Kreditni Rizik
Kreditni Rizik
KREDITNI RIZIK I
KREDITNI DERIVATI
mr Jana Spasojević
Telekom Srbija ad
[email protected]
Rezime
104
original
UDC 005.334:336.77 ; 336.774.3 scientific
paper
Summary
Credit risk is one of the predominant risks in finances and business, and
the credit risk exposure is present in almost all financial transactions. During
the last several years, the scope and application of the credit risk transfer
techniques and instruments have substantially increased. Credit derivatives
are a new category of derivatives and the latest participants on the financial
market. They were introduced in order to eliminate inadequacy of traditional
credit risk transfer mechanisms, with the aim of protecting banks and other
institutions from losses incurred due to defaults. All credit derivatives have
certain common characteristics. Credit derivatives appear in different shapes
and forms, and there are several ways of classifying them in different categories.
The development of the credit derivatives market is a response to the growing
importance of the credit risk management and every participant in this market
has a different motivation for applying credit derivatives. On the one hand,
credit derivatives are bringing benefits, while on the other hand they carry
concealed hazards and risks.
105
Karakteristike kreditnog rizika kreditnog kvaliteta emitenta hartija od
vrednosti predstavlja izvor rizika jer dovodi
Kreditni rizik predstavlja rizik od do smanjena tržišne vrednosti hartija od
neispunjenja obaveze dužnika da u vremenski vrednosti koje preduzeće poseduje. Takođe,
ugovorenim rokovima i u punom iznosu pomeranje faktora rizika u pravcu njegovog
izmiri svoje obaveze prema poveriocima. To je rasta, povećava i očekivani tržišni prinos, što
rizik da u finansijskoj transakciji partner neće je bitan parametar kod sekjuritizacije kredita
ispuniti svoju ugovorom preuzetu kreditnu i kreditnih derivata. Kreditni gubitak može
obavezu zbog čega potraživanje neće biti da nastane i usled nemogućnosti ispunjenja
realizovano na dan dospeća po njegovoj punoj obaveza ili izvršenja plaćanja po ugovorima
knjigovodstvenoj vrednosti. vezanim za kreditne derivate.
To je jedan od preovlađujućih rizika u Kreditni rizik se povećava usled produženja
finansijama i poslovanju. Prisutan je uvek roka isteka, roka saldiranja ili roka dospeća.
kada se očekuje da drugo preduzeće izvrši Internacionalni regulatorni organi skraćenjem
plaćanje ili da ispuni ugovorene obaveze, i roka saldiranja za određene hartije od
predstavlja verovatnoću nastanka gubitka vrednosti pokušavaju da smanje sistemski
usled neizvršenja obaveza ili stečaja drugog rizik. Takođe, kreditni rizik se povećava usled
preduzeća. Na kreditni rizik treba obratiti povećanja kamatnih stopa ili pogoršanja opštih
pažnju ukoliko se preduzeću duguje novac ekonomskih uslova. Verovatnoća neizvršenja
ili ukoliko to preduzeće mora da se osloni na ugovorenih obaveza se povećava i u slučaju
drugo preduzeće da izvrši plaćanja njemu ili u kada je preduzeće akumulisalo velike gubitke,
njegovo ime. kada duguje drugim ugovornim stranama,
Kreditni rizik se često smatra jednosmernim ili kada kreditori ili druge ugovorne strane u
rizikom, zato što nastaje kada druga ugovorna preduzeću imaju finansijske probleme ili su
strana preduzeću duguje novac ili izvršenje bankrotirali.
obaveza. Nastaje uvek kada je kreditor izložen Kreditni rizik i metode koje se koriste za
gubitku od strane korisnika kredita, druge upravljanje kreditnim rizikom zavise od veličine
ugovorne strane, ili dužnika koji ne ispunjava i kompleksnosti izloženosti riziku. Finansijske
dugovne obaveze kako je ugovoreno. Za institucije, kao što su banke, investicioni dileri,
kreditore koji obezbeđuju sredstva putem poverenička društva, osiguravajuće kompanije,
kredita, transakcija, ili tržišta kapitala, kreditni i kreditne unije, imaju visoku stopu izloženosti
rizik je prisutan u svim njihovim poslovnim kreditnom riziku usled činjenice da je njihova
aktivnostima i sastavni je deo praktično svakog glavna uloga da obezbeđuju kredite i obavljaju
proizvoda i usluge koja se pruža. transakcije.
Kreditni rizik nastaje usled aktivnosti Glavne karakteristike kreditnog rizika su
pozajmljivanja, investiranja i davanja kredita sledeće:
i odnosi se na povraćaj pozajmljenog novca • Kreditni rizik je sistemski rizik, odnosno na
ili isplate od prodate robe. Upravljačka tela u njega utiče opšta ekonomska klima i zato je
bankama prilikom svakodnevnog poslovanja visoko cikličan. Kreditni rizik veoma zavisi
prave kompromise između visine rizika i visine od ekonomskih ciklusa: povećava se tokom
stopa prinosa. Rizik gubitka nastaje usled recesije, a smanjuje se tokom ekspanzije.
mogućnosti da plasirana sredstva ne budu • Kreditni rizik je specifičan rizik, u smislu da
vraćena kroz amortizaciju kredita. Gubitak se menja u skladu sa specifičnim događajima
može biti kompletan, a može biti i delimičan koji utiču na korisnike kredita. Na kreditni
ukoliko se deo sredstava ipak amortizuje. rizik vezan za korisnika kredita ili drugu
Pored toga, kreditni rizik obuhvata ugovornu stranu direktno utiču njegove
bankarstvo 1 2013
106
Credit risk characteristics downgrading of securities issuer, for example,
is regarded as a source of risk as it causes fall
Credit risk is a risk of an obligor defaulting in the market value of securities held by the
in servicing liabilities on contracted terms given company. In addition, the shift in the risk
and conditions, and a failure of settling in factor in the direction of its growth increases the
full his obligations to creditors. It is a risk of anticipated market yield, which is an important
counterparty in a financial transaction failing parameter in credit and credit derivatives
to fulfil contractual credit liability where as a securitisation. Credit loss may occur also due to
result the claim will not be settled on maturity inability to service liabilities, or make payments
date in its full book value. per credit derivatives-linked contracts.
This is one of the predominant risks in Credit risk grows when the expiry date,
finance and business. It is present always when settlement date, or maturity date is extended.
it is expected for the other company to effect International regulatory authorities are
payment or settle its contractual obligation, and trying, by shortening settlement date for
represents a probability of loss due to default certain securities, to lower systemic risk.
or bankruptcy of the other company, Credit risk Concurrently, credit risk grows when interest
should be especially monitored if the company rates are raised or general economic climate
has outstanding claims, or if that company deteriorates. Probability of default in servicing
must rely on the counterparty company to contracted liabilities grows in case a company
effect payment either to the company itself, or has accumulated large losses, or when it owes
on its behalf. money to other contracting parties, but also
Credit risk is often regarded as a one-way in cases when creditors or other contracting
risk, as it emerges when the other contracting parties are facing financial problems in the
party owes the company money or execution company, or have gone bankrupt.
of an obligation. It appears always when the Credit risk and methods used for the
creditor is exposed to loss from the credit credit risk management depend of the size
beneficiary, the other contracting party, or an and complexity of risk exposure. Financial
obligor defaulting on his liability to service institutions, such as banks, investment dealers,
debt as contractually agreed upon. For creditors trust institutions, insurance companies, and
securing funds through credits, transactions, or credit unions have a high rate of credit risk
capital market, credit risk is present in all of exposure due to the fact that their main role is to
their business activities and is a component part provide credit facilities and make transactions.
of practically every product and service that is The main characteristics of the credit risk are
offered. the following:
Credit risk is present in borrowing, investing • Credit risk is a systemic risk, i.e. it is a risk
and credit lending activities and pertains to the impacted by the global economic climate,
repayment of the borrowed money, or payment and thus it is highly cyclic. Credit risk is
for goods sold. Managing bodies in banks are highly dependent on the economic cycles:
inclined to compromise on daily basis in their it grows during recession, and falls during
operations, when deliberating risks versus expansion.
returns. Risk from losses appears when there • Credit risk is a special type of risk in that it
is a possibility that the funds invested may not changes according to specific events which
be returned through credit amortisation. Loss are impacting credit beneficiaries. Credit
may be in full, or it may be in part if some funds risk linked with credit beneficiaries or the
are amortised. other contracting party (counterparty) is
In addition, credit risk entails downgrading directly impacted by its characteristics:
bankarstvo 1 2013
of the company credit rating, which in turn size, corporate strategy, events impacting
undermines company position on the rating it, changes in the immediate economic
list. The fall in rating, however, does not environment, etc.
necessarily imply loss of funds, although it does • Contrary to the other market risks, it
involve higher loss possibility. Credit quality is closely connected with the business
107
je vezan za uspeh u poslovanju i strukturu spreda i rizik pogoršanja kreditnog rejtinga
kapitala korisnika kredita, i ima asimetričnu dužnika se razlikuju u tome što se rizik
distribuciju profitabilnosti (“teški” repovi). pogoršanja kreditnog rejtinga dužnika
U osnovne vrste kreditnog rizika spadaju: odnosi na specifičnu, zvaničnu kreditnu
• Rizik neizvršenja obaveza - rizik da emitent ocenu datu od strane nezavisne rejting
obveznice ili korisnik kredita neće vratiti agencije, dok se rizik promene kreditnog
celokupan iznos neizmirenog duga. Ovaj spreda odnosi na reakciju finansijskih tržišta
rizik može biti ceo - ukoliko nijedan iznos na očekivano pogoršanje stanja kredita.
kredita ili obveznice neće biti vraćen,
ili delimičan - ukoliko će određeni deo Tradicionalni instrumenti i tehnike
početnog duga biti vraćen. transfera kreditnog rizika
Prilikom merenja rizika neizvršenja obaveza,
investitori koriste analize izvršene od strane Različite tehnike transfera kreditnog
rejting agencija koje obavljaju kreditnu rizika se već duže vreme upotrebljavaju
analizu emitovanih hartija od vrednosti i na finansijskim tržištima. Tokom proteklih
emitenata i pružaju svoje zaključke u vidu nekoliko godina značajno se povećao obim i
kreditnog rejtinga. primena instrumenata za transfer kreditnog
• Rizik pogoršanja kreditnog rejtinga dužnika rizika. U faktore koji su doprineli razvoju
- predstavlja rizik da će rejting agencije instrumenata i tehnika za transfer kreditnog
(Standard & Poor’s, Moody’s Investors rizika spadaju: veća pažnja banaka i drugih
Services, ili Fitch Ratings) smanjiti kreditni finansijskih institucija usmerena na proces
rejting emitenta na osnovu izvršene procene upravljanja rizicima; oprezniji pristup
tekuće sposobnosti emitenta da ostvaruje investitora u dostizanju ciljane kombinacije
dobit u odnosu na njegovu sposobnost da između prinosa i rizika; pojačana težnja
otplati dugove u trenutku kada dospevaju. banaka i drugih velikih finansijskih institucija
To je rizik da će kreditni rejting emitenta ili da što bolje upravljaju kreditnim rizikom na
emitovane hartije od vrednosti biti umanjen, portfolio nivou; nastojanja tržišnih posrednika
što će dovesti do povećanja kreditnog da maksimiziraju svoje prihode od provizija
spreda. i naknada; generalno nizak nivo aktivnih
Ponekad se sposobnost emitenta da izvrši kamatnih stopa, koji primorava finansijske
plaćanja kamate i glavnice značajno i učesnike da na tržištu traže alternativne izvore
nepredviđeno izmeni usled nastupanja prihoda, razvijajući nove vrste finansijskih
neočekivanih događaja. To podrazumeva instrumenata; i povoljne okolnosti za arbitražu
veliki broj idiosinkratičnih događaja koji koje se javljaju usled različitih regulatornih
su specifični za korporaciju ili privredu, zahteva u pogledu visine kapitala potrebnog
uključujući nesrećne slučajeve, promenu za poslovanje različitih finansijskih preduzeća.
regulatornih tela, preuzimanje preduzeća Tokom dužeg vremenskog perioda, banke
ili korporativno restrukturiranje, kao i su razvile različite tradicionalne instrumente i
korporativnu proneveru i nezakonito tehnike za transfer kreditnog rizika, od kojih u
ponašanje. Taj rizik se zove rizik od glavne spadaju sledeće:
neizvršenja obaveze plaćanja zbog • Osiguranje obveznica - tehnika koja
nastupanja nepredviđenog događaja, i podrazumeva da emitenti obveznice mogu
dovodi do smanjenja kreditnog rejtinga da plate premiju trećem licu, koje će u
emitenta od strane rejting agencija. slučaju neizvršenja od strane emitenta
• Rizik promene kreditnog spreda - predstavlja obezbediti isplatu kamate i glavnice, kao
ostvarenje gubitka ili goreg rezultata od što je naznačeno u obveznici. Kao rezultat
bankarstvo 1 2013
108
success and structure of capital of the independent rating agency, while the risk of
credit beneficiary, and has an asymmetric change in the credit spread pertains to the
profitability distribution (“fat tails”). reaction of financial markets on the expected
The basic types of credit risk are the deterioration of the credit status.
following:
• Risk of default - risk that the bond issuer or Traditional credit risk transfer
credit beneficiary will not repay the entire instruments and techniques
amount of outstanding debt. This risk may
be total - if no credit amount or bond amount Different credit risk transfer techniques have
will be repaid, or partial - if a certain part of been in use for some time now on the financial
the initial debt is repaid. markets. During the last few years, there was
In measuring defaulting risk, investors are a substantial growth in scope and application
using analyses made by the rating agencies of the credit risk transfer instruments. Factors
that publish credit analysis of securities that have enhanced development of credit
issued and of the issuers, and offer their risk transfer instruments and techniques are
findings regarding credit rating. the following: greater focus of banks and
• Risk of obligor’s credit rating downgrade other financial institutions on the process of
- risk that the rating agencies (Standard risk management; a more prudent approach
& Poor’s, Moody’s, Investors Services, or of investors to reaching targeted return/risk
Fitch Ratings) will lower credit rating of the combinations; enhanced strive of banks and
issuer on the basis of forecasts for future other financial institutions to manage better
capabilities of the issuer to make profit in credit risk at a portfolio level; attempts by market
respect to his ability to repay debts at their intermediaries to maximise their commissions
maturity. This is a risk that the credit rating and fees revenues; a generally low level of
of the issuer, or of the security issued, will be active interest rates forcing financial players to
downgraded, thus causing growth in credit search on the market for alternative sources of
spread. revenues by developing new types of financial
At times, the ability of the issuer to pay instruments; and favourable circumstances
interest and principal may substantially for arbitration which appear due to different
and suddenly change when unexpected regulatory requirements regarding the amount
events occur. This implies a large number of regulatory capital prescribed for business
of idiosyncratic events which are specific operations of different financial companies.
for the given corporation or economy, Over a longer time period, banks have
including accidents, change in regulatory developed various traditional instruments and
bodies, company take-over, or corporate techniques for the credit risk transfer, the main
restructuring, but also corporate fraud among them being the following:
and unlawful conduct. This risk is called • Bond insurance - a technique which
defaulting risk due to unforeseen events, designates that bond issuer may pay
and causes the rating agencies to downgrade premium to a third person, who in case of
issuer’s credit rating. default by the issuer shall secure payment of
• Risk of change in the credit spread - risk of interest and principal, as stated on the bond.
incurring losses or poorer result than the As a result, the bond rating is upgraded
expected one from the securities issued due up to the level of the insurance provider
to the growth in the credit spread. This is rating; consequently credit rating of the
a risk that the spread will grow above the insurer must be close to the highest rating.
reference interest rate on outstanding debt The required premium for bond insurance
bankarstvo 1 2013
liability. Risk of change in the credit spread is a measure of default risk assessed by the
and the risk of deterioration of the debtor’s issuer.
credit rating differ in the fact that the Sovereign bonds are almost never insured.
debtor’s credit rating deterioration pertains Issuers are buying insurance of municipal
to a specific, official credit rate given by the bonds in order to protect bond buyers.
109
rizika neizvršenja od strane emitenta. drugog preduzeća u slučaju neizvršenja
Državne obveznice skoro nikada nisu najčešće zavisi od stepena likvidnosti i vrednosti
osigurane. Emitenti kupuju osiguranje kolaterala koji je u funkciji zaštite kredita;
municipalnih obveznica da bi zaštitili kupce vrednost kolaterala može biti vrlo promenljiva,
obveznica. Otprilike je jedna trećina svih i na nekim tržištima se smanjuje sa povećanjem
novih municipalnih obveznica osigurana, verovatnoće nastanka neizvršenja obaveza.
najčešće upotrebom procedure koja • Rani raskid - odnosi se na situacije u kojima
podrazumeva plaćanje premije prilikom kreditori i korisnici kredita uspevaju da
kupovine obveznice. postignu međusobni dogovor da u slučaju
• Garancije su instrument za ublažavanje nastanka predviđenog događaja (koji je
izloženosti kreditnom riziku. Garancija od najčešće preciziran u klauzuli ugovora),
strane trećeg lica, koje ima bolji kreditni kao što je na primer smanjenje kreditnog
rejting od druge ugovorne strane, smanjuje rejtinga, prekinu obavljanje transakcija
izloženost kreditnom riziku prilikom korišćenjem srednjih tržišnih kotacija.
obavljanja transakcija. • Prenos prava i obaveza - odnosi se na
Garancija je bilateralni ugovor prema kom mogućnost prenosa pozicije druge ugovorne
je lice koje preuzima rizik (garant) dužno da strane na treće lice, u slučaju smanjenja
izvršava obaveze u korist lica koje transferiše kreditnog rejtinga. Prenosom postojeće
rizik (poverilac). Izvršenje obaveze se javlja u pozicije, preduzeće koje inicira tu aktivnost
slučaju kada treća strana (dužnik) u ugovoru pokušava da smanji celokupnu izloženost
sklopljenom između dužnika i poverioca ne kreditnom riziku druge ugovorne strane. U
izvršava obaveze. Garant je dužan da izvrši nekim slučajevima prenos prava i obaveza
dužnikove obaveze ukoliko dužnik nije u se primenjuje kada preduzeće ima sumnje
mogućnosti da ih izvrši, dok su iznosi koji vezano za mogućnost nastavka poslovanja
dospevaju za plaćanje ograničeni na gubitke druge ugovorne strane, dok se u drugim
koji su vezani za izloženost riziku. Garancije slučajevima koristi da bi se oslobodile
blisko prate prirodu i sadržaj ugovora kreditne linije ili izvršila diversifikacija
sklopljenog između poverioca i dužnika. portfolija sa ciljem da se omogući dodatno
Garancije su fleksibilni instrumenti za poslovanje sa istom ugovornom stranom.
transfer kreditnog rizika jer mogu da budu • Neting - predstavlja standardnu klauzulu
dizajnirani tako da pokrivaju specifične u vanberzanskim derivatnim ugovorima.
transakcije ili izloženosti riziku. Prilikom upotrebe netinga, iznosi koji treba
• Kolateral - kolateralizacija je najstariji oblik da budu razmenjeni između dve ugovorne
zaštite kreditora od mogućih gubitaka. strane se prebijaju, i na taj način se znatno
Kolateral se već duže vreme koristi u cilju smanjuje izloženost riziku i jedne i druge
zaštite prilikom sklapanja kreditnih ugovora ugovorne strane. Ukoliko se pravilno koristi,
i predstavlja jednu od najčešće korišćenih neting može znatno da umanji kreditni rizik
tehnika za transfer rizika. Kolateral služi finansijske institucije, i zbog toga predstavlja
kao zaštita kreditoru od rizika neizvršenja jedan od najvažnijih instrumenata za
obaveza od strane korisnika kredita, do transfer kredinog rizika.
kog dolazi ukoliko korisnik kredita ne Bilateralne neting ugovore, koji predstavljaju
izvrši plaćanje kamate i glavnice kako je dogovor dve ugovorne strane da saldiraju svoje
predviđeno kreditnim ugovorom. Ukoliko bilateralne obaveze, uglavnom između dve
korisnik kredita ne izvrši ugovorene finansijske institucije, koriste mnogi učesnici
obaveze, dužan je da preda imovinu koja na deviznim tržištima. Umesto da se vrše
je založena kao kolateral, i u tom slučaju pojedinačna saldiranja između ugovornih
bankarstvo 1 2013
kreditor postaje vlasnik kolaterala. Gotovina strana, sva plaćanja za određeni dan i valutni
i državne hartije od vrednosti predstavljaju par se sabiraju i samo se isplaćuje neto iznos.
osnovni oblik kolaterala, a takođe se koriste Pojedinačni neting ugovori ne mogu u
i korporativne obveznice i obične akcije. potpunosti da štite učesnike na tržištu ukoliko
Visina ostvarenih gubitaka banke ili nekog plaćanja treba da budu izvršena u različitim
110
Approximately one third of all the new often depends on the degree of liquidity and
municipal bonds are insured, most often value of collateral which is in the function
by applying the procedure which implies of credit protection; value of collateral may
payment of premium during purchase of a be very volatile, and in some markets it falls
bond. with the growth of probability of default.
• Guarantees are instruments for the credit • Early termination - pertains to situations
risk exposure mitigation. Guarantees by when creditors and credit beneficiaries
a third party that is having better credit succeed in reaching mutual agreement
rating than the counterparty are lowering designating that in case of occurrence of
credit risk exposure during execution of an unforeseen event (which is most often
transactions. specified in the contract clause) such
Guarantee is a bilateral contract where a as, for instance, fall in the credit rating,
person taking over the risk (guarantor) the contracting parties shall terminate
undertakes to comply with obligations in further transactions using middle market
favour of the person transferring the risk quotations.
(creditor - guarantee). Execution of the • Transfer of rights and obligations - pertains
obligation appears in case the third party to the option to transfer position of the
(obligor) in the contract concluded between counterparty on to a third person in case
the obligor and the creditor fails to comply of downgrade in credit rating. Transfer of
with his obligations. Guarantor must fulfil the current position is the way in which
obligor’s obligations if the obligor is unable company initiating this activity is trying
to service them himself, while the amount to lower its total credit risk exposure to
due for payment is limited to losses linked the counterparty. In some cases, transfer
with the risk exposure. Guarantees are of rights and obligations is applied when a
following closely the nature and substance of company has doubts in the capability of the
the contract drawn between the creditor and counterparty to continue with its business,
obligor. Guarantees are flexible instruments while in other cases it is used to free credit
for the credit risk transfer as they may be so lines or make diversification of portfolio
designed as to cover specific transactions or with the objective of allowing additional
risk exposure. business with that same counterparty.
• Collateral - collateralisation is the oldest • Netting - is a standard clause in the over-the-
form of creditor protection from possible counter derivatives contracts. When netting
losses. Collateral has been in use for is applied, the amounts to be exchanged
some time now for purpose of protection between the two contracting parties are
in contracting credit deals and is one of netted, and in this way risk exposure is
the most frequently used risk transfer substantially lowered both for the one and
techniques. Collateral serves as protection for the other contracting party. If netting is
for creditor from the risk of default by the correctly used, it may substantially reduce
credit beneficiary that occurs when the credit risk of the financial institution
credit beneficiary defaults on payment of and thus it is one of the most important
interest and principal as stipulated in the instruments for the credit risk transfer.
credit agreement. If the credit beneficiary Bilateral netting contracts, which are an
should default on contractual obligation, agreement between the two contracting parties
he must surrender his property pledged as to settle their bilateral liabilities, mainly between
collateral, and in that case creditor becomes the two financial institutions, are applied by
the owner of such collateral. Cash and many players on the foreign currency markets.
bankarstvo 1 2013
sovereign securities are the basic form of Instead of making individual settling between
collateral, but corporate bonds and common the contracting parties, all payments due on a
stocks may also be used. certain day and the currency (exchange) par are
The amount of incurred losses of a bank or summed up and only the net amount is paid.
some other company in case of default most Individual netting contracts can not fully
111
valutama, zbog toga što obe ugovorne strane iznosa odobrenog kredita između korisnika
mogu da vrše plaćanja. Međutim, plaćanja će kredita sa različitim iznosima kreditnog
biti manja nego što bi inače bila bez netinga, rizika.
i samim tim se značajno smanjuje izloženost • Diversifikacija - predstavlja tehniku
riziku. upravljanja rizikom, koja je vezana za
• Poravnanje sa tržištem. Ugovorne strane hedžing, i koja kombinuje različite vrste
se u nekim prilikama dogovore da tržišnu investicija u okviru portfolija. Odnosi se na
vrednost transakcije učine transparentnom, preraspodelu rizika na veći broj investicija
a zatim da izvrše transfer bilo koje izmene radi umanjenja rizika.
u vrednosti sa strane koja ostvaruje Diversifikacija izloženosti riziku, koja se
gubitke na stranu koja ostvaruje dobitke odnosi na transakcije između ugovornih
tokom transakcije. Poravnanje sa tržištem strana kao i na transakcije u različitim
predstavlja jednu od najefikasnijih tehnika privrednim granama i zemljama, je jedan
transfera kreditnog rizika, i, u većini od najosnovnijih načina smanjenja rizika u
slučajeva, može praktično da eliminiše kreditnom portfoliju. Krajnji rezultat dobro
kreditni rizik. Međutim, ona zahteva izvršene diversifikacije je izbalansiraniji
usavršene sisteme monitoringa i internet rizični profil koji nije zgusnut, i koji samim
kontrole. tim nije sklon veoma velikim gubicima
• Put opcije. Veliki broj put opcija koje se prilikom neizvršenja obaveza druge
nalaze u okviru korporativnih dužničkih ugovorne strane.
hartija od vrednosti pružaju investitorima • Kreditni limiti - pomažu prilikom
zaštitu od rizika neizvršenja, na taj način upravljanja izloženosti ukupnom riziku
što investitor ima pravo otkupa pre datuma druge strane koji nastaje usled finansijskih
dospeća po unapred ugovorenoj ceni (npr. i poslovnih aktivnosti. Upotreba limita
po nominalnoj ceni). podržava principe diversifikacije. Limiti se
• Sindicirani krediti - predstavljaju privremene koriste u upravljanju kreditnim rizikom kao
aranžmane između banaka, i odnose se na i prilikom upravljanja aktivom.
situaciju u kojoj u grupi od nekoliko banaka Finansijske institucije koje obavljaju
svaka pozajmljuje određenu sumu korisniku transakcije koriste limit-pozicije da bi
kredita u istom trenutku i u iste svrhe. ograničile veličinu dozvoljenih otvorenih
Primenom ove tehnike banke dele kreditni pozicija u transakcijama i visinu
rizik velikih kredita koje obezbeđuju potencijalnog gubitka. Limiti za učesnike
korisnicima kredita. Banke koje učestvuju u transakcijama se uglavnom određuju na
u sindiciranim kreditima međusobno osnovu iskustva, performanse, merenja i
sarađuju čak iako su inače konkurenti. Banke modeliranja rizika, kao i prema dozvoljenom
učesnice u sindiciranim kreditima najčešće stepenu rizika određene institucije. Najviše
daju velike kredite koje pojedinačne banke se upotrebljavaju dnevni limiti tokom
ne bi bile u stanju da samostalno obezbede. radnog dana i kratkoročni limiti za otvorene
Glavne banke u sindiciranim kreditima pozicije i transakcije na inostranim tržištima.
snose najveći deo rizika a takođe dobijaju i • Posredovanje - javlja se u situacijama kada
najveći deo provizija. institucija konstruiše poseban derivat
• Racioniranje kredita - staro je koliko i za krajnjeg korisnika, ali ne obavlja
bankarsko poslovanje, ali nije isključivo transakciju direktno sa krajnjim korisnikom,
vezano za bankarstvo. Osnovni princip već umesto toga izvršava transakciju
racioniranja kredita je da se kredit preko treće strane - posrednika. Velike
odobrava u situacijama kada je omogućena finansijske institucije obično imaju funkciju
bankarstvo 1 2013
112
protect players on the market if payments are additional risk undertaken. Concurrently,
to be made in different currencies, as both of this means rationing of the final amount of
the contracting parties may effect payments. credit approved between credits beneficiaries
Payments will be lower, however, than would with different amounts of credit risk.
be in the case without netting, and hence this • Diversification - is a risk management
substantially reduces risk exposure. technique linked with hedging, which
• Market settlement. Contracting parties in combines different types of investments
some circumstances may agree to make the within any given portfolio. It pertains to the
market value of a transaction transparent, redistribution of risk on to a higher number
and then to make a transfer of any change in of investments for purpose of reducing
value by the side incurring losses on to the risk. Diversification of risk exposure, which
side acquiring profit during that transaction. pertains to the transaction between the
Market settling is one of the most efficient contracting parties, and also to transactions in
techniques for the credit risk transfer, and in different industrial branches and countries,
most cases it may practically eliminate credit is one of the basic forms of reducing risk in a
risk. It requires, however, sophisticated credit portfolio. The ultimate result of a well
monitoring and internet control systems. conducted diversification is a well-balanced
• Put option - A large number of put options risk profile which is not dense, and in this
which are to be found in the corporate debt way is not prone to very high losses in case
securities are offering investors protection of default of the counterparty.
from default risk, in the way that the investor • Credit limits - are helping in managing
has the right to redeem them prior to the total risk exposure of the counterparty,
maturity date, at an in advance contracted which occurs from financial and business
price (for example, at nominal price). activities. The use of limits acts in support
• Syndicated loans - are temporary of the diversification principles. Limits are
arrangements between banks and pertain used in credit risk management and also in
to the situation where in a group of several assets management.
banks, every one of them, is lending a certain Financial institutions engaged in transactions
sum to a credit beneficiary at the same time are using limit positions in order to limit the
and for the same purpose. Application size of allowed open positions in transactions
of this technique allows the banks to and the amount of potential loss. Limits for
share credit risk of large loans which they participants in transactions are mainly set
provide for their credit beneficiaries. Banks on the basis of experience, performances,
participating in the syndicated loans are measurements and risk modelling, and also
mutually cooperating even tough they according to the allowed degree of risk for
may be otherwise competitors. Banks any given transaction. Most frequently used
participants in syndicated loans most often are daily limits during a working day and
are granting large loans, which as individual short-term limits for open positions and
banks they would not be able to provide transactions on foreign markets.
themselves alone. The main banks in the • Intermediation - appears in situations
syndicated loans are bearing the major part when an institution designs a particular
of risk, but are also receiving the major part derivative for the final beneficiary, yet it
of commissions. is not conducting transactions directly
• Credit rationing - is as old as the banking with that final beneficiary, but is instead
business itself, but is not characteristic for conducting transaction through a third party
banking alone. The basic principle of credit - intermediary. Large financial institutions
bankarstvo 1 2013
rationing is for the credit to be approved usually hold the function of an intermediary.
in a situation when the most favourable In conducting transactions which engage an
exchange of risk for yield is possible. This intermediary, institution which has initiated
means allocation of higher interest rates to given transaction is losing certain amount
risky transactions as a compensation for of its profit, which is forwarded to the
113
koja je inicijator ne želi direktno da stupi mora da se složi sa prodajom. Novacija u
u kontakt sa krajnjim korisnikom ili ako potpunosti transferiše sva prava i obaveze
više ne poseduje dovoljni kreditni kapacitet i podrazumeva nov ugovor koji se sklapa
da bi poslovala sa krajnjim korisnikom između kupca i korisnika kredita; u praksi,
(ukoliko su kreditni limiti institucije dostigli putem novacija prodavac se u potpunosti
maksimum). Takođe, do posredovanja može gubi i na njegovo mesto dolazi novi
da dođe i zbog regulatornih i poreskih učesnik. Trenutno, zbog visokih troškova
potreba. Posredovanje može unapred da se monitoringa i rizika vezanih za učešća,
ugovori (pre početka transakcije) ili tokom i pravnih troškova vezanih za novacije,
trajanja transakcije. najveći broj prodaja kredita se javlja u obliku
ustupanja potraživanja.
Novi instrumenti i tehnike • Sekjuritizacija - tehnika pretvaranja
upravljanja kreditnim rizikom bankarskih kredita u hartije od vrednosti.
Pod sekjuritizacijom kredita podrazumeva
Tehnike transfera kreditnog rizika kao što su se konkretna operacija transformacije
prodaja kredita, sekjuritizacija i kreditni derivati bankarskih kredita u obveznice emitovane
predstavljaju finansijsku inovaciju koja je imala na bazi tih kredita.
veliki uticaj na bankarsko poslovanje, kao i na U tradicionalnom bankarstvu, krediti ostaju
celokupni finansijski sektor. Ti instrumenti u aktivi banke sve do konačne likvidacije i u
su omogućili transfer i hedžing kreditnog tom smislu oni predstavljaju oblik nelikvidne
rizika, i na taj način su uticali na to da banke aktive banaka, a pogotovo onda kada su
smanje izloženost kreditnom riziku, smanje krediti dati s dužim rokovima. Iz tog razloga
zahteve u pogledu visine kapitala potrebnog se javila potreba da banke transformišu
za poslovanje, prihvate nove metode davanja jedan deo svojih kredita u vrednosne papire,
kredita, i povećaju likvidnost. odnosno obveznice. Na bazi određene
U nove instrumente i tehnike upravljanja količine kvalitetnih kredita banaka formiraju
kreditnim rizikom spadaju sledeće: se pulovi sredstava na osnovu kojih se
• Prodaja kredita - predstavlja bankarsku vrši emisija visoko kvalitetnih obveznica.
inovaciju koja omogućava transfer kreditnog Nakon transformacije kredita u obveznice
rizika kroz prodaju osnovnog kredita. Kod može se izvršiti poboljšanje kvaliteta novih
prodaje kredita, banka obezbeđuje kredit, i finansijskih instrumenata, uključivanjem
zatim trećoj strani prodaje novčane tokove banaka i drugih finansijskih institucija
vezane za kredit, bez eksplicitne ugovorne kao garanta po osnovu emitovanih hartija
obaveze, garancije, osiguranja, ili drugog od vrednosti. To je hibridna finansijska
vida povećanja kreditnog boniteta hartija forma koja kombinuje klasičan bankarski
od vrednosti, i na taj način uklanja kredit iz kredit s karakteristikama korporativnih
bilansa stanja banke. obveznica. Prednost navedenog je u tome
Postoje tri osnovne vrste prodaje kredita: što su obveznice likvidne na tržištu kapitala,
učešća, ustupanje potraživanja, i novacije, podležu proceni rejting agencija i imaju
koje se razlikuju u stepenu transfera prava poboljšanu i diversifikovanu strukturu
i obaveza. Učešća daju pravo kupcu da rizika, dok su bankarski krediti nelikvidni
primi (u celosti ili delimično) buduća do roka dospeća, ne podležu vrednovanju
plaćanja koja će biti ostvarena na osnovu rejting agencija i banke same snose rizik.
ugovora, ali ne transferišu prava i obaveze Sekjuritizacija kredita je počela u SAD-u sa
koji su vezani za originalni ugovor, i na taj hipotekarnim kreditima za stanove koje su
način omogućavaju da se očuva odnos sa odobravale državne finansijske institucije.
bankarstvo 1 2013
114
intermediary. Intermediation takes place of the relationship with the credit beneficiary.
when the institution which is the initiator Assignment of claim transfers the direct
does not wish to make contact directly with creditor/debtor relationship from the bank
the final beneficiary or when it no longer to the credit buyer together with rights and
holds sufficient loan capital in order to do obligations of the seller; in some cases, if
business with the final beneficiary directly so contracted, credit beneficiary must give
(if the credit limits of the institution have his consent for the swap. Novation is a full
reached their maximum level). Concurrently, transfer of all the rights and obligations and
intermediation may also take place for implies a new contract to be drawn between
regulatory and tax purposes. Intermediation the buyer and the credit beneficiary; in
may be contracted in advance (prior to the practice, through novation, the seller
start of transaction), or during the execution completely disappears and in his stead a
of the transaction. new participant emerges. At present, due
to high costs of monitoring and risks linked
New credit risk management with participation, but also legal costs with
instruments and techniques respect to novations, the largest number of
credit swaps appears in the form of claims
Credit risk transfer techniques, such as assignment.
credit default swaps, securitisation and credit • Securitisation - is a technique of transforming
derivatives, are financial innovations that have banking credits into securities. Credit
had great influence on the banking business, securitisation implies a concrete operation
and even on the entire financial sector. These are of transforming banking credits into bonds
the instruments that have allowed for the credit issued on the basis of underlying credits.
risk transfer and hedging, having thus impacted In traditional banking, credits remain
the banks to reduce their credit risk exposure, present within bank assets up to the final
lower requirements for capital required for liquidation, and in that sense they stand as
business operations, accept new methods for a form of non-liquid bank assets, especially
credit approval, and boost liquidity. when credits are granted long-term. For
The new credit risk management instruments this reason the need was felt for the banks
and techniques are the following: to transform one part of their credits into
• Credit default swap - is a banking innovation securities, i.e. bonds. On the basis of a certain
allowing for the credit risk transfer to be quantity of high-quality credits, banks may
made through sale of the underlying credit. engage in forming a pool of funds to serve
In credit default swaps bank is providing for the issuance of high-quality bonds.
credit facility, and thereupon sells cash After transformation of credits into bonds
flows connected with the credit facility to a an enhancement of quality of the new credit
third party, without any explicit contractual instruments may be done, by engagement
obligation, guarantee, or any other form of of banks and other financial institutions in
enhancing credit rating of securities, being the role of guarantors on the grounds of the
able in this way to remove credit from its securities issued. This is a hybrid financial
balance sheet. form which combines a classic banking
There are three basic types of credit default credit with characteristics of corporate
swaps: participation, assignment of claim bonds. The advantage of this venture is
(receivables), and novations, which differ that bonds acquire higher liquidity on the
in the degree of transfer of rights and capital market, that they are subject to the
obligations. Participation grants a buyer assessment by the rating agencies, and that
bankarstvo 1 2013
the right to receive (in full or in part) future they have an enhanced and diversified risk
payments to be effected on the basis of a structure, while the banking credits remain
contract, but does not transfer the rights non-liquid until their maturity, they are not
and obligations pertaining to the original subject of assessment by rating agencies,
contract, and in this way allow preservation and the banks alone bear all the risks.
115
U kasnijem periodu došlo je i do emisije plaćanja zbog nastupanja nepredviđenog
obveznica na bazi kredita građanima za događaja. U strukturnom finansiranju,
kupovinu automobila, kredita na osnovu one najčešće prodaju zaštitu upotrebom
kreditnih kartica, trgovinskih i industrijskih finansijskih garancija ili portfolio kreditnih
korporacija. derivata kod najstarijih tranši sa AAA
Prednost sekjuritizacije kredita je rejtingom.
povećanje likvidnosti banaka - bilansi • Kreditni derivati - predstavljaju najnoviju
banaka postaju likvidniji i banke imaju grupu instrumenata za upravljanje
veće mogućnosti prilagođavanja svojih (smanjenje ili eliminisanje) izloženosti
portfolija. Sekjuritizacija kredita deluje i u kreditnom riziku. To su finansijski
pravcu povećanja profitabilnosti banaka, instrumenti čija je glavna uloga transfer
prvenstveno putem smanjivanja zahtevane kreditnog rizika između dve ugovorne
stope kapitala u odnosu na ukupne strane. Nastali su kao posledica tražnje
kreditne plasmane. Prodajom kredita finansijskih institucija za instrumentom
uz posredovanje obveznica smanjuje se hedžinga i diversifikacije kreditnog rizika.
rizik kamatne stope za banke, jer banke Oni omogućavaju korisnicima da prilikom
transferišu rizik fiksnih kamatnih stopa na obavljanja transakcija odvoje kreditni
krajnje investitore koji preuzimaju rizik. rizik od tržišnog rizika, i da izvrše njegov
Jedna od prednosti je i smanjenje kreditnog transfer. Kreditni derivati su vanberzanski
rizika, jer putem tržišnih procesa dolazi do finansijski instrumenti čija je isplata vezana
poboljšanja kvaliteta kredita. za određeni kreditni događaj.
• Osiguranje od kreditnog rizika - vrsta
osiguranja vezana za hartije od vrednosti Karakteristike kreditnih derivata
i obveznice koja pokriva iznose kamate i
glavnice u slučaju neizvršenja od strane Kreditni derivati su uvedeni da bi se
emitenta. To je u stvari vrsta polise osiguranja otklonila neadekvatnost tradicionalnih tehnika
koja pruža zaštitu od rizika neplaćanja (do i instrumenata transfera kreditnog rizika, i
određene sume) od strane dužnika. da bi se zaštitile banke i druge institucije od
Monolinijske osiguravajuće kompanije gubitaka koji nastaju usled neizvršenja obaveza.
garantuju blagovremenu otplatu glavnice Nastali su kao odgovor na zahteve finansijskih
i kamate u slučaju neizvršenja od strane institucija, uglavnom banaka, za pronalaženjem
emitenta. Osiguranje od kreditnog rizika instrumenta za hedžing i diversifikaciju
predstavlja tehniku transfera kreditnog kreditnog rizika, sličnom onima koja se već
rizika, kojom se rizik neizvršenja prenosi primenjuju kod kamatnih i valutnih rizika.
sa vlasnika obveznice na osiguravajuće Od kada su kreditni derivati uvedeni na
kompanije. Vlasnici obveznica ostaju finansijsko tržište 1993. godine, banke, druge
izloženi samo nesistemskom riziku da će finansijske institucije i korporacije su mogle
doći do neizvršenja i od strane monolinijskih efikasnije da upravljaju kreditnim rizikom.
osiguravajućih kompanija. Te osiguravajuće Kreditni derivati izoluju i odvajaju kreditni
kompanije se zovu monolinijske jer pružaju rizik od drugih vrsta rizika kao što su tržišni
usluge samo jednoj industriji. i operativni rizik. S obzirom na to da su
Većini monolinijskih osiguravajućih omogućili efikasan, fleksibilan i jednostavan
kompanija je dodeljen AAA rejting, a rejting način transfera kreditnog rizika, smatra se da
agencije naplaćuju kapitalne troškove u su kreditni derivati veoma moćni instrumenti.
skoro svakoj transakciji. S obzirom na to Svi kreditni derivati imaju sledeće
da su ti troškovi vezani za rejting dužnika, karakteristike, bez obzira na to o kojem tačno
bankarstvo 1 2013
116
Credit securitisation started in the USA with agencies are charging capital costs on almost
the housing mortgage loans granted by the every transaction. Mindful of the fact that
government financial institutions. Based those costs are linked with the obligor’s
on pools of such mortgage loans, bonds rating, mono-line insurance companies do
were created backed by the state guarantee. not provide credit insurance for bonds that
Consequently, system was created where do not have a prime investment rating, or
mortgage loans, through the issued bonds, those that have high risk exposure, in order
could be sold to different investors. In the to avoid default risk for unforeseen event
latter period what followed was the issuance occurring. In structured finance they most
of bonds based on retail loans granted for often sell protection through the use of
purchase of cars, credit card based loans, financial guarantees, or a credit derivatives
consumer loans, and industrial corporate portfolio for the oldest tranches with the
loans. AAA rating.
Credit securitisation benefit is enhanced • Credit derivatives - are the latest group
bank liquidity - banks’ balance sheet becomes of instruments to be used for credit risk
more liquid and banks gain broader options exposure management (mitigation or
for adjustment of their portfolios. Credit elimination). They are financial instruments
securitisation acts in the direction of growth with the main role to exchange credit risk
of banks profitability, primarily through transfer between two contracting parties.
lowering of the required capital adequacy They were designed as a result of demand
rate in respect to the total credit placements. by financial institutions for a credit risk
Credit sale through bonds intermediation hedging and diversification instrument.
reduces interest rate risk for banks, as the They allow the users during execution of
banks are able to transfer fixed interest rate transactions to separate credit risk from
risk on to the final investors who are taking the market risk, are to execute its transfer.
over the risk. One of the advantages is also Credit derivatives are the over-the-counter
lowering of the credit risk, as through the financial instruments, and their payment is
market processes an enhancement of the linked with a given credit event.
credit quality occurs.
• Credit risk insurance - is a type of insurance Credit derivatives characteristics
linked with securities and bonds, which
covers interest sums and principal amounts Credit derivatives were introduced in order
in case of default by the issuer. Actually, to eliminate inadequacy of the traditional credit
this is a form of an insurance policy offering risk transfer techniques and instruments, and
protection from the risk of default (up to a to protect banks and other financial institutions
certain amount) by the obligor. from losses incurred due to default. They were
Mono-line insurance companies can designed as a response to the demand by
guarantee timely repayment of principal financial institutions, mainly banks, to have
and interest in case of default by the issuer. instruments for the credit risk hedging and
Credit risk insurance is a technique of diversification, similar to the ones already
credit risk transfer where the risk of default applied on interest rate and currency risks.
is transferred from the bond holder to the Ever since the credit derivatives were
insurance company. Bond holders remain introduced on the financial market in 1993,
exposed only to a non-systemic risk of financial institutions and corporations could
a default by the mono-line insurance manage credit risk more efficiently. Credit
companies themselves. Such insurance derivatives are isolating and separating credit
bankarstvo 1 2013
companies are called mono-line ones as they risk from other forms of risks, such as the
offer their services to one single industry market and operational risks. As they allow
alone. for an efficient, flexible and simple way of
Most of the mono-line insurance companies transferring credit risk, it is believed that credit
are granted an AAA rating, and the rating derivatives are very powerful instruments.
117
državni ili bilo koja druga forma pravnog događaj nastupanja neizvršenja, koji je
subjekta koji se zadužio. uglavnom definisan u odnosu na referentnog
• Referentne obaveze ili referentna aktiva. subjekta i referentne obaveze. Ukazuje
Referentne obaveze se odnose na aktivu na to da je referentni subjekat trenutno
emitovanu od strane referentnog subjekta. (ili će uskoro biti) izložen finansijskim
Koriste se prilikom određivanja kreditnog problemima, i dovodi do okončanja
događaja i kalkulacije stope nadoknade (koja kreditnog derivatnog ugovora i transfera
se koristi kod izračunavanja isplate u slučaju isplate u slučaju neizvršenja od prodavca
neizvršenja). Mogu da podrazumevaju zaštite ka kupcu zaštite.
bilo koje finansijske obaveze referentnog Kreditni događaji su definisani od strane
subjekta, kao i da se odnose na poseban Međunarodnog udruženja za svopove i
spisak određenih obveznica izdatih od derivate (International Swaps and Derivatives
strane referetnog subjekta. Najčešće se Association - ISDA). Kod standardnih kreditnih
primenjuju krediti i obveznice. derivata, postoji šest osnovnih kreditnih
• Kupac zaštite - subjekat koji traži zaštitu događaja:
od rizika neizvršenja referentne obaveze. 1. Stečaj. Do stečaja referentnog subjekta
Alternativno se naziva prodavac rizika. dolazi ukoliko postane nesolventan ili je u
U kupce zaštite obično spadaju banke ili nemogućnosti da otplati dug.
finansijski posrednici koji su izloženi riziku Odnosi se na bilo koji administrativni
kreditne aktive. U tom slučaju glavni cilj dokument, izjavu, postupak, ili odluku koja
kupca zaštite je hedžing kreditnih rizika koji potvrđuje da referentni subjekat više nije u
su prisutni u kreditnoj aktivi. stanju da ispuni svoje obaveze.
Kupovina zaštite pruža mogućnost 2. Neplaćanje. Do neplaćanja dolazi kada
sintetičkog transfera kredita, i na taj način referentni subjekat ne izvrši plaćanje
se izbegavaju problemi vezani za stvarnu po jednoj od svojih obaveza, kao što su
prodaju kredita, jer referentna aktiva ostaje obveznica ili kredit.
kod kupca zaštite. Prema tome, motivacija 3. Ubrzanje obaveze. Do ubrzanja obaveze
kupca zaštite je da transferiše rizik držanja dolazi kada se brzina obaveze referentnog
izloženosti, bez transferisanja aktive. subjekta poveća zbog događaja neizvršenja.
• Prodavac zaštite - alternativno se naziva Predstavlja rizik da će obaveza referentnog
kupac rizika. Motivisan je povećanjem subjekta biti ubrzana, odnosno da će
prinosa, ili načinom da ostvari zaradu od obveznica biti proglašena za odmah dospelu
sintetičkih izloženosti riziku gde direktno i plativu posle neizvršenja.
stvaranje portfolija ili nije moguće ili nije 4. Neizvršenje obaveze - odnosi se na rizik da
podesno. Nije neophodno da stvarno referentni subjekat neće izvršiti bilo koju od
poseduje referentnu aktivu. U transakcijama svojih obaveza.
na vanberzanskom tržištu, u prodavce zaštite 5. Repudijacija/moratorijum. Repudijacija se
spadaju osiguravajuće kompanije, banke, odnosi na rizik da referentni subjekat ili
hedž fondovi, investicione kompanije, itd. država objave moratorijum nad obavezom
• Teorijska vrednost. S obzirom na to da nije refrentnog subjekta.
neophodno da prodavac zaštite stvarno 6. Restrukturiranje - odnosi se na rizik da će
poseduje referentnu aktivu i da kupac referentni subjekat ugovoriti da neki od
zaštite ne mora da drži referentnu aktivu njegovih dugova, ili svi njegovi dugovi,
iste vrednosti na koju je ugovor zaključen, budu restrukturirani, što dovodi do
kreditni derivati se zaključuju po teorijskoj negativne promene u njegovom kreditnom
vrednosti. Kreditni derivati koriste teorijsku bonitetu.
bankarstvo 1 2013
118
All credit derivatives are having the assets of the same value as contracted, credit
following characteristics, regardless of which derivatives are contracted at a theoretical
particular instrument is in question: value. Credit derivatives are using
• Reference entity (party) - is identifying one theoretical value as a reference value when
issuer (or several issuers) whose default calculating protection premium which is
causes credit event to occur. Reference paid by the protection purchaser, and the
entity may be corporate, sovereign, or any payment in case of default which is made
other form of legal entity that has engaged by the protection seller.
in borrowing. • Credit event - is a precisely defined event of
• Reference obligations or reference assets. default, which is mainly defined in respect
Reference obligations pertain to the assets to the reference entity and the reference
issued by the reference entity. They are obligation. It refers to the fact that the
used in determining credit event and in reference entity is currently (or is soon to
calculating compensation rate (which is be) exposed to financial distress, and causes
used in calculating payment in case of termination of the credit derivative contract
default). They may comprise any financial and transfer of payment, in case of default,
obligations of the reference entity, but also from protection seller to protection buyer.
refer to a special list of certain bonds issued Credit events are defined by the International
by the reference entity. Most often they Swaps and Derivatives Association - ISDA. In
apply to credits and bonds. standard credit derivatives there are six basic
• Protection purchaser - entity purchasing credit events defined:
protection from defaulting on reference 1. Bankruptcy. Bankruptcy of the reference
obligation. Alternatively it is called risk entity occures in case of its insolvency or
seller. Protection purchasers usually are the inability to repay its debts. It refers to any
banks or financial intermediaries who are administrative document, declaration,
exposed to the credit assets risks. In this case action, or decision, which ascertain that the
the main objective of protection purchaser is reference entity is no longer able to serve its
hedging of credit risks that are embedded in obligations.
the credit assets. 2. Default. Failure to pay the amounts due
Protection purchase offers the option of which occurs when the reference entity
synthetic credit transfer, thus avoiding defaults on payment of an underlying
problems linked with real sale of credit, as obligation, such as on bonds or credit.
the reference assets remain in possession 3. Accelerated obligations. Acceleration of
of the protection buyer. Consequently, obligations occurs when the dynamics of
motivation of protection purchaser is to obligation of the reference entity accelerates
transfer exposure risk, without transferring due to the default event. It is a risk that
assets. the obligation of the reference entity will
• Protection seller (provider) - alternatively be accelerated, i.e. that the bond will be
called risk purchaser, is motivated by higher proclaimed promptly due for payment and
return, or ways to make profit from synthetic payable on default.
risk exposure, where direct portfolio 4. Obligation default - risk that the reference
creation is either impossible or not suitable. entity will fail to settle any of its obligations.
It is not necessary for him to really own the 5. Repudiation/Moratorium. Repudiation
reference assets. In transactions on the over- refers to the risk that the reference entity or
the-counter market, protection sellers are the government will declare a moratorium
insurance companies, banks, hedge funds, on the obligation of the reference entity.
bankarstvo 1 2013
119
definicijama ISDA, mogu sami da definišu ili kredita) prodavcu zaštite, a za uzvrat
kreditne događaje. prodavac zaštite plaća kupcu iznos koji
• Obaveštenje o nastupanju kreditnog je jednak teorijskoj vrednosti transakcije.
događaja - neopozivo obaveštenje da je U ugovoru mogu biti definisane i
nastupio kreditni događaj, koje jedna alternativne emisije referentnog subjekta
ugovorna strana kod kreditnog derivata koje kupac može dostaviti prodavcu, a
daje drugoj ugovornoj strani. koje se nazivaju isporučive obveznice.
• Obaveštenje o javno dostupnim Ukoliko je navedeno više isporučivih
informacijama - obaveštenje koje potvrđuje obveznica, kupac zaštite će dostaviti
da je kreditni događaj nastupio. U tom najjeftiniju od ponuđenih. Isporuka se
obaveštenju mora da bude naveden izvor obavlja u roku od 30 dana od datuma
„javno dostupnih informacija“, koji može nastupanja kreditnog događaja. Datum
da se odnosi na bilo koje internacionalno saldiranja će biti ili onaj oko kog su se
priznate, objavljene ili elektronski prikazane dogovorile ugovorne strane ili najduži
izvore vesti (na primer: Wall Street Journal, uobičajen period na tržištu.
Reuters, ili Bloomberg). Ovaj metod saldiranja podrazumeva
• Ročnost - period u kome je derivatni ugovor da kupac zaštite prodaje diskontovane
na snazi. Rok prestaje istekom određenog dužničke instrumente (zbog nastupanja
vremena ili nastupanjem kreditnog kreditnog događaja) po paritetnoj
događaja, zavisno od toga šta nastupi ranije. vrednosti. Zbog toga je neophodno
Ročnost kreditnog derivata ne mora da se da se na početku sklapanja ugovora
podudara sa ročnosti osnovne aktive. definiše koje će instumente (isporučive
• Premija - naknada za kupovinu zaštite koju obveznice) kupac zaštite moći da dostavi
kupac zaštite plaća prodavcu zaštite tokom prodavcu zaštite u slučaju nastupanja
ročnosti kreditnog derivata. kreditnog događaja.
Ako ne nastupi kreditni događaj, tokom Prilikom izbegavanja problema vezanih
ročnosti ugovora, kupac zaštite plaća za određivanje tržišne vrednosti
premiju a istekom određenog vremena referentne obaveze, fizičko saldiranje je
ugovor je završen. Ako nastupi kreditni pogodnije, jer prodavcu zaštite pruža
događaj, prodavac zaštite plaća kupcu bolje uslove u ugovoru, s obzirom na to da
zaštite, i ugovor prestaje bez čekanja na istek mu omogućava da direktno pregovara sa
ročnosti ugovora. administratorima referentnog subjekta.
• Isplata u slučaju neizvršenja ili plaćanje Pored toga, prodavac zaštite može da
zaštite. Isplate u slučaju neizvšenja ima koristi i ukoliko postoji mogućnost
predstavljaju iznose koje prodavac zaštite da se izvrši naplata potraživanja vezana
mora da plati kupcu zaštite ukoliko je za neizvršenja osnovne aktive.
nastupio kreditni događaj. Plaćanje zaštite Fizičko saldiranje je najčešći metod
je paritetna vrednost plus narasla kamata saldiranja između strana u bilateralnim
(koja se izračunava na teorijsku vrednost) poslovima, mada je tržište počelo
referentne aktive (kod fizičkog saldiranja) postepeno da preferira novčano
ili razlika između takve paritetne vrednosti saldiranje ili trgovinu sa fiksnom
plus narasla kamata i tržišna vrednost naknadom.
referentne aktive posle kreditnog događaja 2. Novčano saldiranje. Kod novčanog
(kod novčanog saldiranja). Prema tome, saldiranja prodavac zaštite kompenzuje
plaćanja zaštite nisu povezana sa stvarnim kupca zaštite za gubitke koje snosi zbog
gubicima koje snosi kupac zaštite. kreditnog događaja, a nema transfera
bankarstvo 1 2013
• Saldiranje - nastaje kada nastupi kreditni referentne aktive već ona ostaje kod
događaj. Postoje tri mehanizma saldiranja: kupca zaštite. U ovom slučaju, u
1. Fizičko saldiranje. Kod fizičkog saldiranja trenutku saldiranja, prodavac zaštite
kupac zaštite dostavlja portfolio plaća kupcu zaštite iznos koji je jednak
referentnih obaveza (najčešće obveznica paritetnoj vrednosti (100%) umanjenoj
120
restructuring are the most frequent credit losses suffered by the protection buyer.
events. Contracting parties in a credit derivative • Settlement - takes place when the credit
may select one or more credit events. If they event occurs. There are three settlement
are using documents which are not compliant mechanisms:
with the ISDA definitions, they may themselves 1. Physical settlement/ In physical
define credit events. settlement the protection purchaser
• Credit event notification - an irrevocable is submitting portfolio of reference
notification that a credit event has occurred, obligations (most often bonds or credits)
notification forwarded by one contracting to the protection seller, and the protection
party in the credit derivative deal to the seller, in turn, pays protection buyer an
other contracting party. amount equal to the theoretical value of
• Notification of publicly available transaction. Contract may define also
information - notification confirming that a alternative issues of the reference entity
credit event had occurred. This notification that the buyer may submit to the seller,
must state the source “of publicly available and which are designated as deliverable
information”, which may refer to any bonds. If several deliverable bonds
international, recognised, published, or in are quoted, protection purchaser will
an electronic form presented, news sources submit the cheapest one among those
(for example: Wall Street Journal, Reuters, offered. Delivery must be made within
or Bloomberg). 30 days from the date of the credit event
• Tenor - is a period when a derivatives occurrence. Settlement date will be either
contract is in force. Tenor ceases when a the date agreed upon by the contracting
certain period of time has elapsed, or when a parties, or the longest customary period
credit event has occurred, whichever comes prevailing on the market.
earlier. Credit derivative tenor does not have This settlement method designates
to match tenor of underlying asset. that the protection purchaser is selling
• Premium - is a fee for protection purchase discounted debt instruments (due to
which the protection buyer must pay to the the credit event occurrence) at par
protection seller during the credit derivative value. Hence it is necessary, early in
tenor. If a credit event should fail to occur the contractual phase, to define which
during contract tenor, protection buyer of the instruments (deliverable bonds)
will pay premium, and after a certain time protection buyer will be able to submit to
has elapsed, contract shall be terminated. the protection seller in case credit event
If a credit event has occurred, protection is to occur.
seller shall effect payment to the protection In the attempt to avoid problems linked
buyer, and the contract shall be terminated with determining market value of the
forthwith, without awaiting the contract to reference obligation, physical settlement
expire. is more appropriate, as it offers protection
• Payment in case of default or protection seller better contract terms, allowing
payment. Payment in case of default protection seller to directly negotiate
designate amounts that the protection with the administrators of the reference
seller must pay to the protection buyer in entity. In addition, protection seller may
case credit event has occurred. Protection have benefits if there is an option for
payment is at a par value plus interest the collection of receivables to be made,
accrued (calculated on theoretical value) on linked with the default in underlying
the reference asset (in physical settlement), assets.
bankarstvo 1 2013
or the difference between such parity value Physical settlement is the most frequent
plus accrued interest and market value of method for settlement between parties
the reference asset after the credit event has in bilateral deals, although the market
occurred (in money settlement). Therefore, has gradually started to prefer money
protection payments are not linked to real settling, or trade in fixed fees.
121
za vrednost referentne obaveze nakon predstavljaju najrasprostranjeniju vrstu
neizvršenja. Ova vrednost se određuje kreditnih derivata i uključeni su u najveći
korišćenjem kotacija za referentnu broj transakcija na tržištu. Najpoznatiji
obavezu sa sekundarnog tržišta. Lice kreditni derivati koji glase na jedno ime
koje je odgovorno za određivanje tržišne su: svopovi kreditnih neizvršenja, svopovi
cene se naziva agent kalkulacije. Ukoliko ukupnog prinosa i opcije na kreditni spred.
je izabrano, saldiranje se vrši u roku od Kreditni derivati koji glase na više imena
5 radnih dana od datuma nastupanja podrazumevaju zaštitu od neizvršenja od
kreditnog događaja. strane više referentnih subjekata, kao što je
Proces utvrđivanja cena je ponekad to na primer slučaj kod portfolio bankarskih
komplikovan, a ova vrsta saldiranja nije kredita. Umesto toga da svaka hartija od
jednaka fizičkom saldiranju jer ne postoji vrednosti u portfoliju mora da se razmatra
najjeftinija isporučiva obveznica, pa zasebno, oni omogućavaju investitorima
samim tim ima manje prednosti za kupca i emitentima da transferišu deo kreditnog
zaštite. Međutim, mnogi investitori ne rizika ili ukupan kreditni rizik vezan za
žele (ili iz regulatornih razloga ne mogu) portfolio hartija od vrednosti kod kojih
da primenjuju fizičko saldiranje. U može da nastupi neizvršenje obaveza.
skorije vreme je polako usvojeno rešenje Najpoznatiji kreditni derivati koji glase na
koje podrazumeva primenu procedure više imena su: korpa svopova sa najvećom
novčanog saldiranja na portfoliju verovatnoćom neizvršenja i sintetizovane
obveznica koja kopira karakteristike kolateralizovane dužničke obaveze.
fizičkog saldiranja. • Kreditni derivati pisani za korporativne
Postoji nekoliko prednosti primene referentne subjekte i kreditni derivati pisani
novčanog saldiranja. Kao prvo, manje za državne referentne subjekte.
administracije je vezano za novčano Kod kreditnih derivata referentni subjekat
saldiranje. Takođe, novčano saldiranje ne može biti korporativni ili državni. Najveća
izlaže kupca zaštite bilo kojim rizicima razlika između kreditnih derivata pisanih
ukoliko ne bude isporučivih obveznica za korporativne referentne subjekte i
na tržištu. To može biti od velikog značaja kreditnih derivata pisanih za državne
ukoliko dođe do manjka likvidnosti na referentne subjekte se ogleda u osnovnim
tržištu, i smanji se vrednost isplate u karakteristikama tržišta na kojima obavljaju
slučaju saldiranja. transakcije. Kreditni derivati pisani za
3. Trgovina sa fiksnom naknadom. U ovoj refrentne subjekte koji nisu državni,
vrsti saldiranja, iznos koji prodavac plaća posebno oni pisani za korporativne subjekte
u slučaju nastupanja kreditnog događaja koji imaju visoki investicioni rejting, se
je unapred određen (50% paritetne ugovaraju na tržištu koje je znatno veće
vrednosti). S obzirom na to ova vrsta od tržišta za državne referentne subjekte.
saldiranje se obavlja vrlo brzo. Jedan od ograničavajućih faktora tržišta
za kreditne derivate pisane za državne
Vrste kreditnih derivata referentne subjekte jeste taj što je baza
investitora za nedržavni dug bitno veća
Kreditni derivati se javljaju u različitim nego za državni dug. Takođe, modeliranje i
oblicima, i postoji više načina na koji mogu da kvantifikovanje kreditnog rizika vezanog za
se grupišu u različite kategorije. državne dužnike može biti komplikovanije
Tri osnovna načina njihovog grupisanja su nego za korporativne korisnike kredita.
sledeća: Na primer, državni subjekti, posebno u
bankarstvo 1 2013
• Kreditni derivati koji glase na jedno ime i zemljama u razvoju, su podložniji rizicima
kreditni derivati koji glase na više imena. vezanim za političku nestabilnost nego što
Kreditni derivati koji glase na jedno ime je većina korporacija u razvijenim zemljama.
podrazumevaju zaštitu od neizvršenja od • Kreditni derivati koji zahtevaju finansiranje
strane jednog referentnog subjekta. Oni i kreditni derivati koji ne zahtevaju
122
2. Cash settlement. In case of cash Types of credit derivatives
settlement, protection seller compensates
the protection buyer for losses incurred Credit derivatives appear in different
due to the credit event, and there is no shapes and forms and there are several ways
transfer of reference asset as it remains of classifying them in different categories. There
with the protection buyer. In this case, are three basic ways of classification as follows:
at the time of settlement, protection • Credit derivatives registered in one name,
seller pays protection buyer the amount and credit derivatives registered in several
equal to the par value (100%), decreased names. Credit derivatives registered in one
for the value of the reference obligation name designate protection from default
after default. This value is determined by one reference entity. They are the most
by using quotation for the reference broadly present type of credit derivatives
obligation from the secondary market. and include the largest number of
Person responsible for determining the transactions on the market. The best known
market value is called calculation agent. credit derivatives registered in one name
If selected, settling is done within 5 are the following: credit default swaps, total
working days from the date credit event return swaps, and credit spread options.
has occurred. Credit derivatives registered in several
The process of pricing is at times names designate protection from default
complicated, and this form of settlement by several reference entities, such as is the
is not an equivalent to the physical case, for example, with banking credits
settlement as there is no cheapest bond portfolio. Instead of examining separately
to be delivered, and thus there are fewer every security kept in a portfolio, they allow
advantages for protection buyer. Many investors and issuers to transfer one part
investors, however, do not wish (or are of the credit risk or the entire credit risk
not able for regulatory reasons) to apply linked with the securities portfolio where
physical settlement. Recently, there was there is the possibility of default. The best
a gradual adoption of the solution which known credit derivatives registered in
implies application of the cash settlement several names are the following: basket of
procedure on the bonds portfolio, which the highest probability of default swaps, and
is a copy of the physical settling features. synthesised collateralised debt obligations.
There are several advantages in the • Credit derivatives drawn for corporate
implementation of cash settlement. Firstly, reference entities and credit derivatives
less administration is involved in cash written for sovereign reference entities. In
settlement. In addition, cash settlement case of credit derivatives, reference entity
does not expose protection buyer to any may be corporate or sovereign. The major
risks if there should be a shortage of bonds difference between credit derivatives written
for delivery on the market. This may be for corporate reference entities and credit
of great importance if there should be a derivatives written for sovereign reference
shortage of liquidity on the market, and entities is reflected in the embedded market
the value of payment to be effected in case characteristics where transactions are
of settling should fall. taking place. Credit derivatives written
3. Fixed fee trade. In this type of settlement, for reference entities which are not the
the amount that the seller is paying in case sovereign ones, especially those written
of credit event occurrence is determined for corporate entities which are having a
in advance (50% of the par value). In higher investment rating, are contracted on
bankarstvo 1 2013
this light, this type of settlement can be the market which is substantially larger than
completed promptly. the market for sovereign reference entities.
One of the limiting factors of the market for
credit derivatives written for the sovereign
reference entities is the fact that the investor
123
finansiranje. Kod kreditnih derivata spreda između dve dužničke hartije od
koji zahtevaju finansiranje, čiji su glavni vrednosti (uglavnom rizične i nerizične
predstavnici kreditne note, investitor hartije od vrednosti), nezavisno od apsolutne
vezan za notu je prodavac kreditne zaštite i vrednosti kamatnih stopa. Vrednost ovih
unapred vrši plaćanje kupcu zaštite prilikom proizvoda zavisi od razvoja kreditnog
kupovine note, koje se koristi za saldiranje spreda vezanog za referentne hartije od
prilikom nastupanja potencijalnih kreditnih vrednosti, ali, za razliku od derivata koji
događaja. Kod ove vrste derivata se na u osnovi imaju mogućnost neizvršenja,
početku transakcije kupcu isplaćuje zaštita nije izričito vezana za nastupanje unapred
koja služi kao osiguranje; ukoliko ne nastupi definisanih kreditnih događaja. Glavni
kreditni događaj, isplata se vraća prodavcu predstavnici ove vrste derivata su opcije na
zaštite. Samim tim, prodavac zaštite mora kreditni spred.
da obezbedi sredstva (gotovinu) na početku • Proizvodi koji omogućavaju sintetičku
transakcije da bi mogao da izvrši plaćanje replikaciju performansi bazne aktive -
unapred. dozvoljavaju investitorima da sintetički
Kod kreditnih derivata koji ne zahtevaju replikuju ekonomsku performansu
finansiranje, čiji su glavni predstavnici izloženosti kreditnom riziku, bez obaveze
svopovi kreditnih nezvršenja, prodavac da kupe refrentni instrument. Za uzvrat,
zaštite ne vrši plaćanje unapred kupcu ugovorna strana koja sintetički prodaje
zaštite. Plaćanje zaštite se vrši po završetku svoju izloženost hedžuje kreditni rizik
transakcije prilikom nastupanja kreditnog bazne aktive. Glavni predstavnici ove vrste
događaja (ukoliko postoji kreditni događaj). derivata su svopovi ukupnog prinosa.
U suprotnom se plaćanje uopšte ne vrši.
Kupac zaštite je izložen većem riziku Razvoj tržišta kreditnih derivata
da druga ugovorna strana neće ispuniti
obavezu, odnosno riziku da prodavac zaštite Razvoj tržišta kreditnih derivata predstavlja
neće biti u mogućnosti da izvrši predstojeće odgovor na rastući značaj upravljanja kreditnim
plaćanje. U najvažnije kreditne derivate koji rizikom. Tržište kreditnih derivata je izuzetno
ne zahtevaju finansiranje takođe spadaju: poraslo, u prilično kratkom vremenskom
svopovi ukupnog prinosa i opcije na kreditni periodu, i razvilo se od malog ogranka
spred. kreditnog tržišta u jedno od najznačajnijih na
Dugi način klasifikovanja kreditnih derivata svetskom nivou.
je u tri osnovne kategorije, u zavisnosti od Prvobitno su identifikovane tri glavne faze
njihovih mehanizama rada i primene: razvoja tržišta kreditnih derivata:
• Derivati koji u osnovi imaju mogućnost • Zaštitni proizvod
neizvršenja - predstavljaju veoma značajnu Prva faza je trajala od kraja 1980-ih do početka
inovaciju na tržištu, s obzirom na to 1990-ih godina, a za nju su karakteristični
da omogućavaju primenu strategija za pokušaji banaka da delimično eliminišu
obavljanje transakcija i hedžing koje nisu izloženost kreditnom riziku. Kreditni
postojale na finansijskim tržištima pre derivati su nastali i razvili se početkom 1990-
njihovog nastanka. Oni pružaju zaštitu ih godina, usled činjenice da su se brokeri na
svojim korisnicima od nastupanja kreditnog tržištu suočili sa eksponencijalnim rastom
događaja (ili nastupanja više kreditnih vanberzanskih transakcija. Investicione
događaja), koji je obično definisan u ugovoru banke koje su imale ulogu posrednika nisu
kao neplaćanje od strane referentnog bile zadovoljne tradicionalnim metodama
subjekta. Glavni predstavnici ovih derivata upravljanja kreditnim rizikom. Takođe,
bankarstvo 1 2013
124
base for non-sovereign debt is significantly allow strategies to be applied for making
larger than the one for the sovereign debt. transactions and hedging that were not
In addition, modelling and quantification previously present on the financial markets
of credit risk linked with the sovereign before they were introduced. They offer
obligors may be more complicated than protection to their users from credit event
for the corporate credit beneficiaries. For occurrence (or occurrence of several credit
example, sovereign entities, especially in the events), which is usually defined in the
developing countries, are more susceptible contract as a default by the reference entity.
to political instability risks than are the The main representatives of these derivatives
majority of corporations in developed are the following: credit default swaps, and
countries. credit notes.
• Credit derivatives requiring funding and • Derivatives having an underlying credit
credit derivatives not requiring financing. In spread - allow investors to take up position on
case of credit derivatives requiring funding, the future level of the credit spread between
having as their main representatives credit two debt securities (mostly between a risky
notes, investor linked to a note is the credit security and a risk-free one), irrespective
protection seller, and is effecting payment of the absolute value of the interest rates.
in advance to the protection buyer during The value of these products depends on the
purchase of the note, which is used for development of the credit spread linked
settling in case credit event is to occur. with the reference security, but contrary to
In this type of derivatives, at the start of the derivatives with underlying option of
transaction, buyer is paid protection which default, this value is not explicitly linked
serves as insurance; in case credit event with the occurrence of in advance defined
should fail to occur, payment is returned credit events. The main representatives of
to the protection seller. Hence protection this type of derivatives are the credit spread
seller must secure funds (cash) at the start options.
of transaction in order to be able to make • Products allowing for synthetic replication
advance payment. of the underlying asset performance - allow
In case of credit derivatives which do not investors to synthetically replicate economic
require funding, their main representatives performance of the credit risk exposure,
being credit default swaps, protection without obligatory purchase of the reference
seller will not make advance payment to instrument. In return, contracting party
the protection buyer. Protection payment which is synthetically selling its exposure,
is effected at the end of transaction, during is hedging credit risk of the underlying
credit event occurrence (if credit even is to asset. The main representatives of this type
occur). In the case of contrary, no payment of derivatives are the total return swaps.
will be made. Protection buyer is exposed to
a higher risk of the counterparty defaulting Credit derivatives market
on its obligation, i.e. exposed to the risk that development
the protection seller will not be able to make
the forthcoming payment. Amongst the most Credit derivatives market development is a
important credit derivatives not requiring response to a growing importance of the credit
funding are also the following: total return risk management. Credit derivatives market has
swaps, and credit spread options. extremely grown over a rather short period of
Another way to classify credit derivatives time, and has developed from a small branch of
is to group them into three main categories, the credit market into one of the most important
bankarstvo 1 2013
125
Iz tog razloga su banke konstruisale svopove derivata. Treća lica (regulatorni organi,
kreditnog rizika koji omogućavaju hedžing rejting agencije) su ozbiljnije počela da prate
potencijalnih neizvršenja njihovih klijenata, dešavanja na tržištu.
a s obzirom na to da oni donose više prinose, U međuvremenu, identifikovana je još jedna
bile su u mogućnosti da lakše pronađu faza razvoja tržišta kreditnih derivata, pa se
zainteresovanu drugu ugovornu stranu. samim tim može smatrati četvrtom fazom:
• Bilateralno tržište • Afirmisano derivatno tržište
Druga faza je počela oko 1991. godine i Ova faza se može posmatrati i kao faza
trajala je približno do kraja 1990-ih godina. razvoja likvidnog tržišta. Od 1999. -2000.
Tokom ove faze pojavilo se posredničko godine, tržište kreditnih derivata je pretpelo
tržište, na kojem su dileri primenjivali znatne strukturne promene, koje su kasnije
tehnologiju derivata prilikom transfera prouzrokovale sledeća dešavanja:
kreditnog rizika, dok su investitori ulazili • Uvođenje evra na tržište kapitala krajem
na tržišta u cilju pronalaženja i preuzimanja 1999. godine i nastanak pravog kreditnog
izloženosti kreditnom riziku. U periodu tržišta na evropskom nivou.
od 1994. do 1995. godine, tržište kreditnih • Uvođenje proizvoda druge generacije
derivata je postalo bilateralno, i na njemu (egzotičnih derivata i strukturisanih
su banke koje su konstruisale te proizvode proizvoda), i povećanje likvidnosti na
počele da stupaju u kontakt sa potencijalnim standardnim tržištima.
investitorima, i da grupišu proizvode • Obavljanje bankarskih transakcija
prilagođene njihovim zahtevima vezano za vezanih za arbitražu propisanog kapitala.
profil rizika i prinosa. Promet i vrste kreditnih derivata su se
Još jedna inovacija u ovoj fazi je bila znatno uvećali, uz istovremeno povećanje
pojava sintetičke sekjuritizacije, koja je broja i raznovrsnosti učesnika u koje su spadale
omogućila širu primenu kreditnih derivata, komercijalne banke, osiguravajuće kompanije,
u okviru strukturnog finansiranja, odnosno i drugi institucionalni investitori (penzioni
kombinovanje derivata sa gotovinskim fondovi, menadžeri aktive, hedž fondovi, itd).
instrumentima ili sa drugim derivatima Kao rezultat toga, tržište kreditnih derivata je
u cilju postizanja zahtevanog stepena postalo referentno tržište za procenu kreditnog
izloženosti riziku. rizika, kako za postojeće emitente tako i za
• Tržišni bum buduće korisnike kredita.
U periodu od 1996. do 1997. godine, tržište Određeni nedostaci ranije spomenutih
kreditnih derivata se „demokratizovalo“. definicija ISDA, su doveli do toga da 2003.
Treća faza podrazumeva razvoj godine ISDA objavi nove, odnosno dopunjene,
kreditnih derivata, koji su od nove vrste standardne definicije vezane za kreditne
proizvoda vremenom postali proizvodi derivate. Takođe, 2004. godine je započeta
sa karakteristikama koje su slične drugim trgovina indeksima, koja je nakon toga znatno
vrstama derivata. rasla iz godine u godinu.
Svopovi kreditnih neizvršenja su se u ovom U ovoj poslednjoj fazi, uveden je veliki broj
periodu pojavili i postali najzastupljeniji hedž fondova, kako na strani kupaca tako i na
predstavnici kreditnih derivata, dok je strani prodavaca. Hedž fondovi koriste kreditne
u oblasti strukturnog finansiranja došlo derivate u razne svrhe, koje utiču na povećanje
do kombinovanja kreditnih derivata i efikasnosti tržišta i utvrđivanja cena, kao i na
formiranja arbitražnih kolateralizovanih povećanje likvidnosti.
dužničkih obaveza, konstruisanih u skladu
sa zahtevima investitora. ISDA je 1999. Učesnici na tržištu kreditnih derivata
bankarstvo 1 2013
126
Phase one lasted until the end of the 1980s derivatives which have, from a new type
and the beginning of 1990s, and it was of product, in time, become products with
characteristic for the attempt by banks to characteristics similar to those of other types
partially eliminate credit risk exposure. of derivatives.
Credit derivatives emerged and started to Credit default swaps have emerged
develop early in the 1990s due to the fact in this period and were to become the
that brokers on the market were faced with broadest present representatives of credit
an exponential growth of over-the-counter derivatives, while in the field of structured
transactions. Investment banks, which had funding what occurred was a combination
the role of intermediaries, were not satisfied of credit derivatives and formation of
with the traditional credit risk management arbitrage collateralised debt obligations,
methods. In addition, they were constrained constructed in accordance with the investor
by a moderate capitalisation and the need requirements. ISDA 1999 published
for daily settling of their portfolios with standard definitions for credit derivatives
the market. Hence what they needed were which were applied together with the Main
some new instrument for the credit risk Contract. In addition, traders started to
management. manage risk by using credit derivatives
For this reason, banks constructed credit portfolio diversification. The third persons
risk swaps which allowed for hedging (regulatory authorities, rating agencies)
of potential defaults by their clients, and gradually and more seriously engaged in
mindful of the fact that they were bringing monitoring market developments.
higher returns, they were able to easily find In the meantime, another phase of the
interested contractual counterparties. credit derivatives market development was
• Bilateral market identified, and thus it may be deemed to be
Phase two started by 1991 and it lasted up phase four:
to the end of 1990s. During this phase what • An affirmed derivatives market
emerged was the intermediaries market This phase may be observed also as a
where dealers were applying derivative development phase of the liquid market.
technology on the credit risk transfer, while From 1999-2000, credit derivatives market
investors were entering the market with suffered substantial structural changes
the aim to find and take over credit risk which have later caused the following
exposures. In the period from 1994 to 1995, developments to take place:
credit derivatives market became a bilateral • Introduction of euro on the capital
one, where the banks that have constituted market in late 1999 and the emergence of
those products ventured into establishing a real credit market at a European level.
contacts with potential investors, and • Introduction of second generation
into grouping products adjusted to their products (exotic derivatives and
requirements regarding risk profile and structured products) and a boost in
return. liquidity on standard markets.
Another novelty in this phase was the • Execution of banking transactions linked
emergence of synthetic securitisation which with arbitrage of regulatory capital.
allowed for a broader application of credit Turnover and types of credit derivatives have
derivatives within the structured funding, substantially grown, with the simultaneous
i.e. a combination of derivatives with the growth in number and diversity of participants
cash instruments or with other derivatives, including commercial banks, insurance
for purpose of obtaining the required degree companies, and other institutional investors
bankarstvo 1 2013
127
izloženi u drugim oblastima poslovanja. Prednosti kreditnih derivata
U njih spadaju: komercijalne banke,
osiguravajući, penzioni i uzajamni fondovi. Kreditni derivati imaju veoma važnu i
• Krajnji prodavci zaštite. Oni predstavljaju kontroverznu ulogu na finansijskim tržištima. S
entitete koji traže način da diversifikuju jedne strane, kreditni derivati donose prednosti,
tekući portfolio, i to mogu da učine efikasnije dok, s druge strane, nose skrivene opasnosti i
sa kreditnim derivatima. Entitet koji rizike. Kao glavne prednosti kreditnih derivata
pruža zaštitu traži izloženost određenom se mogu izdvojiti sledeće:
kreditnom riziku ili grupi kreditnih rizika. • Razdvajanje tržišnog i kreditnog rizika.
• Posrednici. U njih spadaju ogranci Kreditni derivati su omogućili razdvajanje
komercijalnih banaka koji obavljaju poslove kreditnog rizika od tržišnog rizika, kao i
investicionog bankarstva i brokerske i prenos kreditnog rizika na druge učesnike na
dilerske firme koje se bave trgovinom tržištu. Izdvajanje kreditnog rizika je obično
hartijama od vrednosti. Njihova glavna moguće, bez obzira na vrstu aktive u osnovi.
uloga na tržištu kreditnih derivata je da Prema tome, kreditni derivati omogućavaju
krajnjim korisnicima obezbede likvidnost. upravljanje i hedžing kreditnim rizikom
Oni obavljaju transakcije za sopstveni račun zasebno od drugih vrsta rizika vezanih
u potrazi za arbitražnim i drugim prilikama. za aktivu u osnovi. Kao rezultat toga, ovi
U najbitnije učesnike na tržištu kreditnih derivati omogućavaju investitorima da
derivata spadaju: banke, osiguravajuće bolje usklade stvarnu i očekivanu izloženost
kompanije, penzioni fondovi, menadžeri aktive riziku.
i hedž fondovi. Svaki od navedenih učesnika • Trgovina kreditnim rizikom. Druga
ima različite motive za primenu kreditnih prednost kreditnih derivata, koja je
derivata, koji su sumirani u sledećoj tabeli. direktno povezana sa prvom, je činjenica da
Učesnici
na tržištu
Razlozi za kupovinu zaštite Razlozi za prodaju zaštite
kreditnih
derivata
- Geografska / privredna
- Upravljanje kreditnim rizikom
diversifikacija kreditnog portfolija
- Olakšice u pogledu zahteva za kapitalom
Banke - Eliminisanje troškova hedžinga
- Upravljanje bilansom stanja
ostalih kredita
- Nedostatak likvidnosti (motiv finansiranja)
- Uvećanje prinosa
- Diversifikacija
- Smanjenje ili diversifikacija koncentracije
Osiguravajuće - Uvećanje prinosa
finansijskih obaveza u portfoliju osiguranja, bez
kompanije - Usaglašavanje rokova dospeća
potrebe za prodajom obveznica
finansijskih obaveza
- Posredovanje na tržištu
- Posredovanje na tržištu
Dileri - Geografska/ privredna
- Upravljanje kreditnim rizikom
hartijama od diversifikacija kreditnog portfolija
- Olakšice u pogledu zahteva za kapitalom
vrednosti - Eliminisanje troškova hedžinga
ostalih kredita
- Konstruisanje strateške trgovine - Eksploatacija pozitivnih ocena
Menadžeri
- Eksploatacija negativnih ocena razvoja kreditnog kreditnog boniteta (uvećanje
aktive
boniteta prinosa i diversifikacija)
- Eksploatacija negativnih ocena kreditnog kvaliteta
- Eksploatacija pozitivnih ocena
Hedž fondovi - Kombinovanje sa obveznicama ili konvertibilnim
bankarstvo 1 2013
kredita
obveznicama zbog baznih transakcija
Izvor: Ayadi, Rym, Behr, Patrick. “On the Necessity to Regulate Credit Derivatives Markets”, Journal of Banking Regulation 10 (2009) 186.
128
Certain drawbacks in the already mentioned insurance companies, pension and mutual
ISDA definitions encouraged ISDA, in the funds.
year 2003, to publish new, i.e. supplemented • End-sellers of protection. They are the
standard definitions referring to credit entities looking for ways to diversify current
derivatives. In addition, in the year 2004, index portfolio which is possible to be done more
trading started which was to record substantial efficiently with credit derivatives. The entity
year-to-year growth. providing protection is looking for exposure
In this last phase, a large number of hedge to a certain credit risk, or a group of credit
funds were introduced, both on the side risks.
of buyers and on the side of sellers. Hedge • Intermediaries. They are commercial banks
funds are using credit derivatives for different affiliations dealing in investment banking,
purposes, which are impacting growth of and brokerage and dealer firms engaged
efficacy of the market and the pricing itself, as in securities trading. Their main role on
well as giving boost to liquidity. the credit derivatives market is to secure
liquidity to the end users. They conduct
Credit derivatives market transactions for their own account in search
participants for arbitrage and other opportunities.
The most important participants on the
On the credit derivatives market there are credit derivatives market are the following:
three groups of participants: banks, insurance companies, pension funds,
• End-buyers of protection. They are the assets managers, and hedge funds. Each one of
entities searching for ways to hedge credit these participants has a different motivation for
risk to which they are exposed in other the application of credit derivatives, which are
business fields. They are: commercial banks, summed up in the following table.
Credit
derivatives
Reasons for protection purchase Reasons for protection sale
market
participants
- Geographic/economic credit
- Credit risk management
portfolio diversification
- Capital requirement benefits
Banks - Elimination of other credit
- Balance sheet management
hedging costs
- Liquidity shortage (motive for financing)
- Growth of return
- Diversification
- Reduction or diversification of financial liabilities
Insurance - Growth of return
concentration in insurance portfolio, without the
companies - Matching maturity of financial
need to sell bonds
liabilities
- Market intermediation
- Market intermediation
- Geographic/economic credit
Securities - Credit risk management
portfolio diversification
dealers - Capital requirement benefits
- Eliminating the costs of other
loans’ hedging
- Exploitation of positive
- Strategic trading constitution
Assets assessment of credit rating
- Exploitation of negative assessment of credit
managers (growth of return and
rating development
diversification)
bankarstvo 1 2013
129
mogu da izdvoje kreditni rizik dužničkog • Rešavanje problema neefikasnosti vezanih
finansijskog instrumenta i transferišu ga za regulatorne barijere. Ovo je od posebnog
trećoj strani. Kreditni derivati omogućavaju značaja za banke. Banke odavno koriste
transfer kreditnog rizika uz istovremeno kreditne derivate u cilju usklađivanja
zadržavanje vlasništva nad aktivom. zahtevane stope kapitala potrebne za
Oni bankama omogućavaju da razdvoje poslovanje sa svojim ekonomskim kapitalom,
kreditni rizik od rizika finansiranja. Prema koji služi za pokrivanje neočekivanih
tome, kreditni derivati uvode mehanizam gubitaka koji su rezultat kreditnog rizika.
koji omogućava transfer neželjenog • Povećana transparentnost kreditnog tržišta.
rizika između zainteresovanih strana, od Kreditni derivati utiču na poboljšanje
preduzeća koja imaju previše kreditnog transparentnosti prilikom vrednovanja
rizika, ili pogrešnu vrstu kreditnog rizika, ka kreditnog rizika. Pre uvođenja kreditnih
preduzećima koja su spremna da preuzmu derivata, utvrđivanje vrednosti kreditnog
taj rizik. Takođe, transferom kreditnog rizika rizika je bilo komplikovano. Kreditni
sa jednog učesnika na tržištu na drugog, derivati su vremenom postali likvidniji i
kreditni derivati omogućavaju efikasnije obuhvataju širi spektar entiteta, pa će samim
vrednovanje i distribuciju kreditnog rizika tim kreditori i investitori biti u mogućnosti
između učesnika na tržištu. da porede određivanje cena instrumenata
• Hedžing kreditnog rizika. Najbolji način kao što su obveznice i krediti sa kreditnim
hedžinga kreditnog rizika je upotreba derivatima. Učesnicima na finansijskom
instrumenata koji su direktno povezani sa tržištu može da koristi bolje razumevanje
korisnikom kredita, u koje spadaju kreditni vrednosti kredita čak iako ne učestvuju u
derivati. Oni su veoma efikasni instrumenti transakcijama sa kreditnim derivatima.
hedžinga i upravljanja kreditnim rizikom Neke od glavnih prednosti za kupce i
u cilju poboljšanja portfolio diversifikacije. prodavce kreditnih derivata su navedene u
Finansijska institucija čiji je kreditni portfolio sledećoj tabeli.
previše rizičan može da zaključi ugovor
kojim se transferiše deo tog kreditnog Tabela 2: Prednosti za kupce i prodavce kreditnih
rizika na drugo preduzeće, dok se derivata
institucija fokusira na unapređenje Prednosti za kupce Prednosti za prodavce
svog portfolija. kreditnih derivata kreditnih derivata
Druge povezane prednosti kreditnih Upravljanje rizikom i/ili
Veća likvidnost tržišta
derivata su sledeće: hedžing investicija
• Povećana likvidnost kreditnog tržišta. Povećana efikasnost
Leveridž investicija odvajanja kreditnog rizika
Kreditni derivati pružaju učesnicima
i vremenski određenog
na tržištu mogućnost trgovine
Mogućnost zarade provizija upravljanja rizikom putem
rizicima kojima ranije skoro uopšte duracije
nije moglo da se trguje zbog niskog Diversifikacija proizvoda
Portfolio diversifikacija
stepena likvidnosti. Prema tome, oni osiguranja
povećavaju likvidnost tržišta na kojima Povećena efikasnost kroz
Povećani novčani tokovi
razdvajanje hartija od
se trguje dužničkim instrumentima. kapitala
vrednosti u osnovi i/ili robe
Određena preduzeća ne emituju
javni dug već pozajmljuju novac od
banaka. Zahvaljujući kreditnim derivatima, Prednosti kreditnih derivata se
investitorima je omogućen pristup drugim mogu razdvojiti na mikroekonomske i
ugovornim stranama ili tržištima koja ranije makroekonomske, kao što je prikazano u
bankarstvo 1 2013
130
Credit derivatives advantages transferring one part of that credit risk on
to another company, while the institution
Credit derivatives play a very important yet in question is focusing on upgrading its
controversial role on financial markets. Credit portfolio.
derivatives, on the one hand, bring advantages, Other related advantages of credit
but on the other hand they embody hidden derivatives are the following:
risks and hazards. Credit derivatives main • Enhanced credit market liquidity. Credit
advantages are the following: derivatives are offering market participants
• Separation between market and credit risk. the opportunity to trade in risks which were
Credit derivatives allow for a separation to previously almost totally inaccessible for
be made between credit risk and market trading because of the low level of liquidity.
risk, and also credit risk transfer on to the Concurrently, they enhance market liquidity
other market participants. Singling out of where there is trading in debt instruments.
the credit risk is usually possible regardless Some companies are not issuing public
of the underlying type of asset. Therefore, debt but are borrowing money from banks.
credit derivatives are allowing for credit risk Thanks to the credit derivatives, investors
management and hedging separately from are now able to have access to the other
other forms of underlying asset-linked risks. counterparties or markets which were
As a result, these derivatives allow investors previously publicly inaccessible.
to better match real and anticipated risk • Potentially lower transaction costs - one
exposure. transaction dealing with credit derivatives
• Credit risk trading. Another credit usually can replace two or more transactions
derivatives advantage, directly linked with on a prompt stock exchange.
the previous one, is the fact that credit risk • Solving problems of inefficiency connected
can be singled out from the debt financial with regulatory barriers. This is especially
instrument and transferred on to a third important for banks. Banks have been using,
party. Credit derivatives allow for the credit for a long time now, credit derivatives for
risk transfer to be made, while at the same purpose of harmonising required capital
time ownership of the assets remains intact. adequacy rates for business operations
They allow the banks to separate credit risk with their economic capital, which serves as
from the funding risk. Therefore, credit provisioning for unexpected losses incurred
derivatives are introducing a mechanism from credit risk.
which enables transfer of undesirable • Higher credit risk transparency. Credit
risk between the interested parties, from derivatives are impacting an improved
a company having an excess of credit transparency in the credit risk valuation.
risk, or a wrong type of credit risk, to a Prior to the introduction of credit
company ready to take over such a risk. In derivatives, determining credit risk value
addition, through the credit risk transfer was a complicated job. Credit derivatives
from one market participant to the other, have, in time, become more liquid and
credit derivatives allow for more efficient comprise a broader spectrum of entities, and
valuation and distribution of the credit risk thus creditors and investors will be in the
between market participants. position to compare pricing of instruments,
• Credit risk hedging. The best way to hedge such as bonds and credits, with credit
credit risk is through the use of instruments derivatives. Participants on the financial
that are directly linked with the credit market may find it useful to have better
beneficiary, and they are credit derivatives. understanding of the credit value, even if
bankarstvo 1 2013
They are very efficient hedging and credit they do not participate in credit derivatives
risk management instruments for purpose transactions.
of enhancing portfolio diversification. Some of the main advantages for buyer and
Financial institution holding credit portfolio sellers of credit derivatives are presented in the
which is too risky may conclude a contract following table.
131
Tabela 3: Mikroekonomske i makroekonomske kupac kreditne zaštite ostvario gubitak,
prednosti kreditnih derivata dve stvari moraju da se dogode: da
nastane kreditni događaj vezan za
Mikroekonomske prednosti Makroekonomske prednosti
kreditnu aktivu u osnovi, i da prodavac
kreditnih derivata kreditnih derivata
kreditne zaštite ne izvrši svoje obaveze
Mogu da prenesu kreditni prema kupcu kreditne zaštite.
Omogućavaju kreditorima rizik na više tržišta i da Rizik da druga strana neće ispuniti
i investitorima bolji odabir smanje koncentraciju rizika,
rizika koje žele da preuzmu, na taj način što ga prosleđuju obavezu je prisutan u većini finansijskih
kao i mogućnost transfera stranama koje žele i koje ugovora, pa je posebno važno da se
rizika koje ne žele. su bolje pripremljene da tom riziku posveti pažnja. U skladu
preuzmu navedeni rizik.
sa rastućom ulogom hedž fondova na
Dovode do preciznijeg
tržištu kreditnih derivata, i činjenicom
vrednovanja rizika, Upotrebljavaju se u cilju
razdvajanjem kreditnog da hedž fondovi za trgovce predstavljaju
ublažavanja finansijskih
rizika od drugih rizika. šokova u privredi, i samim rizičnu drugu ugovornu stranu, rizik da
Poboljšavaju proces tim utiču na to da finansijska druga strana neće ispuniti obavezu sve
posredovanja kroz infrastruktura postane više dobija na značaju.
povećanje likvidnosti i otpornija nego ranije.
• Rizik likvidnosti. Kreditni
efikasnosti tržišta.
derivati predstavljaju ugovore
između dve strane kojima se trguje
Rizici kreditnih derivata vanberzanski, i samim tim su nelikvidni.
Oni ne odgovaraju svim učesnicima na
Iako kreditni derivati imaju mnoge finansijskom tržištu, i može da se dogodi
prednosti, primena ovih instrumenata da prilikom pokušaja prodaje svoje pozicije
podrazumeva različite propratne rizike, koji ugovorna strana u kreditnom derivatu ne
su uglavnom vezani za činjenicu da je tržište bude u mogućnosti da ostvari pravu tržišnu
kreditnih derivata novo i nedovoljno istraženo. vrednost.
Kao glavni rizici kreditnih derivata se mogu Iako broj trgovaca i količina transakcija
izdvojiti sledeći: stalno rastu, i dalje su relativno mali. Kao
• Operativni rizik - odnosi se na rizik da će posledica toga, pronalaženje druge strane za
trgovci ili menadžeri koji upravljaju aktivom okončanje ili saldiranje postojeće transakcije
nerazumno primenjivati kreditne derivate. može biti komplikovano, posebno ukoliko
Do operativnog rizika može doći usled postoje nepovoljne prilike na tržištu ili ako
grešaka u procedurama ili ukoliko učesnik ugovor sadrži neobične klauzule.
na tržištu započinje veliki broj transakcija. • Rizik modela i rizik određivanja cena.
Može da se dogodi da trgovac započne Što je tržište kreditnih derivata postajalo
transakcije bez zvaničnog ovlašćenja. razvijenije, to su matematički modeli koji se
Takođe, zbog velikog broja transakcija i primenjuju za određivanje cena kreditnih
ljudske greške može doći do zakašnjenja u derivata postajali složeniji. Kompleksni
dokumentovanju transakcija nakon što su kreditni derivati podrazumevaju primenu
ugovorene. S obzirom na to da su kreditni kompleksnih modela za vrednovanje i
derivati ugovori koji se ne prikazuju na hedžing. Rizik nastanka gubitka usled
bilansu stanja, može da dođe do prekomerne primene lošeg modela se zove rizik modela.
izloženosti kreditnom riziku, a da to ne bude Spomenuti modeli su zasnovani na složenim
prikazano na bilansu stanja. pretpostavkama vezanim za ekonomske
• Rizik da druga strana neće ispuniti obavezu parametre koji se nalaze u osnovi. Prema
- to je rizik da druga strana u kreditnom tome, cene kreditnih derivata su vezane
bankarstvo 1 2013
132
Table 2 Advantages for buyers and sellers of credit • Operational risk - refers to the risk that
derivatives traders or managers managing assets will
Advantages for buyers of Advantages for sellers of unreasonably apply credit derivatives.
credit derivatives credit derivatives Operational risk may occur due to errors
Risk management and/or in procedures or if a market participant
Higher market liquidity
investments hedging engages in a large number of transactions.
Boosted efficiency in It may happen that the trader would start a
Investment leverage
separating credit risk transaction without official authorisation.
Opportunity to earn and time-limited risk In addition, due to a large number of
commission management by duration
transactions and human error, there may
Diversification of insurance be delays in documenting transactions
Portfolio diversification
products
after they have been contracted. In view of
Enhanced efficiency the fact that credit derivatives are contracts
through separation of Enhanced capital cash which are not on balance sheet, what may
embedded securities and/ flows
or goods happen are excessive credit risk exposures,
not stated in the balance sheet.
• The risk of the counterparty defaulting
Advantages of credit derivatives - is the risk that the counterparty in the
can be divided into microeconomic and credit derivative contract will not service
macroeconomic ones, as presented in the its obligations. Credit protection buyer may
following table. introduce, through purchase of a credit
derivative, a new form of credit risk in
Table 3 Microeconomic and macroeconomic credit the portfolio - a risk of the counterparty
rating advantages defaulting. For the buyer of credit
protection to incur losses, two events
Microeconomic credit Macroeconomic credit
have to occur: credit event linked with
derivatives advantages derivatives advantages
the underlying credit asset, and the
They can transfer credit credit protection seller defaulting on his
Creditors and investors are
risk on several markets and obligation to the credit protection buyer.
allowed to have a better
reduce risk concentration by The risk of counterparty defaulting
selection of risks that they
transferring it on to those
wish to take on, and also the is present in the majority of financial
parties willing to take it on
option to transfer risk that contracts, and it is especially
and are better prepared to
they do not wish to hold.
manage the risk in question. important for this risk to be paid due
consideration. In accordance with the
They cause more precise
risk valuation by separating They are used for mitigation growing role of hedge funds on the
credit risk from other risks. of financial shocks and credit derivatives market, and the fact
thus impact financial that hedge funds are for traders a risky
They improve infrastructure to become
more resilient than
contractual counterparty, the risk of
intermediation process by
increasing liquidity and previously. the counterparty defaulting is gaining
market efficiency. in importance.
• Liquidity risk. Credit
derivatives are contracts between two
Credit derivatives risks parties used for over-the-counter trading
and hence they are not liquid. They are
Although credit derivatives hold many not suitable for all the financial market
advantages, application of these instruments participants and it may happen that in an
bankarstvo 1 2013
implies various accompanying risks, which are attempt to sell its positions, the contracting
mainly connected with the fact that the credit party in a credit derivative deal would be
derivatives market is a new and not sufficiently unable to achieve real market value.
explored market. The main credit derivatives Although the number of traders and the
risks are the following: amount of transactions are constantly
133
sledeće rizike: • Rizik saldiranja. Kada dođe do neizvršenja
• Tržišni rizik. Ukoliko je banka uključena u obaveza od strane emitenta, mora da se
trgovinu kreditnim derivatima tržišni rizik izvrši saldiranje kreditnih derivata vezanih
postaje značajan, s obzirom na činjenicu da za dug emitenta. Iako je u interesu svih
je određivanje cene instrumenata funkcija učesnika na tržištu kreditnih derivata da
kamatnih stopa, oblika krive prinosa, i tržište dobro funkcioniše, njihovi interesi se
kreditnog spreda. Prema tome, tržišni rizik razilaze u situacijama kada treba da se izvrši
ima veliki uticaj na cenu kreditne zaštite. saldiranje a neki od njih su kupci zaštite, neki
Tršni rizik zavisi i od specifičnog kreditnog prodavci zaštite, neki bi više voleli da dođe
derivata koji se primenjuje. do fizičkog saldiranja, a neki do novčanog
• Rizik rejting agencije. Rejting agencije saldiranja. Problemi mogu nastati i ukoliko
imaju značajnu ulogu na tržištu kreditnih treba da se izvrši istovremeno saldiranje
derivata. S obzirom na kompleksnu prirodu velikog broja ugovora.
kreditnih derivata, mnogi investitori se • Zakonski rizik. Još od samog nastanka
oslanjaju na rejting agencije da izvrše tržišta kreditnih derivata, učesnicima je
procenu kreditnog rizika u određenoj bilo jasno da, ukoliko tržište želi da ostvari
transakciji. Jednodimenzionalna priroda uspeh, među prvim pitanjima mora da
tradicionalnih kreditnih rejtinga može da se reši zakonski rizik. Učesnici na tržištu
ih učini nedovoljnim za poređenje rizika su zajedno radili na stvaranju i primeni
korporativnog duga i kreditnih derivata, i standardizovane dokumentacije vezane za
da primena iste rejting lestvice za oba rizika kreditne derivate, sa ciljem da se minimizira
bude neadekvatna. uloga zakonskog rizika prilikom određivanja
bankarstvo 1 2013
134
growing, they still remain relatively small derivative prices to be precisely determined
in size. As a consequence, finding the in order to reflect embedded risks.
counterparty for completing or netting the Application of credit derivatives also implies
existing transaction may be complicated, the presence of the following risks:
especially if there are adverse circumstances • Market risk. If a bank is engaged in
on the market, or if the contract contains credit derivatives trading, market risk
some unusual clauses. becomes significant, in view of the fact
• Modelling risk and pricing risk. As the that determining the price of instruments
credit derivatives market developed, so have is the function of interest rates, yield curve
mathematical models applied on pricing characteristics, and the credit spread.
of credit derivatives become increasingly Therefore, market risk has a great impact
complex. Complex credit derivatives entail on the price of credit protection. Market risk
application of complex models for valuation depends also on a specific credit derivative
and hedging. The risk of losses incurred due which is being applied.
to the application of a wrong model is called • Rating agencies risk. Rating agencies play
the modelling risk. an important role on the credit derivatives
The above mentioned models are based market. In view of the complex nature of
on complex assumptions related to credit derivatives, many investors are relying
the underlying economic parameters. on the rating agencies to perform assessment
Concurrently, credit derivatives pricing is of the credit risk in the given transaction.
related to the model assumptions that are One-dimensional nature of traditional credit
applied. It is very important for the credit rating makes the comparison between a
corporate debt risk and a credit derivative
risk inadequate, rendering application of
the same rating ladder on both of these risks
inadequate.
• Settlement risk. In case of defaulting by the
issuer, settling of credit derivatives must
be made with respect to the issuer’s debt.
Although it is in the best interest of all
the credit derivatives market participants
for the market to function properly, their
interests diverge in situations when settling
is to be done, where some of them are
protection buyers, some are protection
sellers, and some would rather like to see
physical settlement, yet another prefer cash
settlement. The problems may arise also if
settlement is done simultaneously for a large
number of contracts.
• Legal risk. From the very emergence of
the credit derivatives market, it was clear
to all the participants that if the market
was to succeed, among the first questions
to be resolved would be the legal risk.
Market participants have worked together
bankarstvo 1 2013
135
cena ovih ugovora. najvažnijih učesnika u svetskoj privredi. Do
Razvoj tržišta derivata obično prethodi problema može doći ukoliko korisnik kredita
uvođenju zakonske i poreske infrastrukture, pruži kreditoru privilegovanu informaciju o
a ni kreditni derivati nisu bili izuzetak. ceni, koja nije javno dostupna. U skladu sa
Zakonski sistemi se razlikuju u različitim tom informacijom, kreditor može da izvrši
državama, pa samim tim zakon koji je na hedžing svoje pozicije.
snazi u jednoj državi ne mora da bude • Sistemski rizik - rizik da će se, u slučaju
propisan u nekoj drugoj. neizvršenja od strane jedne finansijske
U cilju pojašnjenja zakonskih pojmova institucije, stvoriti domino efekat koji će
i omogućavanja standardizacije i daljeg dovesti do neizvršenja od strane ostalih
razvoja tržišta kreditnih derivata, potrebno finansijskih institucija, i samim tim
je uvođenje standardizovane dokumentacije, ugroziti stabilnost finansijskog sistema.
što predstavlja glavni fokus ISDA. Postoje mišljenja da kreditni derivati,
• Informativni rizik - nastaje usled preraspoređuju kreditni rizik ali ga zapravo
asimetričnosti informacija koje mogu biti ne umanjuju, i na taj način dovode do
prisutne na tržištu kreditnih derivata, gde povećanja sistemskog rizika.
veliki broj investitora predstavlja neke od
Literatura / References
136
Derivatives market development usually number of investors represents some of
precedes the introduction of the legal and the most significant players in the world
taxation infrastructure, and neither was economy. Problems may be encountered if
the credit derivatives market an exception. a credit beneficiary offers a creditor some
Legal systems differ from state to state hence privileged information on the pricing, which
legal framework in force in one country does is not publicly accessible. Based on such
not necessarily have to be in place in some information received, creditor may engage
other. in hedging his position.
For purpose of clarifying legal terms and • Systemic risk - is a risk that in case of default
allowing for standardisation and further by one of the financial institutions, a domino
development of the credit derivatives effect may be created which would lead to
market, it was necessary to introduce defaulting by the other financial institutions,
standardised documentation, which was the and thus endanger the financial system itself.
main focus of the ISDA. There are views that credit derivatives are
• Information risk - occurs due to asymmetric rearranging credit risk, yet that they are not
information that may be present on the really reducing it, thus causing an increase
credit derivatives market where a large in the systemic risk.
11. Committee on the Global Financial System. 16. Kothari, Vinod. “Introduction to Credit
“Credit Risk Transfer” www.bis.org. (2003) Derivatives” www.credit-deriv.com. (2003)
4, 7, 31. 13-14.
12. Crouhy, Michel, Galai, Dan, Mark, Robert. 17. Mengle, David. “Credit Derivatives: An
The Essentials of Risk Management. New Overview”, Economic Review 92 (2007) 1-24.
York: The McGraw-Hill Companies, Inc., 18. Schonbucher, Philipp. Credit Derivatives
2006. Pricing Models: Models, Pricing and
13. Gibson, Michael. “Credit Derivatives and Implementation. Chichester: John Wiley &
Risk Management” www.federalreserve. Sons Ltd., 2003.
gov. (2007) 17-18. 19. Smithson, Charles. Credit Portfolio
14. Horcher, Karen. Essentials of Financial Risk Management. Hoboken: John Wiley & Sons,
Management. Hoboken: John Wiley & Sons, Inc., 2003.
Inc., 2005. 20. Wagner, Niklas. Credit Risk: Models,
bankarstvo 1 2013
15. Hull, John. Risk Management and Financial Derivatives and Management. Boca Raton:
Institutions. Upper Saddle River: Pearson Chapman & Hall/CRC, 2008.
Education, Inc., 2007.
137