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ACCA FM知识点：Forward rate agreements(FRA)
文章来源：ACCA全球官网
发布时间：2021-11-05 11:36
阅读：783次
ACCA FM《财务管理学习指南》的G部分规定了以下与利率风险管理相关的内容：
(a)讨论和应用利率风险管理的传统和基本方法，包括：
(i)匹配和平滑
(ii)资产负债管理
(iii)远期利率协议
(b)确定用于对冲利率风险的主要利率衍生工具类型，并解释如何使用它们进行对冲。
本文介绍的知识点是利率风险管理内容的远期利率协议 (FRA)。
Forward rate agreements(FRA)
These arrangements effectively allow a business to borrow or deposit funds as though it had agreed a rate which will apply for a period of time.The period could,for example start in three months’time and last for nine months after that.Such an FRA would be termed a 3–12 agreement because is starts in three months and ends after 12 months.Note that both parts of the timing definition start from the current time.
The loans or deposits can be with one financial institution and the FRA can be with an entirely different one,but the net outcome should provide the business with a target,fixed rate of interest.This is achieved by compensating amounts either being paid to or received from the supplier of the FRA,depending on how interest rates have moved.
Example:
Nero Co’s cash flow forecast shows that it will have to borrow$2m from Goodfellow’s Bank in four months’time for a period of three months.The company fears that by the time the loan is taken out,interest rates will have risen.The current interest rate is 5%and this is offered by Helpy Bank on the required FRA.
Required
(i)What kind of FRA is needed?
(ii)What are the cash flows if the interest rate has risen to 6.5%when the loan is taken out?
(iii)What are the cash flows if the interest rate has fallen to 4%when the loan is taken out?
(i)The FRA needed would be a 4–7 FRA at 5%
(ii)If the interest rate has risen to 6.5%:
(iii)If the interest rate has fallen to 4%:
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