Swap
Swap
- Tez No: 39897
- Danışmanlar: DOÇ.DR. MEHMET BOLAK
- Tez Türü: Yüksek Lisans
- Konular: Mühendislik Bilimleri, İşletme, Engineering Sciences, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1994
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Fen Bilimleri Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 54
Özet
ÖZET Bankalararası bir piyasa olan döviz piyasası, ulusal paraların birbirine dönüştürülmesi ile ilgili tüm işlemleri kapsar. Politik riskin olmadığı, Euro-döviz mevduatlarının fiyatını etkileyecek iç ve dış hiçbir düzenlemenin bulunmadığı, merkezlerde yoğunlaşan Euro-döviz piyasalarında ticaret spot veya vadeli işlemlerle gerçekleştirilir. Euro-döviz piyasası işlemlerinden biri olan swap tekniği döviz kuru ve faiz oranlarındaki dalgaknırlığı minimize etmek amacıyla geliştirilmiştir. Swap işlemi; temelde farklı kuruluşların farklı mali piyasalardaki değişik kredi değerliliğine bağlı olarak farklı kredi şartları ile karşı karşıya kalmaları ve bu farklılıklardan swap işlemine taraf olanlardan herbirinin yararına olacak şekilde ifade etmeleridir. Genelde aktif getiri oranlarını yükseltmek, kaynak kullanım maliyetlerini düşürmek, risk yönetimi, arbitraj ve alım-satım (trading) amacıyla yapılırUu teknik sayesinde, bankalar, yatırım şirketleri, hükümetler, kamu kuruluşları ve Dünya Bankası birbirlerini karşılıklı olarak finans sıkıntısından, uzun zaman alan kredi arayışlarından yüksek maliyetler ve gereksiz rezerv kayıplarından kurtarır. Ök gelişen swap türü, döviz swap'idir. Yapı olarak paralel kredi veya karşılıklı krediye benzemekle birlikte, tek bir sözleşme yapılması, bilanço dışı özellik taşımaları nedeniyle döviz swaplan diğerlerine göre daha yaygın ve etkin olarak kullanılmıştır. Ancak günümüzde faiz swaplannm daha yaygın olduğu bilinmektedir. Tipik bir döviz swapmda, bir döviz cinsinden belirlenmiş ödemelerin, bir başka döviz cinsinden belirlenmiş ödemelerle takas edilmesi söz konusudur. Faiz swap'i tekniği ise, temelde tahvil piyasası ile kısa vadeli kredi piyasaları arasındaki faiz farkından yararlanmak amacıyla geUştirilmiştir. Dört temel swap yapısı, çok daha karmaşık yapıların oluşturulmasında baz olarak almabilir, 1-Faiz swaplan, 2-Baz swaplan, 3-Çapraz döviz swaplan, 4-Sabit faizli para swaplan. Swap, bir risk yönetim aracı olmasına karşın, özü itibariyle yeni riskler de doğurmaktadır. Bunlardan biri, sözleşmedeki taraüann yükümlülüklerini yerine getirmemesi demek olan kredi riski, diğeri ise kur ve ikiz oranlarının doğurduğu pazar riskidir. [15] Buna ek olarak swap depolama yönteminin ortaya çıkışı, açık pozisyon riskini de beraberinde getirmiştir. Türkiye'de swap işlemlerinin geUşememesinin nedenlerini incelediğimizde, kısıtlayıcı kambiyo rejimlerinin varlığım, yeterince tanınmamasını, etkin bir vadeli piyasasının gelişememesini, ekonomik istikrann olmaması nedeniyle TL'nin tam anlamıyla konvertibl olamamasını sayabiliriz. vi
Özet (Çeviri)
SUMMARY SWAP After the Second World War, Eastern Block Countries started to bring their money reserves from US to Europe. That was the begining of Euro-Money Market. In other Words, Euro- Money Market was established by Euro Dollar which came from US to Europe) After the War, the deficit in payment balance and applications of Q and M systems in order to rearrange banking system, caused in increase in incoming amount of US dollar to Europe. In addition to this, restoration of Europe by Marshall plan, enhanced the development in Euro-Money Market In 70's, during oil crisis, idle dollars which was held by OECD countries utilized by big European Financial Institutions, and that was another important reason of establishment of Euro Dollar Market. There are three main properties of Euro-Money Market structure, considering Financial Centers of Europe. 1- There is no political risk 2- There is no need for rearrangement that would cause any price change 3- There is no obstacle in importing and exporting Euro-Money Easiness in importing and exporting Euro-Dollars, and plentiness of lilrid money was the main reason in increase in competitiveness of Euro Money Market and therefore decrease in profit margin and because of that it is the closest example of perfectly competitive market. With the broadest description, exchance market contains all activities about existing currencies and all these opeations occur among banks. Generally speaking, 70% of the trading activites are done by US dollar in world trade, because of that Euro-Money and Euro Dollar almost become identical. Euro-Bank's credit source is the deposits made by customers. Naturally, banks have to pay interest on these deposits and the interest rate used for this reason called LIBOR (London Interbank Offer Rate). When banks give credit they take a risk and they try to cover this risk by charging extra interest on LIBOR, called spread. viiSpread is determined differenty for each case and when the risk is high,spread is high also or vice versa. In Euro-Money Market, trade is done either on spot or future exchange rate. When the future rate is higher than the spot rate, the difference is called premium, in the case of the future rate is lower than the spot rate, that difference called discount. All these differences between future and spot rate, caused by different future expectation about interest levels of two different currencies. Swap rate is a linkage between spot and forward exchange rates of the currencies, hi other words, swap rate is not the difference between interest rates, it is the rate of change between interest rates. The simplest way of calculating swap is taking the difference between the future and spot rate and dividing by the spot rate. In this matter swap is determined according to maturity. Operations to eliminate the currency exchange risk can be summarized under three main categories : Hedging, Arbitraj, Speculations. Beacuse of various reasons, Bretton Woods fixed exchange rate sytem is abondened, in addition, oil crisis that occured in 1973 and application of Keynesian policy intstead of Monetarist policy caused dangerous fluctiations in exchange and interest rates. These uncertain] ties due to the exchange and interset rate fluctiations forced banks to eliminate the risk considering business lifes' needs, market conditions and expectations. Swap is one of the most important technique, developed to minimize the risk due to fluctuations in intrest and exchange rate. In general, swap is buying less valuable money and selling it against more valuable one on forward market. We can examine swap users under five groups: ?Supranationals: World Bank, EEC, Asian Development, Bank European, Investment Bank *Soverign and Public Sector Institution: Republic of Italy, Kingdom of Sweden Sallie Mac (US Student Loan Marketing Association) * Multinational Companies: BMW, Unilever, MacDonald.Smaller Companies: Any credit- worthy company in any country where the regulatory authorities allow currency swaps. These companies maybe small or unknown to borrow directly in the bond market. ?Banks: Banks act in one of the two roles in the swap market - as an intermediary between two counterparts. - as an end counterparty in order to manage their own funding or investment requirements. [9] viiiSUMMARY SWAP After the Second World War, Eastern Block Countries started to bring their money reserves from US to Europe. That was the begining of Euro-Money Market. In other Words, Euro- Money Market was established by Euro Dollar which came from US to Europe) After the War, the deficit in payment balance and applications of Q and M systems in order to rearrange banking system, caused in increase in incoming amount of US dollar to Europe. In addition to this, restoration of Europe by Marshall plan, enhanced the development in Euro-Money Market In 70's, during oil crisis, idle dollars which was held by OECD countries utilized by big European Financial Institutions, and that was another important reason of establishment of Euro Dollar Market. There are three main properties of Euro-Money Market structure, considering Financial Centers of Europe. 1- There is no political risk 2- There is no need for rearrangement that would cause any price change 3- There is no obstacle in importing and exporting Euro-Money Easiness in importing and exporting Euro-Dollars, and plentiness of lilrid money was the main reason in increase in competitiveness of Euro Money Market and therefore decrease in profit margin and because of that it is the closest example of perfectly competitive market. With the broadest description, exchance market contains all activities about existing currencies and all these opeations occur among banks. Generally speaking, 70% of the trading activites are done by US dollar in world trade, because of that Euro-Money and Euro Dollar almost become identical. Euro-Bank's credit source is the deposits made by customers. Naturally, banks have to pay interest on these deposits and the interest rate used for this reason called LIBOR (London Interbank Offer Rate). When banks give credit they take a risk and they try to cover this risk by charging extra interest on LIBOR, called spread. viiBenefits of Swap can be summarized under five main headings: 1- Increase in return on assets 2-Lower cost of Funds 3- Risk management 4- Arbitrage 5-Ttading Many companies around the world generates cash flows in other currencies, so companies have to minimize the risk of cash flows in future, In order to minimize the risk future cash flow is offset by opposite flow in the same currency. There is no need to generate new cash flow, the only thing is to change the structure of existing cash flows. Arbitrage, between different markets is one of the main reason why organization would enter into a financial swap. FOREX (Foreign Exchange Market) is a succesful tool in short term trading activities; however, in the long term, activities results are unsufricient. Swap technique has broader usage and gives more accurate results in long term trading activities and because of that it is cheaper technique than FOREX. First swap tecnique was currency Swap and it had similar characteristics with paraleli loan and back to back loan. The trouble with this product that it carried a higher default risk and it was a balance sheet item, because money was physically being borrowed and lent. That forced finacial institutions to create a better product. Currency swaps were first to appear on the scene. However, after asage of interest swap which is a lot more convinient to operate, currency swaps lost its popularity. Exchanee Swaps can be summarized as : * Currency swaps are typically arranged for periods ranging from two to ten years, with maturities of five years being the most usual. * Currency swaps between two currencies other than the US dolar are possible. * The minimum size for a currency swap is in the range of 3-5 million US dolar, or currency equivalent amount. * Curency swaps attached to bond issues can be as large as 200-250 million dolar Main purpose of interest swaps is to change the property of interest payment and therefore, the structure of debt. These type of swap activities are being done between two sides which has two different credit worthiness and that lowers the cost of credit. Banks response to their customers credit needs by different types of swap tecniques. Similar problems are being solved by different techniques at different banks. This is the major obstacle in standarizing swap techniques in Banking Sector. IXBenefits of Swap can be summarized under five main headings: 1- Increase in return on assets 2-Lower cost of Funds 3- Risk management 4- Arbitrage 5-Ttading Many companies around the world generates cash flows in other currencies, so companies have to minimize the risk of cash flows in future, In order to minimize the risk future cash flow is offset by opposite flow in the same currency. There is no need to generate new cash flow, the only thing is to change the structure of existing cash flows. Arbitrage, between different markets is one of the main reason why organization would enter into a financial swap. FOREX (Foreign Exchange Market) is a succesful tool in short term trading activities; however, in the long term, activities results are unsufricient. Swap technique has broader usage and gives more accurate results in long term trading activities and because of that it is cheaper technique than FOREX. First swap tecnique was currency Swap and it had similar characteristics with paraleli loan and back to back loan. The trouble with this product that it carried a higher default risk and it was a balance sheet item, because money was physically being borrowed and lent. That forced finacial institutions to create a better product. Currency swaps were first to appear on the scene. However, after asage of interest swap which is a lot more convinient to operate, currency swaps lost its popularity. Exchanee Swaps can be summarized as : * Currency swaps are typically arranged for periods ranging from two to ten years, with maturities of five years being the most usual. * Currency swaps between two currencies other than the US dolar are possible. * The minimum size for a currency swap is in the range of 3-5 million US dolar, or currency equivalent amount. * Curency swaps attached to bond issues can be as large as 200-250 million dolar Main purpose of interest swaps is to change the property of interest payment and therefore, the structure of debt. These type of swap activities are being done between two sides which has two different credit worthiness and that lowers the cost of credit. Banks response to their customers credit needs by different types of swap tecniques. Similar problems are being solved by different techniques at different banks. This is the major obstacle in standarizing swap techniques in Banking Sector. IX
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