{"id":2841,"date":"2018-01-05T15:23:17","date_gmt":"2018-01-05T15:23:17","guid":{"rendered":"https:\/\/www.bondvigilantes.com\/francais\/?p=2841"},"modified":"2018-01-09T15:06:40","modified_gmt":"2018-01-09T15:06:40","slug":"prime-de-swaps-de-devises","status":"publish","type":"post","link":"https:\/\/bondvigilantes.com\/francais\/2018\/01\/prime-de-swaps-de-devises\/","title":{"rendered":"\u00ab Prime \u00bb de swaps de devises \u2013 de quoi s\u2019agit-il ? Et quelles sont ses implications ?"},"content":{"rendered":"

\u00c0 la fin de l\u2019ann\u00e9e derni\u00e8re (en d\u00e9cembre), un pic de la \u00ab\u00a0prime\u00a0\u00bb des swaps impliquant des grandes devises contre le dollar avait retenu l\u2019attention du march\u00e9. Mais qu\u2019est-ce que la \u00ab\u00a0prime\u00a0\u00bb d’un swap de devises\u00a0?<\/p>\n

\"\"<\/a><\/p>\n

Supposons qu\u2019une soci\u00e9t\u00e9 europ\u00e9enne contracte un pr\u00eat sur un an aupr\u00e8s de sa banque locale afin de financer ses activit\u00e9s \u00e0 l’\u00e9tranger (aux \u00c9tats-Unis). Pour se couvrir contre le risque de change, la soci\u00e9t\u00e9 conclut un swap de devises EUR\/USD \u00e0 1 an avec une contrepartie de march\u00e9. La soci\u00e9t\u00e9 europ\u00e9enne \u00e9change une certaine somme d\u2019euros contre des dollars am\u00e9ricains au taux au comptant (\u00ab\u00a0spot\u00a0\u00bb) d\u2019aujourd’hui et convient de restituer ces capitaux au m\u00eame taux de change un an plus tard. D\u2019un point de vue technique, la soci\u00e9t\u00e9 europ\u00e9enne ne poss\u00e8de pas les dollars am\u00e9ricains\u00a0: il lui faudra donc rembourser le taux Libor am\u00e9ricain en guise d’int\u00e9r\u00eat, et, r\u00e9ciproquement, recevoir de sa contrepartie le taux Euribor. C\u2019est ainsi que ce type de contrat devrait fonctionner en th\u00e9orie (autrement dit selon la parit\u00e9 couverte des taux d’int\u00e9r\u00eat).<\/p>\n

Toutefois, dans la pratique, si la demande pour le dollar est plus \u00e9lev\u00e9e, la contrepartie qui pr\u00eate du dollar va r\u00e9clamer une prime. C\u2019est celle-ci que l\u2019on d\u00e9signe sous le nom de \u00ab\u00a0prime du swap de devises\u00a0\u00bb. Autrement dit, la soci\u00e9t\u00e9 europ\u00e9enne va payer le taux Libor am\u00e9ricain et recevoir l\u2019Euribor plus la \u00ab\u00a0prime\u00a0\u00bb du swap de devises (exprim\u00e9 en valeur n\u00e9gative).<\/p>\n

\"\"<\/a><\/p>\n

Prenons un exemple\u00a0: si aujourd’hui le taux Libor am\u00e9ricain est \u00e9gal \u00e0 1,6\u00a0% et que l\u2019Euribor vaut -0,4\u00a0%, le co\u00fbt th\u00e9orique du swap de devises EUR\/USD pour la soci\u00e9t\u00e9 europ\u00e9enne est de 2\u00a0% (elle verse 1,6\u00a0% pour les int\u00e9r\u00eats en dollar, mais aussi 0,4\u00a0% pour les int\u00e9r\u00eats en euro, car l\u2019Euribor est actuellement n\u00e9gatif). Si, \u00e0 cause d’une p\u00e9nurie de dollar, la contrepartie d\u00e9finit une \u00ab\u00a0prime\u00a0\u00bb de -50 pb, alors le co\u00fbt de ce swap, pour la soci\u00e9t\u00e9 europ\u00e9enne, s’\u00e9l\u00e8ve \u00e0 2,5\u00a0% (1,6\u00a0% d’int\u00e9r\u00eats en dollar + 0,4\u00a0% d’int\u00e9r\u00eats en euro + 0,5\u00a0% de \u00ab\u00a0prime\u00a0\u00bb de taux de change).<\/p>\n

De fa\u00e7on g\u00e9n\u00e9rale, la \u00ab\u00a0prime\u00a0\u00bb d\u2019un swap de devises correspond au degr\u00e9 de p\u00e9nurie du dollar am\u00e9ricain sur le march\u00e9\u00a0; plus la \u00ab\u00a0prime\u00a0\u00bb est n\u00e9gative, plus la p\u00e9nurie est importante. Pour les investisseurs qui se financent en dollar, cette \u00ab\u00a0prime\u00a0\u00bb n\u00e9gative peut avoir un impact favorable au moment de couvrir leur exposition aux taux de change. En effet, pour cela, ces investisseurs pr\u00eatent du dollar aujourd’hui et se le verront restituer plus tard, en percevant la \u00ab\u00a0prilme\u00a0\u00bb du swap de devises en plus du rendement de leurs placements \u00e9trangers. En r\u00e9alit\u00e9, il y a d\u00e9j\u00e0 des ann\u00e9es que la Banque de R\u00e9serve d\u2019Australie<\/strong><\/a>\u00a0\u00e9change ses propres r\u00e9serves de change contre du yen pour augmenter ses performances. Apr\u00e8s prise en compte de la \u00ab\u00a0prime\u00a0\u00bb, la dette souveraine japonaise \u00e0 court terme, dont le rendement est n\u00e9gatif, se r\u00e9v\u00e8le quand m\u00eame plus rentable que beaucoup d\u2019emprunts d’\u00c9tat \u00e0 court terme dans d\u2019autres devises.<\/p>\n

N\u00e9anmoins, pour les investisseurs \u00e9trangers, la \u00ab\u00a0prime\u00a0\u00bb peut rench\u00e9rir le co\u00fbt de couverture des placements en dollar, car pour couvrir ces derniers, il leur faut emprunter du dollar aujourd\u2019hui en vue de le restituer ult\u00e9rieurement. La \u00ab\u00a0prime\u00a0\u00bb correspond au co\u00fbt de couverture suppl\u00e9mentaire, ajout\u00e9 au diff\u00e9rentiel d’int\u00e9r\u00eats entre les deux devises.<\/p>\n

La \u00ab\u00a0prime\u00a0\u00bb des swaps de devises est un aspect important \u00e0 prendre en compte dans la gestion de l\u2019exposition aux taux de change d\u2019un portefeuille international. Comme la Fed est maintenant bien en avance sur la BCE et que d\u2019autres banques centrales dans son cycle de resserrement mon\u00e9taire, il est probable que la p\u00e9nurie de dollar s\u2019accentue l\u2019an prochain et rende la \u00ab\u00a0prime\u00a0\u00bb des swaps de devises encore plus n\u00e9gative. Les g\u00e9rants de portefeuille doivent donc bien prendre garde au co\u00fbt de couverture de leurs expositions \u00e0 l\u2019\u00e9tranger.<\/p>\n","protected":false},"excerpt":{"rendered":"

\u00c0 la fin de l\u2019ann\u00e9e derni\u00e8re (en d\u00e9cembre), un pic de la \u00ab\u00a0prime\u00a0\u00bb des swaps impliquant des grandes devises contre le dollar avait retenu l\u2019attention du march\u00e9. Mais qu\u2019est-ce que la \u00ab\u00a0prime\u00a0\u00bb d’un swap de devises\u00a0? Supposons qu\u2019une soci\u00e9t\u00e9 europ\u00e9enne contracte un pr\u00eat sur un an aupr\u00e8s de sa banque locale afin de financer ses activit\u00e9s \u00e0 l’\u00e9tranger (aux \u00c9tats-Unis). Pour se couvrir contre le risque de change, la soci\u00e9t\u00e9 conclut un swap de devises EUR\/USD \u00e0 1 an avec une contrepartie de march\u00e9. La…<\/p>\n","protected":false},"author":129,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[72,7],"tags":[141,216],"class_list":["post-2841","post","type-post","status-publish","format-standard","hentry","category-etats-unis","category-pays","tag-etats-unis","tag-gestion-des-devises"],"acf":[],"yoast_head":"\n\u00ab Prime \u00bb de swaps de devises \u2013 de quoi s\u2019agit-il ? Et quelles sont ses implications ? - Francais<\/title>\n<meta name=\"description\" content=\"\u00c0 la fin de l\u2019ann\u00e9e derni\u00e8re (en d\u00e9cembre), un pic de la \u00ab\u00a0prime\u00a0\u00bb des swaps impliquant des grandes devises contre le dollar avait retenu l\u2019attention du\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/bondvigilantes.com\/francais\/2018\/01\/prime-de-swaps-de-devises\/\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"Guest author Kevin Chang\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"4 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\/\/bondvigilantes.com\/francais\/2018\/01\/prime-de-swaps-de-devises\/#article\",\"isPartOf\":{\"@id\":\"https:\/\/bondvigilantes.com\/francais\/2018\/01\/prime-de-swaps-de-devises\/\"},\"author\":{\"name\":\"Guest author Kevin Chang\",\"@id\":\"https:\/\/bondvigilantes.com\/francais\/#\/schema\/person\/434dcc5092e6e13eed887331fae339a8\"},\"headline\":\"\u00ab Prime \u00bb de swaps de devises \u2013 de quoi s\u2019agit-il ? 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