Cross-currency interest rate swap w kontekście rachunku adekwatności kapitałowej banków posiadających walutowe kredyty hipoteczne

Polish banks have a large long currency position resulting from the portfolio of foreign currency mortgages, which they secure mainly using FX swaps and cross-currency interest rate swaps (CIRS). The purpose of this paper is to show how to take CIRS, which is one of the most popular methods of hedgi...

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Bibliographic Details
Published in:Problemy Zarządzania (Online) 2015-10, Vol.13 (3(55) t.2), p.158-169
Main Author: Jan Koleśnik
Format: Article
Language:English
Subjects:
capital adequacy
cirs
fx mortgages
Online Access:Get full text
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Summary:Polish banks have a large long currency position resulting from the portfolio of foreign currency mortgages, which they secure mainly using FX swaps and cross-currency interest rate swaps (CIRS). The purpose of this paper is to show how to take CIRS, which is one of the most popular methods of hedging against risk of CHF mortgages, into account in the calculation of capital adequacy. The paper also tries to answer the question whether the conversion of foreign currency mortgages will lead to changes in the treatment of CIRS in the calculation of capital adequacy of banks. The author points out that the conversion of part or all of the portfolio will eliminate the possibility for CIRS to be counted in the non-trading book and therefore a bank, instead of the capital requirement for credit risk, will have to set capital requirements for counterparty risk and position risk.
ISSN:1644-9584
2300-8792
DOI:10.7172/1644-9584.55.11