*)(S,*g#ms ?,e e) LIBOR es'e #7 es @% > # # s,"& , me" *& !"e' #) #7 # ) )#&g e )s *&<="ms !"! #7s. T#m"/ s,*g#ms ?,e e) '"* e !#m"

CLP8US3 es CLP:508US3 > # # s,"& *& CLP58US3 *& #7 # ) )#&g e )s *&="ms !"! #7s.

CD1 TIPO 3E CD1 EU+ CD1

PAGA CAMBIO PAGA PAGA NETO

LIBOR US3 CLP8US3 CLP CLP M CLP

@ 10 @00.000 :50 6:5.000.000 10 195.000.000 @/5 10/5 @;5.000 :55 :19.;:5.000 10 @6.5+5.000

48

Case Std! o" a #rren#! swap$

IBM # Te &) B# 

A "amos e%ample o" an earl! #rren#! swap too& pla#e 'etween I(M an t)e World (an& in A*st +,-+. wit) Salomon (rot)ers

As t)e intermediar!/ T)e #omplete details o" t)e swap )a0e ne0er

'een p'lis)ed in "ll/ T)e "ollowin* des#ription "ollows a paper

p'lis)ed '! D/R/ (o#& in Swap Finan#e. Eromone! P'li#ations/

In t)e mid +,12s.

IBM

3erman mar&s. DEM. and Swiss "ran#s. C4F/ T)e 'onds matrit! date was Mar#) 52. +,-6/ T)e issed amont o" t)e C4F 'ond was C4F722 million. wit) a #opon

rate o" 6 58+69 per annm/ T)e issed amont o" t)e DEM 'ond was DEM522 million wit) a #opon rate o" +29 per annm/ Drin* +,-+ t)e USD appre#iated

s)arpl! a*ainst 'ot) #rren#ies/ T)e DEM. "or e%ample. "ell in 0ale "rom :/;+-+8DEM in Mar#) +,-2 to

:/5,6-8DEM in A*st +,-+/ T)s. #opon pa!ments o" DEM+22 )ad "allen in USD #ost "rom :;+/-+ to :5,/6-/ T)e sitation wit) t)e Swiss "ran#s was t)e Same/ T)s.

50 50

In t)e 'e*innin* o" +,-+.

In t)e 'e*innin* o" +,-+. Te &) B# Te &) B#  wanted to wanted to 'orrow #apital in 3erman mar&s and Swiss "ran#s 'orrow #apital in 3erman mar&s and Swiss "ran#s a*ainst USD/ Arond t)at time. t)e World (an& )ad a*ainst USD/ Arond t)at time. t)e World (an& )ad issed #omparati0el! little USD paper and #old raise issed #omparati0el! little USD paper and #old raise "nds at an

"nds at an attra#ti0e rate in t)e U/S/ attra#ti0e rate in t)e U/S/ mar&mar&et/et/ (ot)

(ot) parties parties #old #old 'ene<t 'ene<t "rom "rom USD "or USD "or DEM DEM and C4Fand C4F swap/ T)e World (an& wold isse a USD 'ond and swap/ T)e World (an& wold isse a USD 'ond and swap t)e : pro#eeds wit) I(M "or #as) =ows in C4F swap t)e : pro#eeds wit) I(M "or #as) =ows in C4F and DEM/

and DEM/  T)e

 T)e 'ond 'ond was was issed issed '! '! t)e t)e WWorld orld (an& (an& on on A*st A*st ++.++. +,-+. settlin* on A*st 7;. +,-+/ A*st 7;. +,-+ +,-+. settlin* on A*st 7;. +,-+/ A*st 7;. +,-+ 'e#ame t)e

'e#ame t)e

se'')eme' #'e

se'')eme' #'e "or "or t)e t)e swap/ swap/ T)e T)e <rst <rst annalannal pa!ment nder t)e swap was determined to 'e on pa!ment nder t)e swap was determined to 'e on Mar#) 52. +,-7 > t)e ne%t #opon date on I(M?s Mar#) 52. +,-7 > t)e ne%t #opon date on I(M?s 'onds/ I/e/. 7+; da!s @rat)er t)an 562 "rom t)e swap 'onds/ I/e/. 7+; da!s @rat)er t)an 562 "rom t)e swap startin* date/

 T)e

 T)e swap swap was was intermediated intermediated '! '! Solomon Solomon (rot)ers/ (rot)ers/ T)e T)e <rst<rst step was to #al#late t)e 0ale o" t)e C4F and DEM #as) step was to #al#late t)e 0ale o" t)e C4F and DEM #as) =ows/

=ows/ At At t)at time. t)at time. t)e annal t)e annal !ields on !ields on similar similar 'onds'onds were

were at -9 at -9 and ++9. rand ++9. respe#ti0espe#ti0el!el!/ / T)e initial T)e initial period o" period o" 7+;B7+;B da! meant t)at t)e dis#ont "a#tors were #al#lated as

da! meant t)at t)e dis#ont "a#tors were #al#lated as "ollows$ "ollows$ ,, y) y) (1 (1 1 1 actor  actor  Discount F Discount F 360 360 n n + + = = W)ere$

52 52

 T)e dis#on

 T)e dis#ont "a#tors t "a#tors were #al#lated$were #al#lated$

3#'e

3#'e 3#>s3#>s CDFCDF 3EM3EM

5 5//5522//--7 7 77++;; //,,;;;;221111;; //,,55,,;;1166 5 5/5/52/2/--5 5 ;1;1; ; //----555+5+22 //--6666;;77 5 5/5/52/2/--  ,5,5; ; //-+-+----7;7;22 //161677;-;-++55 5 5/5/52/2/--; ; +7+7,,; ; /1/1;-;-++-+-+55 //6-6-112+2+2277 5 5/5/52/2/--6 6 +6+6;;; ; /1/1272722+2+2 //6+6+--,7,7--+/+/ e%t. t)e 'ond 0ales were #al#lated$ e%t. t)e 'ond 0ales were #al#lated$

NPHCDF NPHCDF   +7.51;.222/,;;211; G /--55+2 G /-+--7;2 G / +7.51;.222/,;;211; G /--55+2 G /-+--7;2 G / 1;-+-+5H 1;-+-+5H G G 7+7.51;.227+7.51;.222/1272+2H 2/1272+2H  CDF1@1/96:/;:.CDF1@1/96:/;:. NPH3EM NPH3EM 52.222.222/,5,;16 G /-66;7 52.222.222/,5,;16 G /-66;7 G/167;-+5G/6-12+27H G552.222.222/6+-,7-++H G/167;-+5G/6-12+27H G552.222.222/6+-,7-++H   3EM901/915/+:93EM901/915/+:9

T)e terms o" t)e swap were a*reed pon on A*st ++. +,-+/ T)s. T)e World (an& wold )a0e 'een le"t e%posed to #rren#! ris& "or two wee&s ntil A*st 7;/  T)e World (an& de#ided to )ed*e t)e a'o0e deri0ed

P amonts wit) +Bda!s

#rren#! "orwards/ Assmin* t)at t)ese "orwards were at :/;-178C4F and :/5,267;8DEM. T)e World (an& needed

a total amont o" :72;.-;.222J

:-1.1-5.71 to '! t)e C4F and :++1.12+.1;5 to '! t)e DEM/

54

Assmin* t)at t)e 'ond #arried a #opon rate o" +69 per annm wit) intermediar! #ommissions and "ees totalin* 7/+;9. t)e net pro#eeds o" /,1-; per dollar meant t)at t)e USD amont o" t)e 'ond isse )ad to 'e$

:72;.-;.22282/,1-;  :7+2.222.222/

 T)e KTM on t)e World (an& 'ond was +6/-9/ As mentioned a'o0e. t)e <rst #opon pa!ment in0ol0ed 7+; da!s onl!/ T)ere"ore. t)e <rst #opon pa!ment was eal to$

:7+2.222.222@/+67+;8562H   :72.266.661/

 T)e #as) =ows are smmaried in t)e "ollowin* ta'le$

IBM RECEIHES PAKS PAKS

3#'e US3 CDF 3EM

5/52/-7 72.266.661 +7.51;.222 52.222.222 5/52/-5 55.622.222 +7.51;.222 52.222.222 5/52/- 55.622.222 +7.51;.222 52.222.222 5/52/-; 55.622.222 +7.51;.222 52.222.222 5/52/-6 75.622.222 7+7.51;.222 552.222.222  KTM % 11% 16.% NPH 72;.-;.222 +,+.561.1- 52+.5+;.715

(! swappin* its "orei*n interest pa!ment o'li*ations "or USD o'li*ations. IBM was no lon*er e%posed to #rren#! ris& and

56 E) s#*( IBM SUIA _ALEMANI A BANCO MUN3IAL EE.UU . CDF+00M CDF CUPN 3M900M 3M CUPN 3M CUP N   US3 CUPN   US3 CUPN

IBM PAGA RECIBE RECIBE 3#'e US3 CDF 3EM 9.90.+ +0/066/66: 1+/9:5/000 90/000/000 9.90.9 99/600/000 1+/9:5/000 90/000/000 9.90.; 99/600/000 1+/9:5/000   CDF CUPN US3 CAPITA L

+aloraci%n de swaps sobre

di>isas

 l igual Aue ocurre en los swaps de tipo de interés- los swaps sobre di>isas pueden >alorarse tanto

como la diferencia entre dos bonos como una cartera de contratos a pla@o.

58 -$ SWAPS DE C!!DI"IES 

Con el é8ito de los swaps de divisas @ de tasas de interés a lo largo de los oc2entas4 se desalloraron nuevos mercados de swaps$

Se ampli1 muc25simo la gama de los activos ue su"@acen los swaps$ Unos e#emplos son los productos energéticos4 acciones4 deudas4 etc$ En los e#emplos presentados adelante4 nos concentramos en activos energéticos como Jasolina4 Jas ?atural @ Petr1leo$ El monto nocional en este tipo de swap es en términos del activo su"@acente' 0$GGG

galones de gasolina4 (GG$GGG "arriles de crudo4 V/G$GGG gallones de gas natural4 etc$

Tal como en los swaps de tasas de interés @ los swaps de divisas4 en los swaps de commodities 2a@ dos partes "uscando como reducir sus

costos de operaci1n @ cam"iar la 5ndole de su pagos de !i#os a !lotantes @ vice versa$ La a"rumadora ma@or5a de los swaps de este tipo son !i#o6 por6!lotante o !lotante6por6!lotante$

Me&!# S*' e !&, Ree&# _3e#)e&S#* C&, P&e!" s*' $+;/+08) P&e!" *&me" s*'

60

L# &ee&# !#m"< s, &"esg( e

&"esg e) *&e!" s*' #) *&e!" 2

e $1;/+0. S, *#g *& #&&") es(

$+;/+0 .

S" em#&g/ es'e e2em*)  se

#*)"?,e # ,# &ee&# !")e#.

P&?,e s" )# &ee&# ,e&# !")e#

es'#&#

es*,es'#

#)

&"esg

!#m"#&" > 'e&# ?,e e'&#& e

'&

s#*

e

""s#

*#&#

Me&!# S*' e !&, Ree&# _3e#)e&S#* A C&, P&e!" s*' US3+;/+08) P&e!" *&me" s*'

62

L# &ee&# ee !#m"#& *ess e <)#&es *#&# *#g#& *& e) !&,. S" #!e& e) s#*/ ?,e#& e=*,es'# #) &"esg !#m"#&" e) CLP ! e) US3. C,# e'&# e e) s#*(

P#g# #) s#* e#)e& A( QUS3+;/+0 SCLP8US3  K *#g# #) s#* e#)e& B( CLP:508US3US3+;/+0

Re!"e e) s#* e#)e& B( QUS3+;/+0SCLP8US3 S, ,2 e !#2# e'

 QCLP:508US3QUS3+;/+0  CLP:50Q+;/+08#&&").

E) s#* ! e) s#* e#)e& B e'e&m"# e) '"* e !#m" e , '"* 2 e PCL:508US3.