Implications of FX Conversion of Swiss Franc Mortgage Loans on the PLN Currency Swap Market

Piotr Mielus

Abstract


A discussion about various methods of FX conversion of currency loans indicates numerous social and economic implications for banking sector in Poland and its clients. A paper describes potential implication of FX conversion on currency swap market in PLN. Having in mind swap payout profile and its legal terms and non-residents role in market making, the restructuring of Swiss franc mortgages has an impact on swap valuation and both currency and liquidity exposure of banks. The analysis of market rates dynamic on emerging markets suggests that loan conversion will have moderate impact on the stability and level of prices of the hedging instruments referring to foreign currency liquidity risks.


Keywords


mortgage loans; currency swaps; market risk

Full Text:

PDF (Język Polski)

References


Bianchetti M., Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves, “Risk Magazine” 2010 (August), DOI: https://doi.org/10.2139/ssrn.1334356.

Bliss R., Kaufman G., Derivatives and systemic risk: Netting, collateral, and closeout, “Journal of Financial Stability” 2006, Vol. 2(1), DOI: https://doi.org/10.1016/j.jfs.2005.05.001.

Boenkost W., Schmidt W., Cross currency swap valuation, “CPQF Working Paper Series” 2004, No. 2, DOI: https://doi.org/10.2139/ssrn.1375540.

IMF, IMF Country Report No. 15/92, Hungary: 2015 Article IV Consultation, April 2015.

IMF, Hungary: Staff Report for the 2011 Article IV Consultation and Second Post-Program Monitoring Discussions, January 25, 2012.

NBP, Rozwój systemu finansowego w Polsce w 2015 r., Warszawa 2016.

Rządowe Centrum Legislacji, Projekt rozporządzenia Ministra Finansów w sprawie wyższej wagi ryzyka dla ekspozycji zabezpieczonych hipotekami na nieruchomościach, o której mowa w art. 124 ust. 2 rozporządzenia nr 575/2013, https://legislacja.rcl.gov.pl/projekt/12280803 [dostęp: 10.09.2017].

Singh M., Collateral, netting and systemic risk in the OTC derivatives market, “IMF Working Paper” 2010, Vol. 10, DOI: https://doi.org/10.5089/9781451982763.001.

UKNF, Raport o sytuacji banków w 2015 r., Warszawa 2016.

Whitall C., The Price is Wrong, “Risk Magazine” 2010 (March).




DOI: http://dx.doi.org/10.17951/h.2017.51.5.199
Date of publication: 2017-12-22 12:02:50
Date of submission: 2017-04-21 12:18:52


Statistics


Total abstract view - 1161
Downloads (from 2020-06-17) - PDF (Język Polski) - 0

Indicators



Refbacks

  • There are currently no refbacks.


Copyright (c) 2017 Piotr Mielus

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.