ULOGA SVOP TRANSAKCĲA U BANKARSTVU

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ULOGA SVOP TRANSAKCĲA U BANKARSTVU

Rezime

Svopovi su ugovori između dve strane za razmenu tokova novca različitog porekla na vremenski period od dve do pedeset godina. To su derivatni instrumenti (finansĳske hartĳe od vrednosti čĳa se vrednost izvodi iz osnovne aktive) koji se koriste za arbitražu, hedžing ili spekulacĳe. Za razliku od mnogih drugih derivata, svopovima se ne trguje na berzi, već se transaktuju neposredno između partnera ili sa investicionim bankama koje nastupaju kao posrednici. Pošto je njihovo korišćenje u bankarskoj industrĳi Srbĳe u začetku, ovaj rad ima za cilj da prezentuje osnovne koncepte svopova, različite vrste ugovora, njihove rizike i benefite, kao i koncepte određivanja cene svopova. Dati su svopovi kamatne stope, valutni, kapitalni i kreditni svopovi prikazivanjem njihove glavne svrhe i vrsta investitora koje privlače. Takođe su uključene i varĳante standardnih svop ugovora, kao i posebne opcione karakteristike da bi se kompletirala slika tržišnih trendova koji pristižu u srpski finansĳski sektor.

stručni priloziUDK 336.717

dr Nataša Kož[email protected]

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UDC 336.717

ROLE OF SWAPS IN BANKING

INDUSTRY

Summary

Swaps are contracts between two counterparties for exchanging streams of cashflows of different origin for a period of time ranging from two to fi�y years. They are derivative instruments (financial securities that derive value from an underlying asset) used for arbitrage, hedging or speculation. Unlike many other derivatives, swaps are not exchange traded, they are transacted directly between the counterparties, or with investment banks acting as intermediaries. As their use is in inception within Serbian Banking Industry, this paper aims to present the fundamental swap concepts, various types of swaps, their risks and benefits as well as swap pricing concepts. Interest rate, currency, equity and credit swaps will be introduced, highlighting their main uses and types of investors they a�ract. Furthermore, variations of standard swap contracts as well as special optional features are included in order to complete the picture of the market trends arriving to the Serbian financial markets.

expert contributions

Nataša Kožul MSc, [email protected]

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Svopovi su finansĳski derivatni instumenti čĳa se cena izvodi iz vrednosti osnovne aktive - kamatne stope, robe, valute,

kreditnog rejtinga itd. To su ugovori za razmenu serĳa finansĳskih transackcĳa (kupona) tokom vremenskog perioda, sa ili bez razmene glavnice na početku i o dospeću. Trenutno to nisu hartĳe od vrednosti kojima se trguje na berzi, već se trgovina svopovima obavlja “vanberzanski” (“over the counter” - OTC), neposredno između partnera ili sa investicionim bankama koje nastupaju kao posrednici. Mada je tržište svopova dobro regulisano, odsustvo zvanične berze i s njom povezane klirinške kuće koja preuzima rizik partnera u svakoj trgovini čini svopove vrlo rizičnom klasom finansĳskih produkata, jer svaki partner preuzima kreditni rizik onog drugog i može biti izložen znatnim gubicima u slučaju neizvršenja. Uprkos tome, tržište svopova je aktivno i likvidno, što je jasna indikacĳa popularnosti i korisnosti ove raznovrsne klase derivatnih proizvoda u mnogim primenama. Naredne sekcĳe će prikazati osnovne koncepte svopova, njihove glavne korisnike, uobičajene namene svopova, koncepte određivanja cene kao i tržišnu i kreditnu izloženost.

Osnovne karakteristike svopova

Svopovi su OTC proizvodi, specĳalno prilagođeni potrebama klĳenata; uobičajeni periodi koje pokrivaju su između 2 i 30 godina. To su efektivno serĳe periodičnih razmena tokova novca (kupona) tokom ugovornog perioda. Dve strane svopa se obično nazivaju “komponente”. Osnovna hartĳa od vrednosti na kojoj se baziraju plaćanja komponenti može biti kamatna stopa, valuta, kapital, kapitalni indeks, roba, kreditni rejting, neizvršenje po kreditu ili bilo koja druga referentna aktiva ili subjekt. Otuda su svopovi raznovrsne finansĳske strukture, u pogledu ročnosti i pokrivenosti tržišta, što ih čini atraktivnom investicionom strategĳom. Ipak, svopovi kamatne stope su daleko najpopularnĳi i biće fokus ovog rada. Valutni, kapitalni i kreditni svopovi će biti manje detaljno obrađeni.

Kod svopova kamatne stope obe komponente su vezane za kamatnu stopu. Tipično su tako strukturirani da je jedna

komponenta fiksirana na početku, dok je druga vezana za variablinu kamatnu stopu, koja obično odgovara učestalosti plaćanja po svopu (tj. polugodišnji kuponi su vezani za 6-mesečnu stopu, dok su kvartalna plaćanja vezana za 3-mesečnu stopu). Alternativno, obe komponente svopa mogu biti varĳabilne, koristeći razliku između kamatnih stopa za različite ročnosti. Iznos glavnice se može razmeniti na početku i kod dospeća, ili se alternativno redovnim intervalima mogu razmenjivati samo kuponi zasnovani na nominalnom iznosu. U praksi, svopovi kamatne stope kod kojih su obe komponente denominirane u istoj valuti ne uključuju razmenu glavnice, jer bi se u tom slučaju dve komponente neutralizovale. Razmena kupona se takođe sprovodi “neto”, tj. samo se razlika između dve komponente plaća/prima da bi se minimizirala izloženost kreditnom riziku. Tržište je likvidno, naročito za ugovore kraće ročnosti.

Učesnici na tržištu svopova

Kao i kod drugih derivatnih proizvoda, učesnici na tržištu svopova se mogu podeliti na tri glavne kategorĳe: spekulatori, hedžeri i arbitražeri.

Spekulatori uzimaju rizične svop pozicĳe nezavisno od osnovnih instrumenata, tako da mogu da potencĳalno spekulišu na vrednosti svih vrsta svopa. Međutim, ako se koristi razmena kupona (fiksni za varĳabilni), primalac po fiksnoj komponenti uzima pozicĳu sa uverenjem da kamatne stope padaju, što mu donosi korist kroz fiksiranje više stope, pri čemu primalac po varĳabilnoj komponenti ima suprotno gledište. Pošto nema razmene glavnice i nema plaćanja na početku ugovora u smislu provizĳa i premĳa, svop je finansĳski vrlo efektivan način da se spekuliše na kratkoročnom ili dugoročnom tržištu derivata kamatne stope.

Hedžeri ulaze u svopove da bi fiksirali svoje kreditne troškove. Ako veruju da su kamatne stope u porastu, oni mogu da zaštite svoj kredit po varĳabilnoj stopi (obično uz spred iznad reperne stope) ulaskom u svop po kome plaćaju fiksnu stopu a primaju varĳabilnu. Neto trošak njihovog kredita tako postaje fiksna stopa + spred, jer se varĳabilno plaćanje po svopu i

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Swaps are financial derivative instruments, whereby their value is derived from the value of an underlying asset – interest

rate, commodity, currency, credit rating etc. They are contracts for exchange of series of regular payments (coupons) over a period of time with or without exchange of principal at inception and maturity. At present they are not exchange traded securities; swap trades are conducted ‘over the counter’ (OTC), either directly between the counterparties, or with investment banks acting as intermediaries. Even though the swap market is well regulated, the absence of the official exchange and the associated clearing house that take on counterparty risk of every trade makes swaps a very risky class of products, as each counterparty takes on the credit risk of another and can be exposed to substantial losses in an even of default. Nevertheless, swap market is active and liquid, a clear indication of the popularity and usefulness of this versatile class of derivative products in many applications. The following sections will introduce fundamental swap concepts, their main users, typical swap applications, pricing concepts as well as market and credit risk exposure.

Swap Fundamentals

Swaps are OTC products, specifically tailored to customer needs, but typical periods they cover range from 2 to 30 years. They are effectively series of cashflow (coupon) exchanges over a period of time. The two sides of the swap are commonly referred to as “legs.” The underlying security on which leg payments are based can be interest rate, currency, equity, equity index, commodity, credit rating, credit default or any other reference asset or entity. Hence swaps are versatile financial structures, both in terms of maturity and market coverage, making them a�ractive investment prospects. Nevertheless, interest rate swaps are by far most popular type of trades and will be the focus of this paper. Currency, equity and credit default swaps will also be covered, albeit in less detail.

Interest rate swaps have both legs liked to interest rate. They are typically structured so that one leg is fixed at inception, whilst the

other is liked to a benchmark interest rate, typically corresponding to the swap payment frequency (i.e. semi-annual coupons are linked to 6-month rate, whilst quarterly payments are liked to 3-month rate). Alternatively, both swap legs can be floating, exploiting the differential between the market rates for different tenors. The principal amount may be exchanged at inception and maturity, or alternatively only coupons based on a notional amount are exchanged at regular intervals. In practice, interest rate swaps where both legs are in the denominated in the same currency do not involve principal exchange, as the net effect would be zero. The exchange of coupons is also “ne�ed,” i.e. only the difference between the two legs is paid/received to minimize credit risk exposure. The market is liquid, particularly for shorter contracts.

Swap Market Participants

As in other derivative products, the swap market participants can be split into three main categories: speculators, hedgers and arbitrageurs.

Speculators take risky swap positions independent of any underlying instruments, hence they can take a view on any type of swap. However, if a coupon swap (fixed vs. floating) is used, the receiver of the fixed leg takes the position with the view that interest rates are on the decline, thus benefiting by locking in the higher rate; whereas the receiver of the floating leg takes on the opposite view. Since there is no principal exchange and no payments at the outset in terms of fees and premiums, swap is a very cost-effective way to speculate in either short- or a long-term interest rate derivatives market.

Hedgers enter into swaps to fix their borrowing cost. If they believe that the interest rates will rise, they can protect their floating rate borrowing (typically at spread over a benchmark rate) by entering into a swap, whereby they pay fixed rate and receive floating. The net cost of their borrowing thus becomes fixed rate + spread, as the floating payment under the swap and the loan repayment cancel out. For example:

A client has invested in a fixed rate bonds,

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otplata kredita poništavaju. Na primer:Klĳent je investirao u obveznice sa fiksnom

stopom, tako da prima fiksni polugodišnji kupon. Međutim, njegove obaveze nastaju po osnovu kredita uz varĳabilnu stopu, čime je izložen riziku fluktuacĳa varĳabilne stope. Da bi zaštitio pozicĳu na koju nepovoljno utiče rast kamatne stope, razmena kupona se može koristiti za hedžing, kako je niže prikazano.

Arbitražeri koriste svopove da bi imali benefit od relativne prednosti koju pružaju različiti metodi finansiranja. Ako dva partnera imaju pristup fiksnim i varĳabilnim tržištima, ali jedan partner ima relativnu prednost na jednom tržištu u odnosu na drugo, oni mogu da uđu u svop uz obostranu korist. Ovo se najbolje iskazuje kroz sledeći primer:

Kompanĳa A traži kredit po varĳabilnoj stopi i ima pristup sredstvima po fiksnoj stopi od 5% ili po repernoj varĳabilnoj stopi (u daljem tekstu: F) + 0,3%.

Kompanĳa B traži kredit po fiksnoj stopi i ima pristup sredstvima po fiksnoj stopi od 6% ili po F + 0,9%.

Da nema svopa kao mogućnosti, oni bi pribegli dolaženju do sredstava na svojim odabranim tržištima. Međutim, svop nudi potencĳal za povoljnĳe finansiranje oba partnera. Jasno je da kompanĳa A ima bolji kreditni rejting koji se odražava na povoljnĳe stope na oba tržišta. Otuda, da bi se razumela njihova motivacĳa za takvu transakcĳu daje se pregled stopa:

Jasno je da kompanĳa A ima veću prednost nad kompanĳom B na tržištu sa fiksnom stopom u odnosu na varĳabilno. Apsolutna prednost - razlika između komparativnih vrednosti na oba tržišta, tj. 1% - 0,6% = 0,4% - predstavlja uštedu na troškovima kredita koja je na raspolaganju za podelu između dva partnera.

Da bi koristila ovu nejednakost u finansiranju, kompanĳa A će se zadužiti na

tržištu gde ima najveću prednost, tj. po fiksnoj stopi od 5%, iako joj zapravo treba finansiranje po varĳabilnoj stopi; dok će kompanĳa B da se zaduži po stopi od F + 0,9% da bi se omogućila realizacĳa svopa. Ako se svop konstruiše tako da podjednako koristi obema kompanĳama, kompanĳa A plaća F + 0,1% i prima 5%, dok kompanĳa B plaća 5% i prima F + 0,1% sa neto efektom:• kompanĳa A plaća F + 0,1% (0,2% poboljšanje u odnosu na originalnu stopu)

• kompanĳa B plaća 5,8% (0,2% poboljšanje u odnosu na originalnu stopu)Ovo je grafički predstavljeno na sledećoj

slici:

U praksi kompanĳa A bi koristila prednost povoljnĳeg kreditnog stendinga uzimanjem većeg dela raspoložive uštede. Pored toga, investiciona banka bi obično imala svojstvo posrednika i ona bi uzela deo profita kao provizĳu, prosleđujući partnerima razliku. Važno je napomenuti da u takvom scenarĳu profit koja banka uzima nĳe “besplatan novac”, jer banka često nastupa kao garant transakcĳe za

oba partnera, uzimajući na taj način kreditni rizik koja nastaje iz obe komponente svopa. Ovo nĳe beznačajan aspekat, jer u slučaju neizvršenja bilo kog partnera, banka mora da pokrĳe gubitke, koji mogu biti znatni naročito ako je u ugovor uključena razmena glavnice.

Slika 1. Primer korišćenja svopa za izjednačenje aktive i pasive

kredit

plaćanja po svopuinvestiranje

reperna stopa

reperna stopa + 0,3%

Partner u svopuKlĳent

neto efekat

Partner Fiksna stopa

Varĳabilna stopa

Kompanĳa A 5% F + 0.3%Kompanĳa B 6% F + 0.9%Komparativna prednost 1% 0.6%

Tabela 1. Komparativna prednost stope za kredit na fiksnom i varĳabilnom tržištu

Slika 2 Korišćenje komparativne prednosti kamatne stope putem kuponskog svopa

kredit

neto efekat neto efekatplaćanja po svopu

kredit

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thus receiving a fixed coupon semi-annually. However, his liabilities arise from floating rate borrowing, whereby he is exposed the risk of floating rate fluctuations. To mitigate the position unfavourably affected by the interest rate rise, a coupon swap can be used as a hedge, as shown below.

Arbitrageurs use swaps to benefit from the relative advantage afforded by different funding methods. If two counterparties have access to both fixed and floating markets, but one counterparty has relative advantage in one market over the other, they can enter into a swap at mutual advantage. This is best shown on an example:

A company A requires floating rate borrowing and has access to funds at either 5% fixed rate, or Benchmark floating rate (further denoted as F) + 0.3%.

A company B requires fixed rate borrowing and has access to funds at either 6% fixed rate, or F + 0.9%.

Without the option of a swap, they would resort to accessing funds in their preferred markets. However, a swap offers a potential for reduced funding for both counterparties. Clearly company A has be�er credit rating, reflected in more favourable rates in both markets. Hence, to understand their motivation for such a transaction the rates are summarized below:

Clearly the company A has bigger advantage over company B in the fixed rate market than in the floating. The absolute advantage − the difference between comparative values in both markets, i.e. 1% - 0.6% = 0.4% − is the saving in funding costs available for sharing between the two counterparties.

To exploit this advantage, the company A will borrow in the market where it has most advantage, i.e. at 5% fixed rate, even though it actually requires floating rate funding; whilst the company B will borrow at F + 0.9% to enable the swap to proceed. If the swap is constructed to benefit both companies equally, the company A pays F + 0.1% and receives 5%, whilst the company B pays 5% and receives F + 0.1% with the net effect:

• Company A pays F + 0.1% (0.2% improvement on the original rate)

• Company B pays 5.8% (0.2% improvement on the original rate)This is graphically represented in the figure

below:

In practice the company A would take advantage of the more favourable credit standing by taking a larger share of the available saving. In addition, an investment bank would typically act as an intermediary, taking a cut of the profit as a fee and then passing on the difference to the counterparties. It is important to note that is such a scenario, the profit the

bank takes is not simply “free money,” as the bank o�en acts as a transaction guarantor to both counterparties, thus effectively taking on credit exposure arising from both swap legs. This is not insignificant aspect, as in the event of default of either counterparty, the bank has to cover the losses, which can be substantial particularly when exchange of principals is involved.

Figure 1. Example of using swap for equating assets and liabilities

Figure 2 Exploiting comparative borrowing rate advantage using coupon swap

Counterparty Fixed rate Floating rateCompany A 5% F + 0.3%Company B 6% F + 0.9%Comparative Advantage 1% 0.6%

Table 1. Comparative borrowing rate advantage in fixed and floating markets

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Navedeni svop koji obuhvata razmenu fiksnog kupona i varĳabilnu stopu najjednostavnĳa je i najčešća vrsta svopa kamatne stope. Često se naziva “vanila svop”. Druge česte varĳante se daju u nastavku, dok se svopovi sa različitim osnovnim hartĳama od vrednosti prikazuju u kasnĳim sekcĳama.

Vrste svopova kamatne stope

Svop aktiveIzraz svop aktive je unekoliko netačan, jer se

u stvari odnosi na razmenu fiksnih i varĳabilnih tokova novca. Otuda, gornji primer takođe spada u ovu kategorĳu. Međutim, obično se svop aktive ne bi primenio za korišćenje komparativne prednosti (jer možda i ne postoji na tržištu), već za konverzĳu tokova novca iz fiksnog u varĳabilni ili obrnuto, zavisno od potreba. Često klĳenti žele da plaćaju po fiksnoj stopi neto (da bi se zaštitili od troškova zaduženja) i ušli bi u svop po kome plaćaju fiksnu stopu a primaju varĳabilnu. Obe komponente svopa obično imaju istu učestalost plaćanja (na pr. tri meseca) i osnovna varĳabilna stopa je jednaka periodu plaćanja (na pr. varĳabilna komponenta svopa se kvartalno utvrđuje na osnovu tromesečne reperne kamatne stope na spotu). Motivacĳa za uzimanje obrnute pozicĳe u svopu je u gledištu da su stope u porastu. Otuda klĳent koji prima fiksni prihod može da uđe u svop da bi koristio ovo povećanje bez menjanja investicione strategĳe, kao što se vidi ovde:

Osnovni svopOsnovni svop se odnosi na transakcĳu

motivisanu željom da se aktiva i pasiva podvedu pod isti imenitelj. Partneri koji imaju obaveze plaćanja po varĳabilnoj kamatnoj stopi, ali primaju sredstva u istoj valuti po drugoj stopi mogu da uđu u osnovni svop da bi neutralisali svoju osnovnu izloženost (kamatni diferencĳal). Na primer, prestižna banka koja prima plaćanja po hipotekarnim kreditima na

mesečnoj osnovi, ali ima dugove po kojima plaća po 3-mesečnoj repernoj stopi, imala bi koristi od stavljanja svoje aktive i pasive pod isti imenitelj (osnovu). Ovo bi se postiglo ulaskom u svop po kome banka plaća 1-mesečnu varĳabilnu stopu i prima 3-mesečnu stopu, neutrališući osnovnu izloženost. Ovde takođe može biti potencĳala za postizanje ukupno povoljnĳe stope, zavisno od kreditnog rejtinga i tržišnih uslova. U praksi, suprotno će biti verovatnĳe. Osnovni svopovi su vrlo traženi produkti, tako da bi banka mogla da naplaćuje spred iznad komponente po kojoj klĳent plaća.

Druge vrste svopova

Svop konstantnog dospeća (CMS)Svopovi kamatne stope, kako je napred

navedeno, obično obuhvataju razmenu stopa sa rokovima jednakim frekvencĳi kupona. Nasuprot tome, jedna komponenta po CMS je vezana za dugoročnu stopu (stopu svopa ili kupon obveznice) konstantnog dospeća, odakle potiče i naziv. Druga komponenta može biti fiksna ili varĳabilna i data na standardni način. Dugoročna stopa može biti modelirana korišćenjem državnih obveznica (kao relativno nerizičnih), ili se kod pojačanih kreditnih izloženosti mogu koristiti druge vrste obveznica. Moguće je plaćanja po CMS vezati za dugoročnu (na pr. desetogodišnju) stopu svopa, pri čemu se kod svakog resetovanja kupon po CMS komponenti izjednačava sa tekućom 10-godišnjom stopom svopa. Korisnici

CMS svopova efektivno stvaraju sintetičku izloženost na osnovnom tržištu (na pr. obveznica) bez stvarnog učešća na njemu. Dalje, putem dugoročnih svop stopa koristi se odnos između kratkoročnih i dugoročnih kamatnih stopa, od koristi za praktičare sa definitivnim gledištem o razvoju krive

prinosa.

Svop indeksa maloprodajnih cena (RPI)Ova vrsta svopa, kao i prethodni primer,

stukturirana je tako da inkorporiše plaćanja po kuponu zasnovana na različitom reperu od važeće kamatne stope. U ovom slučaju, indeks maloprodajnih cena (indeks cena potrošačke korpe) koristi se kao referenca za jednu komponentu svopa, dok je druga strukturisana

Slika 3 Grafički prikaz svopa aktive

prima varĳabilnu stopu

investitor plaća fiksnu svop stopuprima fiksni

prihod banka

plaćanja po svopu

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The above swap involving the exchange of fixed coupon vs. floating rate is the simplest and the most common type of interest rate swap. It is o�en referred to as “vanilla swap.” Other most common varieties are discussed below, whilst swaps with different underlying securities are presented in the later sections.

Types of Interest rate Swaps

Asset swapThe term asset swap is a bit of a misnomer,

as it actually refers to the exchange of fixed vs. floating cashflows. Hence, the above example also falls under this category. However, typically an asset swap would not be used for exploitation of comparative advantage (as there may be none), but instead to convert a stream of cashflows from fixed to floating or vice versa, depending on the requirements. Clients o�en wish to be net payers of fixed rate (to protect the borrowing costs) and would enter into a swap whereby they pay fixed rate and receive floating. The two swap legs typically have the same payment frequency (e.g. three months) and the underlying floating rate is equal to the payment period (e.g. the floating swap leg is fixed quarterly against the spot 3-month benchmark interest rate). The motivation for taking the opposite side of the swap is clearly the view that the rates are on the rise. Hence a client receiving fixed rate income, could enter into a swap to benefit from this increase, without changing the investment strategy, as shown below:

Basis swapBasis swap refers to a transaction motivated

by the desire to bring the assets and liabilities under the same denominator. Counterparties who have payment obligations based on one floating interest rate, but receive funds in the same currency based on another rate may enter into a basis swap to neutralize their basis (rate differential) exposure. For example, a high-

street bank that receives mortgage payments on monthly basis, but has outstanding debts incurring payments based on 3-month benchmark rate would benefit from bringing their assets and liabilities under the same denominator (basis). This would be achieved by entering into a swap where the bank is the payer of 1-month floating rate and the receiver of 3-month rate, thus neutralising the basis exposure. There could also be a potential of achieving an overall be�er rate, subject to credit rating and market conditions. In practice, the opposite is more likely to be true. Basis swaps are very sought a�er by the clients, thus the bank would charge spread over the leg that the client pays.

Other Swap Types

Constant Maturity Swap (CMS)Interest rate swaps, as stated above,

typically involve exchange of rates with tenors equal to the coupon frequency. In contrast, one of the legs under CMS is linked to a long-term rate (swap rate or a bond coupon) of constant maturity, hence the name. The second leg can be fixed or floating and is designed in the standard way. Long-term rate can be modelled using government bonds (as a relatively riskless option); or for enhanced credit exposure, other types of bonds can be used. It is possible to link the CMS payments to a long-term (e.g. 10 year) swap rate, whereby at each reset the coupon under the CMS leg is equated to the current market 10-year swap rate. The users of CMS

swaps effectively create synthetic exposure in the underlying market (e.g. bond) without actually actively participating in it. Furthermore, using the long-term swap rates exploits the relationship between the short and long term interest rates, useful for market practitioners with definite views on

the evolvement of the yield curve.

Retail price Index (RPI) SwapThis type of swap, as above, is structured to

incorporate the coupon payments based on a different benchmark to the prevailing interest rate. In this case, retail price index (price index of the basket of commonly purchased consumer goods) is used as a reference for one

Figure 3 Graphical representation of asset swap

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na uobičajen način, tako da može biti fiksna ili varĳabilna. Jasno je da RPI predstavlja indikacĳu inflacĳe u određenoj zemlji, tako da su RPI svopovi vezani za inflacione krive i cena im se utvrđuje korišćenjem indeksa inflacĳe. To su korisni strateški instrumenti za menadžere investicionih i penzionih fondova koji imaju obavezu da svoje isplate povezuju sa inflacĳom.

Valutni svopValutni svop se takođe odnosi na

razmenu plaćanja između dva partnera. Međutim, za razliku od svopova kamatne stope, ovi tokovi novca su u različitim valutama, s tim što je jedna valuta određena kao bazna a druga kao varĳabilna valuta. Otuda, pored izloženosti deviznom kursu, njih implicitno pogađaju fluktuacĳe kamatne stope u različitim zemljama. Iz ovog razloga, valutni svopovi obično obuhvataju razmenu glavnica. Ugovori su tako strukturirani da je iznos bazne valute isti kod nastanka i kod dospeća, dok je komponenta u varĳabilnoj valuti zavisna od spot i terminskih kurseva na početku ugovora. Valutni svopovi mogu biti:• fiksni-fiksni, gde se po obe komponente plaća

fiksna kamatna stopa u valuti na koju su denominirane

• fiksni-varĳabilni, gde je jedna komponenta zasnovana na fiksnoj stopi a druga na varĳabilnoj stopi u odgovarajućoj valuti

• varĳabilni-varĳabilni, obe kamatne stope su varĳabilneDruga važna podela valutnih svopova je po

ročnosti. Kratkoročni valutni svopovi (obično do jedne godine) obuhvataju samo razmenu glavnice (tj. nema kuponskih plaćanja), implicitno izlažući partnere deviznom kursu i kamatnoj stopi putem terminskog kursa na kome je zasnovan konačni iznos glavnice. Dugoročni valutni svopovi, s druge strane, obično su strukturirani tako da obuhvataju razmenu redovnih kuponskih plaćanja i glavnice o dospeću. (razmena na početku je stvar izbora). Primer dugoročnog valutnog svopa prikazan je kako sledi:

Svop kapitalnog indeksaSvop kapitalnog indeksa je ugovor

između dve strane za razmenu tokova novca u redovnim intervalima tokom trajanja ugovora, gde je jedna komponenta zasnovana na procentu promene vrednosti odabranog kapitalnog indeksa. Druga komponenta, ako nĳe izvedena iz drugog indeksa vrednosti akcĳa, obično se vezuje za repernu varĳabilnu kamatnu stopu iste ročnosti kao što je učestalost razmene kupona. Pošto je kapitalni indeks fiktivni portfolio akcĳa javnih kompanĳa, on nĳe utrživa aktiva. Otuda se plaćanja po svopu vezuju za nominalnu glavnicu i izvršavaju novčano. Nominalna glavnica se zasniva na monetarnoj vrednosti indeksa akcĳa, izvedenoj kao proizvod nivoa indeksa i indeksnog multiplikatora (monetarnog iznosa indeksnog poena, utvrđenog od strane relevantne berze akcĳa). Ključna razlika između svopova kamatne stope i kapitalnih svopova je u tome što plaćanja po različitim komponentama ne mogu da se ’prebĳaju’, jer su vezana za različite osnovne varĳable. Tako, jedan partner uvek plaća po varĳabilnoj stopi, dok drugi plaća ukupan prihod na investiranje u kapital (kapitalnu aprecĳacĳu i dividende). Važna implikacĳa je da ako tržište kapitala pada, platac po varĳabilnoj komponenti odgovara za plaćanje po varĳabilnoj komponenti kao i za deprecĳacĳu akcionarskog kapitala. Primer za svop kapitalnog indeksa je sledeći:

Slika 4 Grafički prikaz dugoročnog valutnog svopa

EUR kamata

EUR glavnica

periodična svop plaćanja

SRD glavnica

plaćanja svopa o dospeću

SRD kamata

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swap leg, whilst the other is structured in the usual way, thus can be fixed or floating. Clearly RPI is an indication of inflation in a particular country, thus RPI swaps are linked to inflation curves and priced using inflation indices. They are useful tools for fund managers and pension funds that are obliged to link their payments to the inflation.

Currency swapCurrency swap refers to an exchange

of payments between two counterparties. However, unlike interest rate swaps, these cashflows are in different currencies, where one currency is a designated base currency and the other a variable currency. Hence in addition to exchange rate exposure, they are implicitly affected by interest rate fluctuations in different countries. For this reason, currency swaps typically involve exchange of principals. The contracts are structured so that the amount of base currency is the same at inception and maturity, whilst the variable currency leg is subject to spot and forward exchange rates at the inception. Currency swaps are can be • fixed-fixed, where both legs pay fixed interest

rate in the currency they are denominated in

• fixed-floating, where one leg is based on a fixed rate and another on floating rate in corresponding currencies

• floating - floating, where both interest rates are floatingAnother important classification of currency

swaps is by maturity. Short-term currency swaps (typically under one year) involve exchange of principals only (i.e. no coupon payments), implicitly exposing the counterparties to both exchange rate and interest rates via the forward exchange rate on which the final principal amount is based. Long-term currency swaps, on the other hand, are typically structured to involve regular coupon payments and the principal exchange at maturity (exchange at inception is optional). An example of a long-term currency swap is show below:

Equity index swapEquity index swap is a contract between two

counterparties to exchange cashflows at regular intervals during the contract period, where at least one leg is based on a percentage change in the value of a chosen equity index. The second leg, if not derived from another stock index value, is typically related to a benchmark floating interest rate of the same tenor as the swap coupon frequency. As equity index is a fictive portfolio of stocks (shares) in public companies, it is not a tradable asset. Hence the swap payments are referenced to a notional principal and are cash-se�led. The notional amount is based on the monetary value of the stock index, derived as a product of the index level and index multiplier (monetary amount of the index point, as determined by the relevant stock exchange). A crucial difference between the interest rate swaps and equity swaps is that the payments under different legs cannot be ne�ed, as they are linked to different underlying variables. Thus, one counterparty always pays a floating rate, whilst the other pays total return on an equity investment (capital appreciation and dividends). The important implication is that should the equity market decline, the payer of the floating leg is responsible for both the floating leg payments and the equity capital depreciation. An example of equity index swap is shown below:

Figure 4 Graphical representation of long-term currency swap

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Svopovi kapitalnog indeksa su vrlo korisni finansĳski istrumenti za učesnike na tržištu koji nalaze da je nepraktično ili nemoguće da trguju kapitalom neposredno. Za primaoca po komponenti svopa vezanoj za indeks, oni stvaraju sintetičko investiranje na tržištu kapitala jer razmena kamatnih tokova novca za praćenje indeksa stvara izloženost tržištu akcĳa bez stvarne obaveze da se kupuju akcĳe. Alternativno, za primaoca po varĳabilnoj komponenti oni omogućavaju jačanje prihoda, koji obično koriste menadžeri fondova kada drže akcĳe za koje veruju da će deprecirati, tako da zamenjuju kapitalni indeks za varĳabilnu kamatnu stopu ili drugu vrstu novčanog toka. Izloženost stranom indeksu koja inače može biti nedozvoljena takođe se može generisati sintetičkim putem zamene kretanja domaćeg indeksa za fluktuacĳe stranog indeksa.

Svop podržan aktivomSvop podržan aktivom je izraz koji se

koristi za opis razmene tokova novca gde jedna komponenta izvodi svoja plaćanja iz vrednosti neke aktive (obveznice, kredita, pula hipotekarnog kredita, itd.). Teže je predvideti njegove projektovane tokove novca zbog kompleksnosti osnovnog tržišta na kome se trguje aktivom. Na primer, svop kod koga je varĳabilna reperna stopa zamenjena za kuponska plaćanja po obveznici zavisiće od performanse tržišta obveznicama kao celine, kreditnog rejtinga emitenta obveznice, dodatnih karakteristika same obveznice (kao postojanje opcĳe ranĳe otplate, konverzĳe u akcĳe kompanĳe, itd.). Otuda će valorizovanje svopa biti zaista kompleksno (o ovome više u daljem tekstu) .

Međutim osnovna motivacĳa za svop aktive je želja za izloženošću drugom tržišnom sektoru. Emitent obveznice koji veruje da su tržišne stope u padu, ušao bi u svop u kome je on primalac fiksne stope (koja se može preneti na imaoce obveznica) a plaća varĳabilnu stopu (imajući korist na taj način od pada kamatnih

stopa). Alternativno, investitor koji nema pristup određenom tržištu (na pr. strano ili domaće tržište hipoteka) može da koristi ovu vrstu svopa da bi generisao sintetičku izloženost (kako je opisano gore).

Svop kreditnog neizvršenjaSvop kreditnog neizvršenja (CDS) je

trenutno najtraženĳi kreditni derivatni instrument. To je ugovor između kupca zaštite i prodavca zaštite za razmenu tokova novca u slučaju kreditnog događaja povezanog sa dužničkim obavezama treće strane ili aktive, a ne partnera u samoj svop transakcĳi. Po CDS ugovoru, kupac zaštite plaća fiksnu provizĳu u redovnim intervalima prodavcu zaštite u zamenu za moguće plaćanje od strane prodavca kod nastupanja kreditnog događaja koji pogađa obaveze treće strane specificirane u transakcĳi. Kreditni događaji relevantni za transakcĳu precizno su definisani i obično su neizvršenje obaveza plaćanja ili drugi kreditni događaj, uključujući degradiranje kredita ili stečaj. Ako kreditni događaj nastupi, moguće plaćanje dospeva. Ono se obično izvršava novcem, tako što se plati razlika između pune nominalne vrednosti osnovne obaveze i njene tekuće vrednosti. Alternativno, osnovna aktiva se može isporučiti u zamenu za njenu nominalnu vrednost (mada je njena vrednost umanjena zbog kreditnog događaja).

Tržište kreditnih derivata je sektor koji ubrzano raste, sa mnogim varĳacĳama na navedenu temu, kreiranim kao odgovor specifičnim potrebama klĳenata. Neki primeri popularnih proizvoda povezanih sa kreditima su: • Svop ukupnog povraćaja• Svop kreditnog neizvršenja konstantne

ročnosti (CMCDS) • Svop uslovnog kreditnog neizvršenja• Svop dinamičkog kreditnog neizvršenja• Svop prioritetnog kreditnog neizvršenja• Svop kreditnog neizvršenja portfolĳa• Svop kreditnog neizvršenja garantovanog

kredita• Svop kreditnog neizvršenja kod hartĳa od

vrednosti podržanih aktivom

Slika 5 Grafički prikaz svopa kapitalnog indeksa

varĳabilna kamatna stopa

Investitor Banka

plaćanja po svopu

% promene kapitalnog indeksa

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Equity index swaps are very useful investment tools for market participants that find it impractical or impossible to trade equities directly. For the receiver of index-linked swap leg, they create synthetic stock market investment, as the exchange of interest rate cashflows for index-tracking creates stock market exposure without actually having to buy stocks. Alternatively, for the receiver of the floating leg they provide income enhancement, typically exploited by fund managers who hold equities they believe will depreciate, thus they swap equity index into a floating interest rate or other type of cashflow. Exposure to foreign index that otherwise may not be permissible can also be synthetically generated by a swap of domestic index movements for foreign index fluctuations.

Asset-backed swapAsset-backed swap is the term used to

describe the exchange of cashflows where at least on leg derives its payments from the value of an asset (a bond, loan, pool of mortgages etc.). It is harder to predict its projected cashflows due to the complexity of the underlying market the asset is traded in. For example, a swap where a floating benchmark rate is exchanged for bond coupon payments will be subject to the performance of the bond market as a whole, credit rating of the bond issuer, additional features of the particular bond (such as option of early redemption, conversion into company shares etc.). Hence swap valuation will indeed be complex (this will be addressed later).

However the fundamental motivation behind the asset swap is a desire for exposure in a different market sector. A bond issuer who believes that the market rates are on the decline would enter into a swap whereby he/she is the receiver of the fixed rate (that can be passed on to the bond holders) and pays the variable rate (thus benefiting from the decrease in interest rates). Alternatively, an investor who is unable to access a particular market (e.g. foreign

or domestic mortgage market) can use this type of swap to generate a synthetic exposure (as described above).

Credit Default SwapCredit default swap (CDS) is the most traded

credit derivative instrument. It is a contract between a protection buyer and a protection seller to exchange cashflows in case of a credit event associated with debt obligations of a third party or an asset, rather than the counterparty to the swap transaction it self. Under the CDS contract, the protection buyer pays a fixed fee at regular intervals to the protection seller in return for a contingent payment by the seller upon a credit event affecting the obligations of the third party specified in the transaction. The credit events relevant to the transaction are precisely defined and are typically a failure to fulfil payment obligations or any other credit event including credit downgrade or bankruptcy. If the credit event occurs the contingent payment is due. It is typically cash-se�led, whereby the difference between the full face value of the underlying obligation and its current value is paid. Alternatively, the underlying asset can be delivered in exchange for its face value (even though its value is reduced due to the credit event).

Credit derivatives market is a fast-growing sector with many variations on the above theme, created to meet specific client needs. Some examples of popular credit-linked products are: • Total Return Swap• Constant Maturity Credit Default Swap

(CMCDS)• Contingent Credit Default Swap• Dynamic Credit Default Swap• First to Default Credit Default Swap• Portfolio Credit Default Swap• Secured Loan Credit Default Swap• Credit Default Swap on Asset Backed

Securities

Other Special Swap Features

Amortizing SwapAmortizing swap is a variation of a standard

swap structure whereby the notional amount on which the coupon payments are based is

Figure 5 Graphical representation of equity index swap

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Druge specĳalne karakteristike svopa

Amortizujući svopAmortizujući svop je varĳacĳa standardne

strukture svopa gde se uslovni iznos na kome su zasnovana plaćanja po kuponu amorizuje vremenom. To je odlična strategĳa hedžinga za klĳente čĳa se glavnica duga vremenom otplaćuje (amortizuje) - kao što je hipotekarna obaveza - otuda se potreban iznos zaštite kamatne stope saglasno umanjuje. Svaki svop može da se strukturira da bi bio amortizujući.

Stalni svopStalni svop je suprotan gore navedenom. Po

ugovoru samo se kuponska plaćanja zasnovana na uslovnom iznosu zamenjuju periodično na nedefinisani rok, bez razmene glavnice ili datuma dospeća. Koriste ga penzioni fondovi koji imaju mesečne odlive bez precizne informacĳe o periodima plaćanja ili potreba za glavnicom.

Svop sa terminskim početkomSvop sa terminskim početkom jednostavno

je svop koji počinje nekog datuma u budućnosti. Svaka vrsta svopa može da se strukturira da počne terminski. Uobičajeni korisnici su investitori i zajmporimci kojima će biti potrebna, ili će imati sredstva raspoloživa, na određeni datum u budućnosti, a izloženost kamatnim stopama (ili drugoj aktivi) trajaće tokom dugog vremenskog perioda.

Svop sa odloženim resetovanjemPo uobičajenim specifikacĳama u ugovoru o

svopu, kuponi po svopu se plaćaju periodično, a stopa se određuje na početku perioda i plaća na kraju. Ovo je u skladu sa zaduživanjem ili investiranjem, gde se kamata na kredit ili depozit plaća na kraju određenog perioda. Nasuprot tome, nivoi kupona po svopu sa odloženim resetovanjem (poznat i kao zakasnelo resetovanje) određuju se prema fiksnim tržišnim stopama samo nekoliko dana pre dospeća plaćanja, što donosi korist investitorima koji imaju definisan sud o kratkoročnim fluktuacĳama kamatnih stopa. Svaka vrsta svopa može da se strukturira da bude resetovana unazad, ali najčešće vanila

kamatni svopovi inkorporišu ovu karakteristiku ako to klĳent zahteva.

Drugi proizvodi sa inkorporisanim svopovima

Svopovi su svestrani i troškovno efektivni derivatni proizvodi. Oni obično ne obuhvataju razmenu glavnice, nemaju provizĳu ili troškove držanja, tako da su atraktivni za investitore u širokom spektru scenarĳa. Međutim svopovi mogu da imaju ročnost do 50 godina i nekad ovo može da bude teret za investitora koji nĳe siguran u pogledu buduće finansĳske situacĳe. Otuda su investitoru na rapolaganju drugi raznovrsni alternativni proizvodi koji uključuju svopove. Najčešći primeri su prikazani u nastavku.

CapsCaps su serĳa opcĳa za fiksiranje

maksimalnog nivoa varĳabilnog svop kupona kod svakog datuma resetovanja na specifični nivo dogovoren danas. Investitori nesigurni u pogledu budućeg kretanja kamatnih stopa ne bi bili voljni da uđu u svop po kome primaju varĳabilnu stopu a plaćaju fiksnu, u slučaju pada stopa. Međutim, svojstvo platca varĳabilne stope izlaže ih budućem povećanju stope. Caps su idealan izbor u ovakvom scenarĳu, pružajući opcĳu da se fiksira plafon varĳabilne stope kod svakog datuma za resetovanje, omogućavajući na taj način korist od tržista sa niskom kamatnom stopom uz ograničavanje izloženosti povećanju kamatne stope.

FloorsSlično gore navedenom, floors predstavljaju

serĳu opcĳa za fiksiranje minimalnog nivoa varĳabilnog svop kupona kod svakog datuma resetovanja na specifični nivo dogovoren danas. Investitori nesigurni u pogledu budućeg kretanja kamatnih stopa imaju korist od korišćenja floors tako što primaju varĳabilnu stopu (sa minimumom koji određuje floor na samom početku) i plaćaju fiksnu stopu. Ovo omogućava da se opcĳa napusti ako se stope povećaju, dok pružaju minimum prilivnog toka novca u slučaju da tržište krene naniže.

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amortized over time. It is an excellent hedging strategy for clients whose borrowing principal amount is repaid over time (amortized) − such as mortgage obligations − hence the required amount of interest rate protection reduces accordingly. Any swap can be structured to be amortising.

Perpetual SwapPerpetual swap is a opposite from the above.

Under the contract only the coupon payments based on a notional amount are exchanged periodically for an indefinite period of time, without exchange of principal or maturity date. It is used by pension funds that have monthly outgoings without the knowledge of the payment period or the need for the principal.

Forward-Starting SwapForward-starting swap is simply a swap that

commences at some date in the future. Any type of swap can be structured to start forward. The typical users are investor and borrowers that will require or will have funds available at a specific date in the future and the exposure to interest rates (or any other asset) will last over a long period of time.

Delayed Reset SwapUnder the typical swap contract

specifications, swap coupons are paid periodically; the rate is set at the start of the period and is payable at the end. This is in line with borrowing or investments, whereby the interest on a loan or deposit is payable at the end of a specific period. In contrast, coupon levels under the delayed reset swap (also known as reset in arrears) are fixed to the prevailing market rates only a few days before the payments are due, hence benefiting the investors who have definite views of the short term fluctuations in interest rates. Any type of swap can be structured to be reset in arrears, but most commonly vanilla interest rate swaps incorporate this feature if requested by the client.

Other Products Incorporating Swaps

Swaps are versatile and cost-effective derivative products. They typically do not

involve exchange of principal, there is no fee requirement or cost of carry, thus the investors find them a�ractive in a wide range of scenarios. However, swaps can have maturities of up to 50 years and sometimes this can be a burden to an investor who is unsure about the future financial situation. Hence various alternative investment options involving swaps are on investor’s disposal. Most common examples are briefly addressed below:

CapsCaps are a series of options to fix the

maximum level of the swap floating coupon at each reset date to a specific level agreed today. Investors unsure about the future evolvement of interest rates would be unwilling to enter into a swap where they receive floating rate and pay fixed, in case the rates decrease. However, being a payer of the floating rate exposes them to the future rate increase. Caps cater for this scenario by providing an option to fix the ceiling on the floating rate at each reset date; thus allowing for the benefit of the lower interest rate environment, whilst limiting the exposure to the rate increase.

FloorsAkin to above, floors are a series of options

to fix the minimum level of the swap floating coupon at each reset date to a specific level agreed today. Investors unsure about the future evolvement of interest rates benefit from using floors by being the receivers of the floating rate (with the minimum set by the floor at inception) and the payers of fixed rate. This allows for the option to be abandoned if the rates increase, whilst providing the minimum receivable cashflow in the event of the market downturn.

SwaptionsSwaptions are options on swaps (typically

coupon swaps). They give the holder the right but not the obligation to enter into a swap at a future date. The motivation for trades is same as for caps and floors (option to enter into a transaction depending on the prevailing market conditions), but unlike caps and floors that have multiple exercise dates, the swaptions have only one and therefore – once exercised – become the obligations to exchange future payments even

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SvoptionsSvopšns su opcĳe na svopove (obično

kuponske svopove). Oni daju imaocu pravo ali ne i obavezu da uđe u svop na budući datum. Motivacĳa za trgovinu je ista kao kod caps i floors (opcĳa da se uđe u transakcĳu zavisno od važećih uslova na tržištu), ali za razliku od caps i floors koji imaju višestruke datume izvršenja, svopšns imaju samo jedan i zato - jednom izvršene - postaju obaveza da se razmene buduća plaćanja čak i kad to više nĳe od koristi za kupca. Ovo ih čini je�inĳom investicionom alternativom. Ipak, svopšns su popularan izbor za investitore koji nisu sigurni da će im trebati sredstva u budućnosti, jer im omogućavaju opcĳu da uđu ili ne u svop, zavisno od njihovih okolnosti kod isteka opcĳe.

Osnovi utvrđivanja cene svopova

Vrednovanje svopova kratkoročne kamatne stope kod nastajanja ugovora

Osnovni koncept vrednovanja svopova (ili vrednovanja bilo koje druge finansĳske hartĳe od vrednosti) može se svesti na sadašnju vrednost novca, tj. u tržišnom okruženju pozitivne kamatne stope svaki iznos novca vredi više sada nego u budućnosti. Što duže čekamo na plaćanje, kompenzacĳa mora da bude viša. Otuda investitor nĳe spreman da plati više za proizvod nego što je njegova sadašnja vrednost (tekuća tržišna vrednost).

Pošto svop ima dve komponente, implicitno one moraju da imaju jednaku vrednost na početku, inače manje vredna strana ne bi bila atraktivna za investitore.

Određivanje cene svopa zasniva se na sporazumima o terminskoj stopi (sporazumi da se fiksira aktivna/pasivna stopa za kratak period u budućnosti). Pošto su sporazumi o terminskoj stopi likvidni instrumenti sa poznatim tržišnim cenama, određivanja cene kamatnih svopova na početku je jednostavno. Pošto je moguće kupiti serĳu karatkoročnih ugovora o terminskoj stopi za period od 3 v 6 meseci, 6 v 9 meseci, 9 v 12 meseci, i tako dalje, moguće je izračunati ekvivalentnu stopu za ukupan period, što bi dalo isti neto rezultat, tj. stopu svopa. Ovaj koncept je osnova za određivanje cene svopa. Sveukupna svop stopa izračunata korišćenjem diskontnih faktora (DF)

na osnovu kratkoročnih terminskih stopa može se izračunati iz sledeće jednačine:

1 =

Gde su: rs godišnja stopa svopadanik broj dana pokrivenih ugovorom o terminskoj stopi kth

DFk diskontni faktor izveden iz kth terminske stope fk korišćenjem:

DFk =

Vrednovanje svopova na sekundarnom tržištu

Jasno, na početku je implicirano da obe komponente svopa imaju jednaku vrednost. Međutim, u bilo kojoj tački u budućnosti, kako se kamatne stope menjaju, dve komponente se udaljavaju od ravnoteže, što dovodi do plaćanja jednog partnera drugom. Kasnĳe vrednovanje prati isti princip diskontovanja budućih tokova novca za obe komponente. Nezavisno od kamatnih stopa, varĳabilna komponenta se uvek vrednuje po paritetu, pošto se kamatne stope odražavaju na plaćanja po varĳabilnoj komponenti. Fiksnu komponentu, međutim, pogađa promena jer diskontni faktor primenjen na izračunavanje sadašnjih vrednosti kupona više nĳe isti. Otuda, njeno vrednovanje može da se sumira kao:

P =

Gde su: P vrednost fiksne komponente na kasnĳi datumrs svop stopa, fiksirana na početkudanik broj dana pokrivenih ugovorom o terminskoj stopi kth

DFk diskontni faktor izveden iz kth terminske stope fk u vreme izračunavanja svopa.

Pošto je vrednovanje svopa na početku bilo zasnovano na uslovnom iznosu od 100, jasno je da se razlika između izračunate fiksne komponente i 100 plaća/prima, zavisno od važećih kamatnih stopa. Primalac fiksne stope ima korist od rastućih kamatnih stopa i obrnuto.

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if that is no longer beneficial to the buyer. This makes them a cheaper investment alternative. Nevertheless, swaptions are popular choice for investors unsure if they will be requiring funds at a future date, as they allow for the option to enter or not into the swap depending on their circumstances at option expiry.

Swap Pricing Fundamentals

Valuation of short term interest rate swaps at contract inception

The fundamental concept behind the swap valuation (or valuation of any other financial security) can be reduced to the present value of money, i.e. in a positive interest rate environment any amount of cash is worth more now that in the future. The longer we wait for the payment, the higher the compensation needs to be. Hence, an investor is prepared to pay for a product no more than its present value (current market value).

Given that swap has two legs, implicitly they have to be of equal value at inception, otherwise the less valuable side would not be a�ractive to investors.

Swap pricing is based on forward rate agreements (agreements to fix the lending/borrowing rate for a short period in the future). As forward rate agreements are liquid instruments with prices readily available in the market, pricing short-term interest rate swaps at inception is easy. Since it is possible to purchase a series of short term forward rate contracts to cover periods of 3v6 months, 6v9 months, 9v12 months and so on; it is possible to calculate an equivalent rate for an entire period which would achieve the same net result, i.e. the swap rate. This concept is the basis for swap pricing. The all-in swap rate calculated using discount factors (DFs) based on short-term forward rates can be calculated from the equation below:

1 =

where:rS is the annual swap ratedaysk is the number of days covered by the kth forward rate contract andDFk is the discount factor derived from the kth forward rate fk using:

DFk =

Swap valuation in the secondary marketClearly at the inception it is implicit that

both swap legs are of equal value. However, at any point in the future, as interest rates change, the two legs move away from the equilibrium resulting in the payment from one counterparty to another. The later valuation follows the same principle of discounting future cashflows of both legs. Regardless the interest rates, the floating leg is always valued at par, as the interest rate changes are reflected in the floating leg payments. The fixed leg, however is affected by the change, as the discount factors used for the calculation of coupon present values is no longer the same. Hence, its valuation can be summarized as:

P =

where:P is the value of the fixed leg at a later daterS is the swap rate, fixed at inceptiondaysk is the number of days covered by the kth forward rate contract andDFk is the discount factor derived from the kth forward rate fk at the time of the swap calculation

As the swap valuation at inception was based on a notional amount of 100, clearly the difference between the calculated fixed leg and the 100 is paid/received, depending on the prevailing interest rates. The receiver of the fixed rate benefits from rising interest rates, and vice versa.

Pricing long term swapsThe above valuation is applicable to swaps

of relatively short maturities where there is a sufficiently liquid market for short-term forward rate agreements. For longer dated coupon payments under swap contracts there would be no market information on applicable rates used for discounting cashflows. Thus long-term swap prices are typically linked to capital markets products, such as bonds. As with any other product, the supply and

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Određivanje cene dugoročnih svopovaNapred prikazano vrednovanje primenljivo

je na svopove relativno kratkih ročnosti gde postoji dovoljno likvidno tržište za kratkoročne ugovore o terminskoj stopi. Za kuponska plaćanja duže ročnosti po svop ugovorima ne bi postojala informacĳa sa tržišta o primenljivim stopama za diskontovanje tokova novca. Zato se cene dugoročnog svopa obično vezuju za proizvode tržišta kapitala, kao što su obveznice. Kao i kod bilo kog drugog proizvoda, ponuda i tražnja će u ultimativno diktirati njihovu cenu. Međutim, pošto je varĳabilna komponenta direktno povezana za kamatne stope terminskog tržišta, njena vrednost je uvek paritetna bilo da je cena određena na početku ili na neki budući datum. Na drugoj strani, fiksna komponenta na početku isto tako mora da bude vrednovana po paritetu da bi se izbegla mogućnost arbitraže, otuda njena stopa mora da se iterativno prilagođava dok se ne dosegnu kriterĳumi konvergencĳe. Na bilo koji budući datum dve komponente se vrednuju odvojeno, korišćenjem principa vrednovanja obveznica, i neto iznos se plaća/prima zavisno od važećih kamatnih stopa.

Određivanje cene drugih vrsta svopovaOdređivanje cene svopa na početku svodi se

na izjednačavanje tokova novca koji proizilaze iz dve komponente. Nezavisno od osnovne aktive (kamatna stopa, valuta, akcionarski kapital, roba ili kreditni rizik), nĳedan invesitor ne bi bio voljan da plati više nego što očekuje da primi. Otuda se tokovi novca po dve komponente iterativno prilagođavaju dok sporazum ne bude postignut. U svako drugo vreme vrednovanje svopa prati napred navedene principe valorizovanja dve komponente odvojeno (na njihovim respektivnim tržištima), što za rezultat ima tokove novca od jednog partnera drugom.

Posebna pažnja se mora pokloniti kod određivanja cene: • Svopova podržanih aktivom, jer su vezani

za performansu osnovne aktive (kao što su obveznice, hipoteka ili pul kredita po kreditnim karticama). Pošto je performansa osnovnih hartĳa od vrednosti vrlo kompleksna, vrednovanje svopova je još kompleksnĳe. Planovi otplate, kreditni

rejting i mnoštvo drugih faktora moraju da se uzmu u obzir, što zahteva specĳalizovane i kompleksne modele, izvan teme ovog rada.

• Svopova kapitalnih derivata, pošto, kao što je napred rečeno, ne dozvoljavaju ’prebĳanje’ tokova novca. Zato je u slučaju slabe performanse tržišta akcĳa, primalac prihoda iz kapitala odgovoran za plaćanja varĳabilne komponente kao i za deprecĳacĳu tržišta kapitala.

• Svopova kreditnih derivata, pošto po ovim ugovorima nema redovne razmene plaćanja. Umesto toga kupac zaštite plaća redovni kupon u zamenu za moguće plaćanje u slučaju kreditnog neizvršenja. Otuda verovatnoća da nastupi kreditni događaj, njegovo vreme i naplaćeni iznos treba da se uračunaju u cenu svopa. Modeli koji se koriste za određivanje cene kreditnih derivata su vrlo kompleksni i izvan su teme ovog rada.

• Svopova sa ugrađenim karakteristikama, kao što su caps, floors ili collars, moraju da uključe određivanje cene opcĳa, što isto tako zahteva specĳalizovane analitičke ili numeričke pristupe.

Zaključak

Tržište svopova je likvidno i aktivno OTC tržište širom sveta, ali za sada je tek na začetku u Srbĳi. Otuda je ovaj rad imao za cilj prezentacĳu širokog spektra proizvoda koji će verovatno biti ponuđeni domaćim investitorima u nastupajućim vremenima. Najpopularnĳi svop proizvodi - svopovi kamatne stope - objašnjeni su detaljno, sa daljim osvrtom na valutne, kapitalne i svopove kreditnih neizvršenja koji će zasigurno privući pažnju na finansĳskim tržištima Srbĳe. Takođe su dati osnovi utvrđivanja cene svopova. Za kompleksnĳe proizvode, investitorima je potrebno ekstenzivno poznavanje osnovnih tržišta radi smotrene selekcĳe svopova. Sigurno je da međunarodni finansĳski trendovi nalaze svoj put ka investicionom bankarstvu Srbĳe, tako da je praktičarima na tržištu potrebno da se naoružaju neophodnim znanjem da bi u potpunosti mogli da koriste ove pozitivne promene.

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demand will ultimately dictate their price. However, as the floating leg is directly liked to the interest rate forward market, its value is always par, whether it is priced at inception or at some future date. On the other hand, the fixed leg at inception has to also be valued at par to avoid possibility of arbitrage; hence its rate needs to be iteratively adjusted until the convergence criteria are reached. At any future date the two legs are valued separately using bond valuation principles and the net sum is paid/received depending on the prevailing interest rates.

Pricing other types of swapsPricing any swap at inception is reduced to

equating the cashflows arising from the two legs. Regardless of the underlying asset (interest rate, currency, equity, commodity or credit risk), no investor would be willing to pay more than he/she is expected to receive. Hence the cashflows under two legs are iteratively adjusted until the agreement is reached. At any other time the swap valuation follows the above outlined principle of valuing two legs separately (in their respective markets), resulting in cashflows due from one counterparty to another.

Specific care must be taken when pricing:• Asset-backed swaps, as they are linked to the

performance of an underlying asset (such as bond, mortgage, or pool of credit card loans). As the performance of underlying securities is very complex, the swap valuation is even more so. Repayment schedules, credit ratings and a host of other factors have to be taken into account, requiring specialized and complex models outside the scope of this paper.

• Equity swaps, as stated earlier, do not allow for cashflow ne�ing. Thus in the case of equity market underperformance, the receiver of the equity income is liable for both the floating leg payments and the equity market depreciation.

• Credit derivative swaps, as under these contract no regular exchange of payments is made. Instead the protection buyer pays regular coupon in exchange for the contingent payment in the event of credit default. Hence the likelihood of the credit event, its timing and the amount recovered

have to be factored into swap pricing. Models used for pricing credit derivatives are very complex and outside the scope of this paper.

• Swaps with imbedded features, such as caps, floors or collars, have to include option pricing, again requiring specialised analytical or numerical approaches.

Conclusion

Swap market is a liquid and active OTC market world-wide, but is currently only at inception is Serbia. Hence this paper aimed to present the wide range of products that are likely to be on offer to local investors in the time to come. The most popular swap products − interest rate swaps − are explained in detail, with further coverage of currency, equity and credit default swaps that will likely a�ract the interest in the Serbian financial markets. Swap pricing fundamentals are also given. For more complex products, the investors need extensive knowledge of underlying markets for prudent swap selection. It is certain that international financial trends are making their way into the Serbian investment banking industry, thus market practitioners need to arm them selves with the necessary knowledge in order to fully benefit from these positive changes.

Literatura / References

1. Kasapis, A. [2008] Mastering Credit Derivatives (2nd ed.), Pearson Education Ltd., Harlow.

2. McDougall, A. [1999] Mastering Swaps Markets, Pearson Education Ltd., Harlow.

3. Price, J. and Henderson, S. [1988] Currency and Interest Rate Swaps, Bu�erworths, London.

4. Steiner, R. [1998] Mastering Financial Calculations, Pretince-Hall Financial Times Market Editions, New Jersey.

5. Wilmot, P. Howison, S. and Dewynne, J. [1995] The Mathematics of Financial Derivatives, Cambridge University Press, Cambridge.

Documents

ULOGA SVOP TRANSAKCĲA U BANKARSTVU