Risk azaltıcı tekniklerin fon yönetiminde kullanımı: Türkiye örneği

The Using of hedging techniques for treasury management in Turkey

Tez No: 30851
Yazar: SEVAL ÖZKAN
Danışmanlar: DR. SAADET TANTAN
Tez Türü: Yüksek Lisans
Konular: Bankacılık, Banking
Anahtar Kelimeler: Belirtilmemiş.
Yıl: 1994
Dil: Türkçe
Üniversite: Marmara Üniversitesi
Enstitü: Sosyal Bilimler Enstitüsü
Ana Bilim Dalı: Uluslararası Bankacılık ve Finans Ana Bilim Dalı
Bilim Dalı: Belirtilmemiş.
Sayfa Sayısı: 147

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Özet (Çeviri)

İNGİLİZCE ÖZETT.R. MARMARA UNIVERSITY THE INSTITUTE OF BANKING AND INSURANCE INTERNATIONAL BANKING DIVISION THE USING OF HEDGING TECHNIQUES FOR TREASURY MANAGEMENT IN TURKEY A MASTER THESIS PREPARED BY: SEVAL ÖZKAN THE ADVISOR : DR. SAADET TANTAN ISTANBUL, 1994LIST OF CONTENTS INTRODUCTION- FOREIGN EXCHANGE MARKETS- 1.1 - CORRESPONDENT BANKS- 1.2 - THE PARTICIPANTS OF THE FOREIGN EXCHANGE MARKETS 3 1.3 - THE RATE OF THE FOREIGN CURRENCY- 4 1.3.1 - Fixed Rate 4 1.3.2 - Floating Rate 5 1.4 - SPOT AND FORWARD FOREIGN EXCHANGE MARKETS 5 H - THE UNITS OF MONEY MANAGEMENT IN THE BANKS : TREASURY- II.1 - DEFINITION AL - ITS DUTY AND RESPONSIBILITIES 6 n.2.1 - The Section Turkish Lira 6 U.2.2 - The Section of the Foreign Currencies 7 H.3 - ITS ORGANIZATION- n.3.1 - Dealing Room 7 II.3.2 - BackOffice 9 IH - THE MANAGEMENT OF THE POSITION OF THE FOREIGN CURRENCY IN THE TURKISH BANKING SYSTEM- 10Ill 1 - INTERVENTION OF CENTRAL BANK 1 0 III. 1.1- Determination of the Rate of Foreign 1 0 III. 1.2 - Liquidity Ratio 1 0 IE. 1.3 - The Parity Risk Ratio 11 EI. 1.4 - Compulsory Transfer of the Foreign Currencies and Bank Notes 1 1 m.2 - THE FINANCIAL RISKS IN FOREIGN CURRENCIES TRANSACTIONS 12 ffl.2.1 - Credit Risk 12 m.2.2 - Parity Difference-Short Position Risk 1 3 ffl.2.3 - Liquidity Risk 13 111.2.4 - Interest Rate Risk 1 3 III.3 - MAIN HEDGING TECHNIQUES FOR DECLINING FINANCIAL RISKS 14 ni.3.1 - Forward Transactions 14 III. 3. 1.1 -Calculation of the Forward Rate- 15 III.3. 1.2-Interest Arbitrage 17 III. 3. 1.3-Exchange Rate Fixing 1 9 in.3.2 - Swap Transactions 19 ffl.3.2. 1-Currency Swap 19 ffl.3.2.2-Interest Rate Swap 20 ni.3.3 - Futures Contracts 20 IU.3.3. 1-Interest Rate Futures 20 m.3.3.2-Currency Futures 20 m.3.3.3-Comparison of Forward and Future Transactions 21 m.3.4 - Option Transactions 21 III.3.4.1-Definitions and Option Types - 21 III.3.4.2-Determinants of Option's Price- 22 m.3.4.3-Interest Rate Options 22 III.3.4.3.1-Determinants ofPrice«23 ni.3.4.3.2-Interest Rate Cap 23 in.3.4.3.3-Interest Rate Floor 24 in.3.4.3.4-InterestRate Collars - 24 ni.3.5 - Forward Rate Agreements 24 CONCLUSION- 25INTRODUCTION In last years several developments in the banking sector require that the banks attach importance to the money management. The money management that means to balance the assets and debts profitably and effectively in the foreign currencies has become a very important activity area. Especially, our banking sector in the process to be opened to abroad has begun to look at the money management by a new point of view. All of those developments and the investment finance of the clients in the international financial market result in new financial products that are called as derivative products in order to meet the necessities of complex and competition such as risk management. The reason to be called as derivative product is that the interest rate; the rates of stocks in the money market are modified by the values they get. The fund managers began to use these new financial techniques in the management of assets and liabilities in the management of the portfolio risk in the cover of the portfolio value and in the description of the future value of the portfolio, and in the remove of the risk. These new financial techniques that are arisen because of the increase of the banking activities in 1980's are begun to be used by the banks that want to increase their power of the competition. In Turkey, great economical changes during the first six months of 1994, immediate increases in the rates of the foreign currencies and the interest rates of Turkish Lira (overnight interest rate in February 1994 became 1,200 %) had made the banking sector difficulties. Again these developments indicated the importance of the use of the reducing techniques of the risk. The banks that realize an effective money management and have powerful liquidity had increased their shares of the market. This study has been prepared in order to help to be spread the use of the contemporary financial techniques, and so to increase the international competitive power and profitability in the banks. At the first section of the study, the rate of the foreign currency has been described, fixed rate, flexible rate, cross rates have been explained. Besides, the foreign exchange markets, spot and forward markets, and the institutions that make transactions in the foreign exchange market. The role of the correspondent banks has been described in the money transactions.At the second section, the Treasury Department that carries a significant responsibility and is the unit of the money management in the banks has been described. The duties of the responsibilities of the units of Turkish Lira and the foreign currencies in the Treasury Department have been mentioned. The organization of the Treasury Department is examined as dealing room and operation. At the third section, the interventions of Central Bank that takes part in the money management, several risks during the process of the currencies, and the description, types, relationships to each other, accounting transactions of the due date and sale and purchase of the currencies, swap, futures, option, interest rate options, forward interest rates have been explained by means of several examples of the practice.I - FOREIGN EXCHANGE MARKETS The accompanying existence of the international characteristics of the commerce and of the national characteristics of the currency has resulted in the development of the foreign exchange transactions and formation of the foreign exchange Markets. The foreign exchange markets are the markets that achieve to be exchanged the national currencies to each other, and the large-scale markets in the way as transactional volume. The foreign exchange market is different from the other markets since the purchasers and sellers do not meet. This market makes its transactions by means of the banks and other intermediary institutions. The banks communicate with the other banks in the country and abroad by means of phones, telex, or Reuters screens. The leading foreign exchange markets of the world generally gather in the financial centers. The most important markets are London, New York, Tokyo, Frankfurt, Zurich, Singapore,Paris. The rates of the foreign currencies can be changed during the day and evaluation of the funds can be provided since any markets open in the world because of the hour differences. 1.1- CORRESPONDENT BANKS The banks keep the accounts with foreign banks in order too able to realize their own foreign currency transactions as well as make their payments. These accounts the banks keep in the correspondents are called as NOSTRO Accounts. The payments of each currency are realized through its own country. For example; the banks in our country keep the currency of USD in any bank in the USA, one of DEM in any bank in Germany as nostro accounts. Whenever any importers in Turkey realize an importation from Germany; and it gives payment order to its bank, the bank realizes the payment of DEM by means of correspondent in Germany. The banks in our Countries constitute their account with correspondents in accordance with the instructions of Central Bank. The banks, however, can open any account in the banks that are accepted their correspondent by Central Bank. 1.2 - THE PARTICIPANTS OF THE FOREIGN EXCHANGE MARKETS The first outstanding institutions that make the transaction in the foreign exchange market are the commercial banks. The banks can make transactions on behalf of their clients or on behalf of their own name directly. The brokers who are the mediatorsfor the foreign currency transactions between the banks take part in this market. The importers, the person who makes direct investments abroad in order to import goods and services or the private persons who want to make savings abroad come into the market as a buyer. The exporters who sell the goods and services to abroad or the private persons who want to change the assets or foreign currencies to the national money take part in the market as a seller. Central Bank, insurance companies or government institutions frequently make the transactions in the foreign exchange market. L3 - THE RATE OF THE FOREIGN CURRENCY The payments that arise from the international trade cause the necessity of convertibility of the national currencies to each other. For example; any Turkish exporter has to convert the foreign currencies he earns into the Turkish Lira. In the same way, the importer has to pay in the foreign currency for the goods he buys. A problem is emerged at this stage. This problem is which rate is applied for the convertibility transactions. The convertibility rate of the currencies to each other (exchange rate) is called as the rate of the foreign currencies or parity. In our country the exchange rate is described as the most of foreign currencies against Turkish Lira. So, the increase of the rate of the foreign currency means the lost of the value of Turkish Lira. However, the decrease of the rate means the gain of the value of Turkish Lira. For example; USD 1 = TRL 32.450.- 1.3.1 - Fixed Rate This is the system in which the government intervenes into the foreign exchange markets in order to fix the rate of the foreign currencies. a) The intervention under the conditions of the liberal market; This is the system in which the money authorities intervenes into the money market as the buyer or seller in order to keep balance the rate of the foreign currencies during the conditions of liberal market. b) The control system of the foreign currency; This is the system in which the earnings of the foreign currencies are gathered in a certain fund, and the payments of the foreign currencies are made from this fund in accordance with the governmental regulations. The liberty in the purchases and sales of the currencies are entirely removed in this central system. Every one has to sell the currency they earn in a time period to banks that are authorized the government.1.3.2 - Floating Rate This is the system in which the value of the national money is freely described in accordance of the demand and supplies in the market, and the rates of the currencies are permanently changed. The rates are described by the authorities of demand and supply which are constituted in the money market, not by the official authorities. 1.4 - SPOT AND FORWARD FOREIGN EXCHANGE MARKET Spot rate is the value during the process of any currency against any foreign currency. The market in which the transactions are realized by the spot rates is called as the spot money market. The spot transaction of the currency is an agreement that requires the delivery of a certain amount of a currency against another currency within the two business days. Forward transaction of the currency is an agreement that requires the exchange of a currency for another currency in a future time (a longer time than the date of spot agreement). Forward rates are quoted as one, two, three, six, and twelve months. Some special currencies can be quoted as one, two years or much more time. Forward transaction has more risk than spot one since the rate of the transaction that will realize in the future time is decided for now.m.3.2 - Back Office After the Treasury transactions are written down the slips by the dealers, all of the details of the transactions are recorded by the position officer. So, the position of the bank is updated. Moreover, the transaction slips are given to the Operation Department. Operation Department realizes the control, accounting, correspondence, and payment of the transactions which make in the Treasury. Operation controls that the payments are made or not. It also follows the correspondence whenever any inconvenience occurs.Foreign Currency Assets Liquidity Ratio = Foreign Currency Lialibilities HL1.3 - The Parity Risk Ratio This ratio calculated by the division of total assets and credits of USD equivalence of the foreign currencies to total debts of the foreign currencies Foreign Currency Assets + Foreign Currency Lialibities The Parity Risk Ratio = Foreign Currency Debts The parity risk ratio has to be minimum 80 %, maximum 110 % at USD base. The aim of this restriction is to provide that the banks have enough stocks of the foreign currencies for their obligation, and to prevent that the banks have excess stocks of the foreign currencies for their obligation. HL1.4 - Compulsory Transfer of the Foreign Currencies and Bank notes Until the last business days of the following month the banks have to transfer to Central Bank 20 % of the convertible currencies of export and invisible transactions that are sold by paying Turkish Lira within the last one month, and in addition they also have to sell or to transfer 5 % of these currencies to the Interbank of foreign 11Foreign Currency Assets Liquidity Ratio = Foreign Currency Lialibilities HL1.3 - The Parity Risk Ratio This ratio calculated by the division of total assets and credits of USD equivalence of the foreign currencies to total debts of the foreign currencies Foreign Currency Assets + Foreign Currency Lialibities The Parity Risk Ratio = Foreign Currency Debts The parity risk ratio has to be minimum 80 %, maximum 110 % at USD base. The aim of this restriction is to provide that the banks have enough stocks of the foreign currencies for their obligation, and to prevent that the banks have excess stocks of the foreign currencies for their obligation. HL1.4 - Compulsory Transfer of the Foreign Currencies and Bank notes Until the last business days of the following month the banks have to transfer to Central Bank 20 % of the convertible currencies of export and invisible transactions that are sold by paying Turkish Lira within the last one month, and in addition they also have to sell or to transfer 5 % of these currencies to the Interbank of foreign 11IEL2.2 - Parity Difference and Short Position Risk In the money market the Parity risk occurs whenever the amount borrowed and the amount given as deposit cannot meet each other at the maturity. This parity risk is the risk that is caused by the increase or decreases in the values of the currency units. The parity risk in the foreign exchange market is seen as“ net foreign currency position”and“ swap position or maturity mismatch ”. Premium expected in swap position or modification risks in the discount occur. The most important differences in the money market and swap transaction is to be estimated for only one foreign currency during the foreign exchange transactions. The interest rate in the future for two foreign currencies has to be taken into consideration if the foreign exchange transaction is realized by swap. HL2.3 - Liquidity Risk Liquidity is the power that the bank is able to make payments in the time. Liquidity risk is caused that inflow or outflow of the cash in any transaction is not one by one. Market liquidity risk is, however, that financial instruments are not covered by market value since they are not sold immediately. Market liquidity is modified very quickly or relatively at the crisis time. m.2.4 - Interest Rate Risk This risk is caused by the modification of the interest rates in the money market and securities market. If the conditions of interest rates that connected the assets and liabilities of the banks to each other, the changes in the market interest rates effect the bank incomes. Another condition to be profit for the bank is, however, that Net Interest Margin should be positive, it means the difference between the rate of average credit income and the rate of average deposit cost. \ 13Now, the management of the interest rate risk is become a very important area for the banks. Its reason is, however, that the changes and indefinites of the interest rates and have increased especially after 1970's. If the bank managers believe that they estimate the right interest rates for the future time, the position of the bank can be adjusted in accordance with this estimation.For example; if the increase in the interest rates is assumed that they make decision to have more elastic assets against liabilities. m.3 - MAIN HEDGING TECHNIQUES FOR DECLINING FINANCIAL RISK m.3.1 - Forward Transactions A forward transaction is an agreement to exchange some amount of one currency for another at a time in the future. Quotations are indicated for one, two, three, six, and twelve months' settlements. Forward transactions are used by importers to protect themselves against a movement in the exchange markets. A forward transaction cannot be cancelled. Although, the forward transaction can be closed out at any time by the repurchase (or sale) of the foreign currency amount on the original value date. Losses or gains are realized on this date. Normally, the forward price and the spot price of a currency differ. If the forward price is higher than the spot price, we speak of a forward premium, and if it is lower we speak of a forward discount. These premiums and discounts reflect the interest rate differentials between the currencies in the Euromarket. 14IEL2.2 - Parity Difference and Short Position Risk In the money market the Parity risk occurs whenever the amount borrowed and the amount given as deposit cannot meet each other at the maturity. This parity risk is the risk that is caused by the increase or decreases in the values of the currency units. The parity risk in the foreign exchange market is seen as“ net foreign currency position”and“ swap position or maturity mismatch ”. Premium expected in swap position or modification risks in the discount occur. The most important differences in the money market and swap transaction is to be estimated for only one foreign currency during the foreign exchange transactions. The interest rate in the future for two foreign currencies has to be taken into consideration if the foreign exchange transaction is realized by swap. HL2.3 - Liquidity Risk Liquidity is the power that the bank is able to make payments in the time. Liquidity risk is caused that inflow or outflow of the cash in any transaction is not one by one. Market liquidity risk is, however, that financial instruments are not covered by market value since they are not sold immediately. Market liquidity is modified very quickly or relatively at the crisis time. m.2.4 - Interest Rate Risk This risk is caused by the modification of the interest rates in the money market and securities market. If the conditions of interest rates that connected the assets and liabilities of the banks to each other, the changes in the market interest rates effect the bank incomes. Another condition to be profit for the bank is, however, that Net Interest Margin should be positive, it means the difference between the rate of average credit income and the rate of average deposit cost. \ 13IEL2.2 - Parity Difference and Short Position Risk In the money market the Parity risk occurs whenever the amount borrowed and the amount given as deposit cannot meet each other at the maturity. This parity risk is the risk that is caused by the increase or decreases in the values of the currency units. The parity risk in the foreign exchange market is seen as“ net foreign currency position”and“ swap position or maturity mismatch ”. Premium expected in swap position or modification risks in the discount occur. The most important differences in the money market and swap transaction is to be estimated for only one foreign currency during the foreign exchange transactions. The interest rate in the future for two foreign currencies has to be taken into consideration if the foreign exchange transaction is realized by swap. HL2.3 - Liquidity Risk Liquidity is the power that the bank is able to make payments in the time. Liquidity risk is caused that inflow or outflow of the cash in any transaction is not one by one. Market liquidity risk is, however, that financial instruments are not covered by market value since they are not sold immediately. Market liquidity is modified very quickly or relatively at the crisis time. m.2.4 - Interest Rate Risk This risk is caused by the modification of the interest rates in the money market and securities market. If the conditions of interest rates that connected the assets and liabilities of the banks to each other, the changes in the market interest rates effect the bank incomes. Another condition to be profit for the bank is, however, that Net Interest Margin should be positive, it means the difference between the rate of average credit income and the rate of average deposit cost. \ 13Now, the management of the interest rate risk is become a very important area for the banks. Its reason is, however, that the changes and indefinites of the interest rates and have increased especially after 1970's. If the bank managers believe that they estimate the right interest rates for the future time, the position of the bank can be adjusted in accordance with this estimation.For example; if the increase in the interest rates is assumed that they make decision to have more elastic assets against liabilities. m.3 - MAIN HEDGING TECHNIQUES FOR DECLINING FINANCIAL RISK m.3.1 - Forward Transactions A forward transaction is an agreement to exchange some amount of one currency for another at a time in the future. Quotations are indicated for one, two, three, six, and twelve months' settlements. Forward transactions are used by importers to protect themselves against a movement in the exchange markets. A forward transaction cannot be cancelled. Although, the forward transaction can be closed out at any time by the repurchase (or sale) of the foreign currency amount on the original value date. Losses or gains are realized on this date. Normally, the forward price and the spot price of a currency differ. If the forward price is higher than the spot price, we speak of a forward premium, and if it is lower we speak of a forward discount. These premiums and discounts reflect the interest rate differentials between the currencies in the Euromarket. 14IEL2.2 - Parity Difference and Short Position Risk In the money market the Parity risk occurs whenever the amount borrowed and the amount given as deposit cannot meet each other at the maturity. This parity risk is the risk that is caused by the increase or decreases in the values of the currency units. The parity risk in the foreign exchange market is seen as“ net foreign currency position”and“ swap position or maturity mismatch ”. Premium expected in swap position or modification risks in the discount occur. The most important differences in the money market and swap transaction is to be estimated for only one foreign currency during the foreign exchange transactions. The interest rate in the future for two foreign currencies has to be taken into consideration if the foreign exchange transaction is realized by swap. HL2.3 - Liquidity Risk Liquidity is the power that the bank is able to make payments in the time. Liquidity risk is caused that inflow or outflow of the cash in any transaction is not one by one. Market liquidity risk is, however, that financial instruments are not covered by market value since they are not sold immediately. Market liquidity is modified very quickly or relatively at the crisis time. m.2.4 - Interest Rate Risk This risk is caused by the modification of the interest rates in the money market and securities market. If the conditions of interest rates that connected the assets and liabilities of the banks to each other, the changes in the market interest rates effect the bank incomes. Another condition to be profit for the bank is, however, that Net Interest Margin should be positive, it means the difference between the rate of average credit income and the rate of average deposit cost. \ 13m.3.1.1 - Calculation of The Forward Rate Spot Rate X interest rate differential X term in days Forward premium (Discount) 360 X 100 The basic operation is as follows ; Spot Rate + Premium / Discount Forward Rate USD/CHF USD/DEM GBP/USD Spot 1.97760-1.9780 1.7200-1.7220 2.2640-2.2650 Imonth 165-155 72-67 55-63 2month 325-315 143-138 133-143 3 month 455-445 215-210 233-243 6month 955-935 430-415 515-530 12month 1720-1620 860-830 840-880 15The GBP/USD forward rate is calculated as follows; Dollar at a discount. Spot GBP/USD 2.2640- 2.2650 3 months GBP/USD 233 - 243 3 months outright rate 2.2873 - 2.2893 The forward margins will be quoted inverse order and added to the spot price. The USD/DEM forward rate is calculated as follows Dollar at discount. Spot USD/DEM 1.7200- 1.7220 2 months USD/DEM 143 - 138 2 months outright rate 1. 7057 - 1. 7082 16HL3.1.2 - Interest Arbitrage Interest arbitrage is switching funds between different interest bearing instruments or countries to profit from higher interest rates. The interest will be received in one currency and paid away in other currency. Example: 4.1.1993 USD/TL = 8584.80 (The Central Bank Of Turkey Buying Rate) USD 6 Months Interest Rate: %7 TL 6 Months Merest Rate.%74 5.7.1993 USD/TL: 10.922,11 (The Central Bank Of Turkey Buying Rate) Borrow : USD 100.000.- Maturity : 6 months USD. 100.000.- X 8.584.- = 858.480.000.-TL Calculation of interest income for 6 months ; 17858.480.000.- X 74X182 = 321.166.907.- 36.000.- 5.7.1993 - Net Income - Total Income ; 858.480.000.-TL. + 321.166.907.- TL = 1.179.646.907.-TL Calculation of interest cost ( interest rate = Libor + 0.5 ) = 7+0.5 = 7.5% USD. 100.000.- X 7.5X182 3.792.- interest cost 36.000.- USD sum required at maturity ; USD.100.000.- + USD.3.792.- = USD.103.792.- 1.179.646.907.-TL : 10.922,11 = USD.108.005 (USD. 108.005.-) - (USD. 103.792.-) = USD.4.213.-net profit 18III.3.1.3 - Exchange Rate Fixing Exchange rates fixing are used by importers to protect themselves against risk. HL3.2 - Swap Transactions Swap is a legal agreement between two parties to exchange cash flows over a period of time. The swap rate is not an exchange rate, it is an interest rate differential in the Euromarket between the currencies involved for the swap period. There are two swap structures ; 1- Currency Swap, 2 - Interest Rate Swap. HI.3.2.1 - Currency Swap A currency swap is a legal agreement arrangement to exchange payments denominated in one currency for those denominated in another. In the foreign exchange markets, the term swap is used to denote a spot sale and forward purchase of a currency. In the capital markets a swap usually involves an exchange of interest payments and principal denominated in one currency for payments in another. 19.3.2.2 - Interest Rate Swap In terms of transaction volume the interest rate swaps is by for the most common. Essentially it is a contract between two counterparts to exchange fixed interest rate payments. It normally involves two unrelated borrowers who have borrowed identical principal amounts for similar periods from different lenders, with one borrower paying a fixed rate and the other a floating rate of interest. The payment will be in the same currency on a given notional sum. m.3.3 - Futures Contacts A futurer contact is an agreement to buy or sell a standard amount of a specified commodity, currency or financial instrument at a fixed price at a fixed future date. A commodity may be a currency, an interest rate or a product such as an oil. Each contract is for fixed amounts of products with, a three-month settlement date. ( March - June - September - December ) m.3.3. 1 - Interest Rate Futures Interest rate futures are forward contract for short term investments, with fixed maturities and standardized contract sizes traded on an exchange. Interest rate futures are traded on the SIMEX (Singapore International Exchange), LUTE (London International Financial Futures Exchange), IMM (International Monetary Market) and the CBOT (Chicago Board of Trade) exchanges. HL3.3.2 - Currency Futures Currency futures are traded on the following exchanges SIMEX,LIFFE and the IMM. 20Currency futures are forward transactions in foreign exchange with designated maturities and standardized contract amounts which are traded on an exchange. BÜ3.3.3 - Comparison of Forward and Future Transactions Currency futures contracts are different type of contract from forwards. Future contract is a standardized contract, traded on an organized exchange, to buy or sell a fixed quantity of a defined be off set by taking the other side in the open outcry auction. m.3.4 - Option Transactions m.3.4.1 - Definitions and Option Types A currency option gives its owner the right, but not the obligations, to purchase or sell a given currency at a predetermined price during a set time period or a specific date. The buyer of an option must pay an option premium to seller immediately after the option has been written. Option to sell a currency is called a put option and to purchase a currency is called call option. Options that can be exercised only on expiration date ( maturity date ) are called European Option. Those that can be exercised any time before maturity date are called American Option. 21Option with a strike price roughly equal to the fixtures price, also called an at the money option. Option with its own intrinsic value, also called an in the money option. Option without any inherent value is called an out of the money option. Premium - Intrinsic Value + Time Value Intrinsic Value = Strike Price - Market Price Time Value = Premium - Intrinsic Value HI.3.4.2 - Determinants of Option 's Price There are four major factors that determine the price of an option: 1 - Strike price of the option, 2 - Term : The life of the option, 3 - Forward price of the underlying commodity, 4 - Volatility of the underlying commodity. m.3.4.3 - Interest Rate Options Interest rate option entitles, but does not obligate, the buyer to receive (call option) or to pay (put option) an agreed basis interest rate (strike rate) on a designated date. 22The option buyer pays the option seller a premium, the amount of which, like that of any market prices, is determined by supply and demand. M.3.4.3.1 - Determinants of Price There are four major factors that determine the price of interest rate option. 1 - The difference between the strike rate and the current market rate, 2 - The maturity of the option contract, 3 - The volatility of a certain reference interest rate, 4 - Money supply and demand, liquidity etc. ÜL3.4.3.2 - Interest Rate Cap Caps are interest rate options which place an upper limit on the interest costs of debt instruments with floating interest rates by designating a maximum interest rate for a specified future period. If the market interest rate rises above the agreed maximum interest rate, the seller of the cap will pay the difference to the buyer. The seller of a cap can improve the yield an investment with floating interest rates by the amount of the premium he has collected as long as the interest rates do not move above the maximum interest rate plus premium. The cap buyer, limits his interest costs to the maximum interest rate' plus premium as he profits from interest rates that are lower than the maximum rate. 23m.3.4.3.3 - Interest Rate Floor A floor agreement means that the floor seller guarantees that the floor buyer will receive a minimum interest rate for a specific period of time. m.3.4.3.4 -Interest Rate Collars The collar is a combination of a cap and a floor. The buyer of the collar buys a cap with a specified strike rate and sells at the same time a floor with a lower strike rate. m.5 - Forward Rate Agreement The forward rate agreements, as an interest rate futures contract makes it possible to fix in advance the interest rates of future interest periods. FRAs can be conclude in all convertible currencies. 24CONCLUSION Banking Sector that is in a conservative manner was in a passive situation till 1980. From 1980s it has begun to take more risk, began to do more active banking, and became more international. After these years old fashioned conservative policies have been abandoned and new research have been started. Increasing competition in the sector was enforced the banks to promote new products and facilities. All this improvement has increased the importance of the treasury section of the banks. The reason is; the responsibility of the fund management belongs to the Treasury section. This section's aim is to supply continuous liquidity for the bank and to increase the profitability of the bank. At the last period of time because of the financial crisis, uncertainty in the market has increased, and as a result of this situation risk has increased. Because the Treasury division managers aim to gain maximum profits with the minimum fund costs, they must estimate all the risks that will occur as a result of the procedures and they must take the necessary measures for these. To obtain the decrease of risks in an active fund management it must be very well known how and when to use the new financial products. At 1 990s as a result of reflection of improvements in the international finance market, establishment and ensuring the changes related with the regulations the use of new financial products has been started in our country. New financial product is being used mostly by the foreign banks and private sector banks that establish branch bank. A few of the public banks use these products too limited. At the last years specially forward and swap transaction is used as a product with an increasing tendency. Forward transaction is used more widely compared with the swap transactions and specially used to avoid from the risk in the external trading procedures or used for speculative aims. 25Although Futures and Option procedures are not widely known as forward and swaps, they are used by some of the banks. These procedures are used by the banks mostly to hedge their wallets or for their speculative aims. In our country the uses of these new financial products are so limited. Beside these products being not known accurately, the unstable conditions in the market being too much is the reason of this. In addition deficiency in the regulations on the accountancy and tax subjects related with the financial products is a too important problem. When the new financial products are learned, when the profitability of the procedures is conceived, and when the deficiencies in the necessary regulations are compensated, I believe that their use will increase in our country. In the following years for the fund managers, to decrease the risks and to speculate most favorite tools will be the new financial products. 26

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Uluslararası ticaretin finansmanı ve ticaret finansmanı alanında istihdamın geliştirilmesi
SÜHEYLA KILINÇ
Yüksek Lisans
Türkçe
2018
Bankacılık İstanbul Ticaret Üniversitesi
Finans Ana Bilim Dalı
DR. ÖĞR. ÜYESİ VAHİT FERHAN BENLİ
Tez No
63128
Petrol arama ve üretim projelerinin değerlendirilmesi ve finansmanı
Başlık çevirisi yok
M. LEVENT ÖZDEMİR
Yüksek Lisans
Türkçe
1997
İşletme Gazi Üniversitesi
Finansman Ana Bilim Dalı
DOÇ. DR. METİN KAMİL ERCAN

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