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

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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


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