Bankacılıkta döviz pozisyonu yönetiminde forward ve swap
Use of forward and swaps by banks as foreign exchange position management
- Tez No: 82285
- Danışmanlar: PROF. DR. NİYAZİ BERK
- Tez Türü: Yüksek Lisans
- Konular: Bankacılık, Banking
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1999
- Dil: Türkçe
- Üniversite: Marmara Üniversitesi
- Enstitü: Bankacılık ve Sigortacılık Enstitüsü
- Ana Bilim Dalı: Sermaye Piyasası ve Borsa Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 68
Özet
Özet yok.
Özet (Çeviri)
SUMMARY 20th century has been one during which painful experiences were seen in terms of national economies. All of these painful experiences, especially, Great Economical Crisis of the year 1929, economical scarcity caused by World War II, petrol shocks of 1974 and 1978, indicated that no national economy is independent in the very meaning of the term and that a certain development in a part of the world affects the other parts. Rapid development of international trading and banking sector has further increased independency of national economies. In 1971, adjustable, firm exchange rate called Bretton Woods system was cancelled by Smith Sonion agreement and flexible exchange rate took it's place, thus creating sizes of exchange rate risks and causing a incertain and risky environment in the international trading. That liberalization tendencies were seen in the economy after the 1980s in most parts of the world effectively made national economies closer to each other and similar solutions were brought to similar economical issue in majority of the countries. In this context, world stock-exchange activities and banking sector developed and in turn, this brought forward the use of financial derivatives, the most important risk management means : forward, future, swap, option, forfeiting, leasing transactions has started to be used over the world in a widespread manner. Started to be used by the developed countries since the beginning of the 1970s, forward and swap transactions have almost not been used in Turkey till the end of 1980s. As Turkish Economy started to open to foreign markets after the year 1980, protective policies were abandoned, national customs office gates collapsed, the movement of liberalization in the foreign trading and export mobilization for ensuring integration of Turkish Economy with the world economy and determination of interest, exchange rate and prices in accordance with the market conditions were adopted as primary principles. This process of structural change caused to f|kce with new risks not known before. Because of transactions depending on foreign exchange as a 6061 result of policies of outward integration of the economy, the use of new financial technics gained importance in our country for the need of managing the risks arised in the new era. Liberalization in the financial sector and the changing market conditions affected mostly the banks, thanks to their roles both in the economy and foreign trade. The purpose of this study is to examine use of forward and swaps by banks as risk management means which arose as a result of developments in the financial markets and the increasing requirements. Purpose of financial administration in the banking sector is to use the resources in an effective manner. Thanks to international quality of banks and requirements of their customers, one of the resources that they should use effectively is foreign exchange positions. Foreign exchange positions mean receivables and payables of the banks in other types of foreign currencies apart from the local currency. Purposes of the position management : - Indication of foreign exchange amounts under foreign currency risk, - Indication of inequality of foreign exchange amount in terms of term, - Indication of credit and debt position of foreign exchange. Foreign exchange position management is management of any change to be caused in the total foreign exchange position when a foreign currency gains or lose value against the local currency. Changes that have arised after the liberalization movement in the financial markets caused fluctuations in the prices of financial means, thus financial risks increased, and need of reducing the increased risks caused creation of future markets. Contracts for term- based transactions are for purchasing or selling a certain article of financial entity with the condition of delivery on a future date. Forward, futures transactions and swaps constitute the most important types of term-based transactions.62 Forward contracts make firm beforehand the exchange rate of a certain amount of foreign currency which shall be taken delivery on a certain date in future or make firm an interest to be applied to a money market position, deposit or credit to be taken in future. Gain or loss in the value of the entity covered by the forward contract constitutes the profit/loss of the forward transaction. Although forward transactions are transactions based on the goods in terms of its birth and development, they are generally used for transactions basing on foreign exchange and interest on our day. Although, generally made among banks or with their customers, foreign exchange forward transactions have terms up to one year, two-year terms also possible for special cases. Foreign exchange agreements made for longer terms are called Long Term Foreign Exchange (LTFX). Forward foreign exchange transactions are generally effected for purpose of hedging or speculation. Foreign forward transactions are especially preferred by people who may be subject to risks that may occur due to fluctuations in the exchange rates, because of their positions. Foreign exchange forward transactions make a complete hedging possible thanks to its flexibility in terms of amount and term. That the price in the future is determined beforehand plays very important role. In determining such prices, there are many factors such as quality of the goods or service covered by the contract, price of the goods in the spot market, inflation expectation, interest rates, foreign exchange rate, securities deposited in the beginning, natural conditions and return of alternative investment means. Forward rates, that is, rates that we estimate to realize in future, are determined different from the spot rates. Spot rates generally evolve according to the demand and supply in the money market. However, forward rates evolve completely as a result of differences between interest rates. For the calculation of forward rates, interest rate between two foreign currencies should be converted to exchange rate for a certain period,, and such difference should be added to or deducted from the current foreign \ exchange rate (spot). Optained by convertion of the difference between > interest rates to exchange rate difference, this figure is called forward discount J63 for the foreign currency with higher interest rate and it is added to the spot rate in this type of foreign currency with higher interest rate to obtain forward rate; it is called forward premium for the foreign currency with less interest rate and it is deducted from the spot rate of that foreign currency to obtain forward rate. If price of foreign currency in future is below the price of spot price, foreign currency is called discount, and if its future price is above the price of the spot price, it is called the premium. Calculation is made by the formula below: Swap Point = Spot Rate x Difference of Interest Rates x Number of Days (premium/discount) 36.000 In case of interest forward transactions, parties agree for a certain time on an agreement day and interest to be applied to the principal assumptional money. At the end of the term, market spot interest rates and the agreed interest rate under contract are compared; as a result one of the parties sets of the loss that the other party suffers as a result of unfavourable development at the interest rate. Here, the purpose is that parties want to protect themselves against changes at the interest rates in future. Swap transactions are contracts made for changing two cash flows of different qualitation a date specified in future as par a formula specified and agreed between the parties beforehand in order to reduce risks that are caused by changes at foreign exchange rates and minimize disadvantages that may occur on the basis of nation, company and foreign exchange. In this manner, it becomes possible for the parties of swap to benefit from the different credit conditions that will occur depending on the different credibility of different organizations in different financial markets. In the swap markets, first foreign exchange swaps evolved, later on interest swaps were developed in line with market requirements^and in turn variations are created to meet such requirements. Other varieties of swaps64 include asset-entity swaps, goods-commodity swaps. Of them, money swaps and interest rate swaps are intensively used in the banking sector. Interest swaps are contracts where parties exchange their firm-term debts with variable-term debts for a certain periods. Interest swaps ensures the beneficiary to get loan in the structure of interest he demands or to change the structure of his assets. Another type of swap that is frequently used is money swap. In the case of money swap, two debtors in need of different currencies exchange their principal money amounts and interest payments during the term of swap contract. Money swap ensures converting a debt in a certain foreign currency to a debt in another currency. In this manner, it becomes possible to get loan in the desired foreign currency and to equalize foreign exchange position. As the parties shall obtain the full amount to pay their original debts at the end of the contract from the opposite party, it provides protection against foreign exchange risk. Technically, swap contracts are consisted of two legs, namely, spot and term-transaction. In short, it is consisted of a purchase in the current market against sale in the term-market or vice versa. Swap contracts are applied on the basis of two foreign currencies and both of its legs are constructed simultaneously. Thus, the parties of swap agree that they will take the foreign currencies that they sell today back in future or on a date agreed beforehand and ensure an advantage of getting loan in their positions. Here, the party that sells the foreign currency with less market interest rate in the spot market and purchase in the term-market shall assume the discount in the term-transaction. Because this party has opportunity of obtaining higher interest income compared to the other party as the former purchases foreign currency in the spot market which has higher interest return. In the swap transactions, this interest rate is converted to the rate differences; and the party that sells foreign currency with less interest rate in the spot market and '' purchase in the term-market shall assume the discount. Thus, as a result of swap contract, it will not be possible for the parties to be more advantageous65 compared to each other. Only the parties shall protect their open foreign exchange positions in the different terms against foreign exchange risk. Swap transactions are primarily used for: - Increasing rate of asset return, - Reducing costs in using resources, - Risk management, - Arbitration, - Purchase-sale For all organizations dealing with foreign exchange-based transaction, the follow-up of foreign exchange position plays great importance in terms of measuring risk. Foreign exchange position is a financial reporting manner that indicates status of credits and debts in foreign exchange in type of foreign currency. Foreign exchange positions at the banks are maintained on the basis of foreign currencies operated, thus it is possible to see simultaneous status in terms of each foreign currency. Apart from it, in order to see total foreign exchange positions, all foreign currencies in the position are converted to a common foreign currency and the sum is taken. In following up the foreign exchange position, the closing balances of the day before are taken as opening in the morning. Operations such as purchase, sale, arbitrage, swap, forward made during day are added and thus the changes in the position are simultaneously followed up. It is possible to devide transactions affecting the foreign exchange position into two main groups: purchase-sale transactions and arbitrage transactions. While purchase transactions have positive effect on the foreign exchange position, sale transactions reflect on it on a negative manner. On the other hand, arbitrage transactions only have factors that change total foreign exchange position. Effect of forward transactions on the foreign exchange positions has some characteristics with those of purchaşe-sajet^ operations. '66 In the swap transactions, on the other hand, there is no change in the foreign exchange position. Because swap transactions consisted of two legs, that is, transactions made in the spot and reverse transaction in the forward one. As purchase made in the spot is equalized by forward sale, it will not cause any change in the foreign exchange position. Futures and options market could not be applied in our country, as the required background is not available here. Forward and swap transactions are frequently used by banks as risk management means. Called as derivative product, forward, swap and options are creative financial means in the management rate and interest risk. **,
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Başlık çevirisi yok
PINAR AKSEKİ
Yüksek Lisans
Türkçe
1998
BankacılıkMarmara ÜniversitesiBankacılık Ana Bilim Dalı
PROF. DR. VİLDAN SERİN