Bir Risk Yönetim Tekniği Olarak Swap

Tez (Yüksek Lisans) -- İstanbul Teknik Üniversitesi, Sosyal Bilimler Enstitüsü, 1998Thesis (M.A.) -- İstanbul Technical University, Institute of Social Sciences, 1998Uluslararası piyasalardaki finansal serbestleşme ile birlikte ticaret ve para hareketlerinin hacminde meydana gelen gelişme sonucu eskiden sadece mal alış verişinin finansmanı için kullanılan bazı araçlar ticari işlemlerden bağımsız olarak da alınıp satılan varlıklar haline gelmiştir. Dalgalı kur sistemine geçişle birlikte ortaya çıkan kur riski ve faiz oranlarındaki dalgalanmalardan kaynaklanan faiz riski önde gelen finansman kuruluşlarının bunlara karşı korunmak için yeni yöntemler geliştirme arayışlarına neden olmuştur. Bu yöntemler daha sonra spekülatif amaçlarla da kullanılmaya başlanmıştır. Başlıcaları opsiyon, future, taban-tavan anlaşmaları gibi ürünlerin kullanımına dayanan bu yöntemlerin en önemlilerinden biri de swap işlemleridir. İlk kez 1923 yılında Avusturya Merkez Bankası tarafından spot pazarda ulusal paranın satılıp İngiliz Sterling'i alınması ve vadeli olarak da ulusal paranın geri satın alınması şeklinde denenmiş olan swap işlemlerinin tümünün temelinde gelecekte yapılacak ödemelerin önceden belirlenmiş koşullar çerçevesinde değiş-tokuşu vardır. Takas edilen ödemelerin türüne ve kararlaştırılan koşullara göre çeşitli swap türleri geliştirilebilir. Swaplar temel olarak üç başlık altoda incelenebilir: Faiz swaplan, döviz ya da para swaplan, diğer swaplar (mal swaplan, aktif swaplan, amortize edilmiş swaplar, değişken anaparah swaplar, başlangıcı değişebilir swaplar, swap opsiyonlan, kokteyl swaplar, geçişli swaplar, para düzeltme swaplan...). Kendisi bir risk yönetim aracı olan swap özü itibarı ile yeni riskler doğurmaktadır. Bu riskler kredi riski, oran riski ve likidite riski olarak sıralanabilir. Swap, uluslararası finans piyasalarında yaygın olarak kullanılmasına rağmen Türkiye'de pek tanınmayan bir yöntem olarak kalmıştır. Ülkemizde döviz swapı, Merkez Bankası'nın bazı dış işlemlerinde ve çoğunlukla da bankaların kendi nakit akımlarının düzenlenmesi ve kendi kur risklerinin yönetimi için kullandıkları bir yöntem olarak kalırken faiz swapı hemen hemen hiç kullanım alam bulamamıştır. Öte yandan ülkemizde gerçekleştirilen swap işlemlerinde Türk Bankaları'nın aracı rolünden çok son kullanıcı rolü oynadığı gözlenebilir. Swap işlemleri tarafların ihtiyaçlarına göre düzenlendiği için sadece organize borsalarda alınıp sanlabilen futureslardan ve optionslardan daha çok; ama forwardlardan daha az yaygınlaşmıştır. Bu durum bilgi yetersizliği, ülkemizin ekonomik ve politik riski ve yasal düzenlemelerdeki eksiklikler gibi etkenlere bağlanabilir.With the liberalization, of the financial markets, the volume of the international capital flows grew up. Consequently, some instruments that had been created and used -for financing the trade of goods began to appear independently from commercial operations in the market. Forwards, futures, options and swaps are the most important instruments used for the management of currency and interest rate risk. Some of those instruments which are traded in organized markets are in standard forms and some, which called over the. counter (OTQ derivatives, can be created according to the needs and necessities of the customers and the financial institutions. Swaps are one of the most common OTC derivatives after the forwards. Because in contrast with futures and options swap agreements are extremely flexible in amount, maturity and other contract terms. Swap is, basically, an agreement between two or more counterparties, including the exchange of payments for a certain time period and due to certain conditions. This agreement enables counterparties to benefit from the different conditions that each of. them meet in different financial markets. The most important difference items in the bases of swap operations can be listed as: a) The counterparties appeared in a swap transaction operates in different financial markets and have different credibility. b) In a specific financial market, it can be easy to find the financial funds with floating interest rates whereas there are difficulties in finding funds in return of constant interest rates. vm c) The possibilities of finding sources in a certain currency while the sources of some other currency is not available, in a specific financial market. d) For a company, not having enough liquidity to borrow from the primal markets. e) Long term borrowing can be very limited in a specific financial market. There are different purposes for using swap operations. The purpose can he: -Decreasing the cost of funds, -Making profits due to the arbitrage in international markets, -Increasing the return on assets ratio, -Adjusting the incoming and outgoing funds. Swaps enable the management of disordered cash flows by making it possible to know the exact time of incoming and outgoing cash. Also swaps, being 'off balance sheet' Operations, provide additional financial source that can not be seen in the balance sheet for the companies. But still, the basic motivations for swaps are avoiding financial risk or having a chance to exploit some borrowing advantage. There are three basic types of swaps: 1. Interest Rate Swaps: Those type of swaps are used in order to change the interest payments. Since the notionals are not exchanged in interest rate swaps, the risk is related only with the interest payments. 2. Currency Swaps: The first swap operations in the financial markets -are currency swaps that are developed in order to overcome the restrictions on the international capital flow. Currency swaps include the exchange of a certain amount of capital rx. of different currencies and its cash flow between two counterparties for a certain time period and due to certain conditions. 3. Commodity Swaps: Commodity swaps include the exchange of fixed and floating prices of a certain amount and a certain quality of goods for a certain time period. These basic types of swaps, especially the first two types, are arranged in different ways or some extra rights are added on them to create new types of swap instruments to meet different needs in the market. Asset swaps, synthetic circular swaps, dual currency swaps, currency unwind swaps, roller coaster swaps, cocktail swaps, swaptions and etc. appeared in the market by this way. In the history of financial markets, the most rapidly growing and diffusing market can be said to be the swap market. Apart from swaps being efficient, useful and flexible instruments, the importance attached to the financial risk management against the uncontrollable economical changes has made the swaps so widespread. In the beginning, swaps were based on one-to-one pairing which means the buying and selling operations realize in between the same two counterparties. By the time, seeing that it is not very easy to find two parties whose needs compensate each other, engineered swaps which consists of a spot and a forward operation each done with different parties, appeared. Swap brokers and dealers are two kind of swap facilitators. A swap broker who takes no risk position in the swap, helps counterparties to complete swap operation by introducing and guiding the operation. But a swap dealer will also act as a counterparty in swap besides providing the swap brokers services. So, the swap dealers takes risk on themselves in the swap transaction. X There are basic risk types in swap operations: 1. Credit risk: Appears when the counterparties do not realize their obligations in the swap agreement. 2. Interest rate risk: Appears when the interest rates shifts in the opposite direction of the expectations. 3. Liquidity risk: Appears because of the disharmony between the timing of incoming and outgoing funds. With the financial liberalization period started in 1980s, Turkey met the derivative products. The first financial derivative to be used in Turkey is forwards. More sophisticated hedging techniques like futures and options first appear in Kapalıçarşı and Tahtakale. After the financial liberalization that had been brought in 1989 with the announcement of the decree no: 32, the problem of financial risk began to be more significant and as a result of this the banks and other financial institutions began to show more interest in the hedging techniques. Although swap is a very useful way for cash and debt management, in Turkey, it is not known enough. In our country, almost none of the existing swap costumes come to the intermediaries (which are the banks) with a direct demand of making swap. As a customer only the financial managers of very big companies or holdings are aware of swaps. The others learn about the swaps only when they face a foreign exchange loss, which they can't manage, in their balance sheets and ask the assistance of the banks to get rid of that kind of risks. For this reason, many small banks in Turkey, that had no separate marketing section within their treasury departments, can not introduce these new financial techniques to their customers. \ In Turkey, currency swaps are used in some operations of The Central Bank. It is also used by the banks for managing their own cash flow and currency risk. Interest rate swaps, on the other hand are almost not used. XI Swap is the easiest way to carry foreign exchange operations to long run but Turkish Banks can not make any long term operations because of the limited credit lines they have in their native brokers to transfer the risk they have taken over by taking a position in a swap transaction. The limit of that credit lines are determined according to the country risk. And since Turkey does not seem to have a stable economy, the lines of the Turkish Banks remain limited. In theory, having a second counterpart in the swap transaction except from tile dealer (here, the bank), this limited line problem would be solved. But in real life, it is quite hard to find two counteparties whose needs meet each other one to one. Apart from managing their own cash flows, most of the Turkish Banks had been using swap for the purpose of making deposit. In January 1, 1998, after the declaration that all repurchasing agreements and interest earnings would be taxed, swap seemed to be a very useful way for avoiding tax. It was advantageous for both banks and their customers since it enables them to avoid from some burdens. But such kind of swap transactions had to be stopped soon after the warning of Central Bank. In-T-ttfkey the narxow use of swap can be explained by; - Underdeveloped forward markets, - Insufficient international links and credit lines that is needed for swap operations, - Weak financial structure of Turkish Banks, - Unstable economy in the country, - Insufficient knowledgeYüksek LisansM.A