jul 2008 godina 1, broj 2bankar broj 2. jul 2008 ... kada se njihovi kratkoročni interesi sukobe sa...

JUL 2008godina 1, broj 2

BANKARBroj 2. jul 2008

IZDAVAČUdruženje banaka i finansijskih institucija Crne Gore, Novaka Miloševa bb/3 PodgoricaTel: +382 20 232-028 www.ubcg.info

TIRAŽ: 600 primjerakaČasopis izlazi kvartalno. Naredni broj u septembru

Rješenjem Ministarstva kulture, sporta i medija časopis Bankar je upisan u Evidenciju medija - štampani mediji 17. marta 2008, pod rednim brojem 641.

REDAKCIJSKI ODBORglavni i odgovorni urednikMirko Radonjić

Milija Vlahović, Prof. dr Aleksandar Živković, dr Nikola Fabris, dr Slobodan Lakić, dr Saša Popović, dr Evangelos Markopoulos, mr Neboša Đoković

urednikPeko Nikolićdizajn i prelommr Nikola Latkovićfinalna priprema tekstova i korektura Marko Nikolićfotografijewww.photos.com i fotodokumentacija UBCGprevodTanja Luburić, Jelena Pralas, Vesna Radunović i Azra Kosovacštampa Grafotisak, Grude, BIH

Prilozi - tekstovi se dostavljaju u elektronskom obliku na e-mail adrese:[email protected], [email protected], na disketi ili cd-u; maksimalna dužina teksta do 25.000 karaktera.- reklame po normativima UBCG na e-mail: [email protected]

Sadržaj / ContentsČrtomir MesaričKlijenti uvijeK mogu da računaju na nlBClients Can Always Rely on NLB

Prof. dr Đorđije ĐukićEfikasnost valutnih forward-a u zaštiti od dEviznih rizikaThe efficiency of currency forwards in foreign exchange risk hedging

André Douette, Roberto ZavattadijEljEnjE krEditnog rizika, podsticaj za invEstiranjE i rastSharing credit risks, an incentive for investment and growth

Bratislav Pejakovićkuda idE us$?Where Is The Dollar Heading?

Luigi Passamonti, Ramona BraturEgionalni program modErnizacijE javno-privatnog finansijskog sEktoraA Regional Public-Private Financial Sector Modernisation Program

Prof. dr Vladimir Kašćelanugovorno saldiranjE i garantni fondContractual Settlement and Guarantee Fund

Giovanni Gentilivar kao instrumEnt za upravljanjE rizikomVaR as Risk Management tool

mr Ristan Stijepovićmjerenje izloženosti operativnom riziKuMeasurement of exposure to operational risk

Milena KneževićBaza za osiguranje od Kreditnog riziKaBasis For Provision Against Credit Risk

mr Damir Šehovićod Bazela i Ka Bazelu iiFrom Basel I to Basel II

Viktorija Proskurovska, Elena LetemendijaEkonomija sa usporEnim rastomA slowing economy

Ivana GogićKaKo je sve počelo - pohlepa BanaKa!But, how did it all begin - by banks’ being greedy!

mr Marko Miročevićtemelj izgradnje odnosa na relaciji BanKa KlijentA Foundation for Developing Bank-Client Relationship

Marko NikolićBiometrija stupa na scenuBiometrics Takes Center Stage

Udruženje banaka Crne Goredeveti interBalKansKi Forum udruženja BanaKaNinth Interbalkan Forum Of Banking Associations

BanKarsKi pojmovniKGlossary Of Banking Terms

Top 20najveće svjetsKe BanKeWorld’s biggest banksv

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BANKARČasopis Udruženja banakai finansijskih institucija Crne GoreBroj 2. jul 2008.

IMPRESUM

Iz razgovora sa Črtomirem Mesaričem posebno ističemo tri stava. Prvi, sasvim je razumljivo ograničavanje kreditiranja sektora stanovništva s jedne strane, zbog toga što ono direktno utiče na povećanje tekuće potrošnje, odnosno agregatne tražnje i na taj način pospješuje inflatorne pritiske. Efekti povećanja stope inflacije već su vidljivi, jer, iako su dijelom posljedica rasta cijena energenata i sirovina na globalnom tržištu, jedan dio se odnosi i na interne faktore, kao što su povećanja tekuće potrošnje, javne potrošnje i strukturna neusklađenost privrede. S druge strane, kreditni rast koji je posljedica potrebe obezbjeđenja sredstava za finansiranje investicija i obrtnog kapitala, ne bi trebalo ograničavati ovakvom vrstom administrativnih mjera, posebno imajući u vidu da bankarski sistem u Crnoj Gori, usljed nedovoljno razvijenog finansijskog tržišta još uvijek predstavlja najbitniji element finansiranja projekata u svim segmentima privrede. Drugi, NLB nema namjeru da svoje ćerke banke, kakva je i NLB Montenegro banka, kada sve zemlje

pređu na principe priznavanja licenci iz drugih država, transformiše u filijale kao što neke druge bankarske grupe već čine u zemljama koje su se nedavno priključile EU. NLB će nastaviti da jača kapacitet ćerki banaka da samostalno upravljaju rizicima u svom poslovanju uz korišćenje “know-how”-a i pozitivnih iskustava matične banke. I treći, manje je važno da li Udruženje banaka funkcioniše na bazi zakonske obaveznosti ili bez nje, dok god ono funkcioniše u interesu članova da se u vezi sa nekim pitanjima udružuju. Problemi u posvećenosti banaka funkcionisanju Udruženja nastaju kada se njihovi kratkoročni interesi sukobe sa zajedničkim dugoročnim i kada ne upjevaju da usklade svoje mogućnosti

klijenti uvijek mogu da računaju na nlB

jul 2008 | :Bankar

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RAZGOVORI

clients can always rely on nlB

We wish to highlight three statements from the interview with Črtomir Mesarič. Firstly, that introducing limits on lending to retail sector is understandable, since it has a direct impact on the increase in current spending i.e. aggregate demand, thus adding to inflationary pressures. The impact of inflation rate increase is already visible – although partly a result of the increase in energy and raw material prices on the global market, another part also concerns internal factors, such as increased current spending, public spending and structural inconsistency of economy. On the other hand, the credit growth that results from the need to provide funds to finance investments and working capital should not be limited using this type of administrative action, especially bearing in mind that the banking system in Montenegro, due to insufficiently developed financial market, still represents the most important element in financing projects in all segments of the economy. Secondly, NLB does not intend to transform its subsidiaries, such as NLB Montenegrobanka - once all countries switch to the principle of recognition of licenses from other countries - into branch offices, the way this is already being done by some banks in the countries that recently joined the EU. NLB will continue to strengthen the capacity of its subsidiaries to independently manage their business risks, using the “know-how” and good experience of the parent bank. And thirdly - it is less important whether the Association of Banks operates on the basis of legal requirement or not, as long as it operates in line with the interest of its members to associate in certain matters. Problems concerning the banks’ commitment to the operation of Association arise when their short-term interests conflict with the shared long-term ones and when they do not manage to coordinate their capacities

july 2008 | :Bankar�

INTERVIEWS

NLB Montenegrobanka je postigla izuzetno dobre re-zultate u svim segmentima poslovanja i 2007. godinu

završila kao banka u samom vrhu crnogorskog bankarskog sektora, po visini bilansne sume, ukupnih plasmana i depo-zita. Visoke stope rasta pojedinih banaka nam nisu bile reper u poslovanju. Bitno nam je bilo da budemo prepoznati kao razvijena bankarska cjelina, koja je profesionalna i na koju klijenti mogu uvijek da računaju, što je, u uslovima pritiska koji je karakterisao razvoj bankarskog sektora, bilo teško.

U protekloj godini NLB je odobrila segmentu privrede oko 1.800 kreditno-garancijskih aranžmana, a broj kredita odobrenih građanima je preko 20.000. Ukupni prihodi iz redovnog poslovanja prebacili su 30 mil EUR i uvećani su u odnosu na 2006. godinu za 75%. Svi pokazatelji poslovanja Banke pokazuju poboljšanje bilansne strukture, uz rast profitabilnosti poslovanja.

Na 31.12.2007. bilansna suma dostigla je 402,3 mil EUR, što je za 78 % više u odnosu na 2006. Plasmani građanima i privredi su dostigli 324 mil EUR, a depoziti 226,1 mil EUR i rasli su po stopi od 93 % – u slučaju kreditnog portfelja, od-nosno 62 % kod depozita. Najdinamičniji rast ostvaren je u poslovanju sa stanovništvom, pri čemu su krediti ovog seg-menta porasli za 125 %, dok je štednja uvećana za skoro 155%.

ostati lidEr:B Tako visoke stope su između ostalog i pitanje vremena. Šta ubuduće?Strategija budućeg razvoja svodi se na nastojanje da se po-boljša bilansna struktura, povećanjem sekundarnih izvora likvidnosti i stabilizacijom kamatnih prihoda. Planirane sto-pe rasta će se kretati od 30% do 50%, zavisno od segmenta poslovanja. Banka će i dalje povećavati stope rezervisanja na rizični portfolio, u skladu sa već prepoznatljivom kon-zervativnom politikom rezervisanja. Adekvatnost kapitala je projektovana na nivou od preko 12%.

Banka će, u cilju zadržavanja liderske pozicije u segmen-tu naprednih kanala korišćenja bankarskih usluga, dodat-no unaprijediti servise Elektronskog bankarstva. Takođe, u segmentu Kartičarstva, pored programa Master Card, te saradnje sa Diners Club-om, otvara se projekat prelas-ka na CHIP standard, kao i promovisanje novih kartičnih proizvoda i servisa.

Poseban segment razvoja biće depozitni proizvodi, gdje ćemo se potruditi da, uz najsigurniji depozit, ponudimo najfleksibilnije uslove oročenja.

Takođe, poslovi investicionog bankarstva će u ovoj i na-rednoj godini postati standardni servis našim klijentima.

NLB Montenegrobanka je početkom 2008. godine dobila dozvolu za obavljanje kastodi poslova što predstavlja važan korak u razvoju Banke, kao i značajan signal za povećanje povjerenja stranih investitora u naše tržište. Kastodi usluge, pored standardnih usluga kliringa i saldiranja, obuhvataju i usluge čuvanja finansijske imovine, odnosno kontrolu stanja i prometa hartija od vrijednosti i izvještavanje o svim bitnim događajima koji mogu uticati na potfolio klijenata.

Imajući u vidu visok stepen povezanosti crnogorske i slo-venačke privrede može se očekivati značajno učešće slove-načkih investitora koji će kastodi poslove obavljati upravo preko NLB Montenegrobanke.

:B Mjere Centralne banke Crne Gore, rekli bi, izazvale su različita reagovanja. Molimo Vas da prokomentarišete.O uvođenju administrativnih mjera Centralne banke Crne Gore, kojima se ograničava kreditni rast, u stručnoj javnos-ti postoje oprečna mišljenja, od onih koji smatraju da je to bila neophodnost kojom se štiti makroekonomska stabil-nost, do onih koji smatraju da će ovakve mjere negativno uticati na ekonomski rast i razvoj zemlje.

Kad je Kreditni rast visoK!Osnovni argumenti koji su, po mojem mišljenju, rukovo-dili regulatora da pribjegne uvođenju jedne ovakve admi-nistrativne mjere predstavlja uticaj rasta kredita na tri glav-na segmenta: povećanje agregatne tražnje koje pospješuje inflatorne pritiske, produbljivanje deficita tekućeg računa platnog bilansa i opasnost odobravanja kredita klijentima sa lošijim kreditnim bonitetom.

Svi navedeni elementi zaista predstavljaju indikatore koji otvaraju pitanje održivosti makroekonomske stabilnosti, međutim tu treba uzeti u obzir jedan cjelovitiji pogled na problem brzog kreditnog rasta u crnogorskoj, kao i u pri-vredama u regionu.

Naime, nakon perioda makroekonomske stabilizacije i uspješnog restrukturiranja bankarskog sektora, postojao je veliki neiskorišteni kreditni potencijal privrede, koje su banke, posebno putem pribavljanja jeftinijih sredstava od matičnih banaka uspjele da iskoriste. Takođe, uporedo sa stabilizacijom makroekonomskih prilika, došlo je i do većeg priliva inostranog kapitala. Tako je, s jedne strane, visoka stopa rasta kredita u prethodnim godinama posljedica nis-ke polazne osnovice, iako rast od 165% u 2007. godini zaista predstavlja signal da je potrebno na neki način obezbijediti uslove da ovaj rast pozitivno utiče na ekonomski rast, bez rizika nastajanja makroekonomske krize.

Ono što je veoma bitno u razmatranju samog problema, a gdje smatram da je možda trebalo posvetiti više pažnje prili-kom analize uticaja uvođenja ovakvih mjera, jeste nepostojanje diferencije u ograničenjima pojedinih segmenata kreditiranja. Naime, sasvim je razumljivo ograničavanje kreditiranja sektora stanovništva s jedne strane, zbog toga što ono direktno utiče na povećanje tekuće potrošnje, odnosno agregatne tražnje i na taj način pospješuje inflatorne pritiske. Efekti povećanja stope in-flacije već su vidljivi, jer, iako su dijelom posljedica rasta cijena energenata i sirovina na globalnom tržištu, jedan dio se odnosi i na interne faktore, kao što su povećanja tekuće potrošnje, jav-ne potrošnje i strukturna neusklađenost privrede.

RAZGOVORI

U skladu sa ograničenjem postavljenim od strane CB CG, stope rasta u 2008 godini su znatno usporene. Sa odobrenih 110 mil EUR segmentu Corporate-a i 62,4 mil segmentu Retail-u, Banka je za prvih 5 mjeseci 2008. uvećala kreditni portfelj za 61,2 mil EUR i zadržala poziciju na tržištu Crne Gore. Na pasivnoj strani, rasla je brže od tržišta – i ostvarila nešto nižu stopu rasta od rasta aktivnih poslova. Za prvih 5 mjeseci, ostvareni rezultat je 1,2 mil, odnosno rezultat prije izdvajanja rezervacija skoro 4 mil EUR.

jul 2008 | :Bankar

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NLB Montenegrobanka has accomplished good results in all business segments and concluded 2007 as one of the

top banks in the Montenegrin banking sector, according to the balance sum, asset exposure and deposits. High growth rates of some banks did not serve as a benchmark for our business. It was important for us to be recognized as a developed banking entity, professional and one that clients can always rely on, which was hard, under the circumstances of pressure that marked the development of the banking sector.

Last year, NLB approved some 1,800 credit-guarantee ar-rangements to the corporate sector, and more than 20,000 to the retail sector. Overall income from regular operati-ons exceeded 30 mil EUR, which is a 75% increase com-pared to 2006. All indicators of the bank’s activity show an improvement of balance-sheet structure, along with incre-ased profitability.

On 31 December, 2007, the balance sum reached 402.3 mil EUR, which is a 78 % increase compared to 2006. Retail and corporate lending reached 324 mil EUR, while deposits reached 226.1 mil EUR, increasing at the rate of 93 % for credit portfolio and 62 % for deposits. The most dynamic growth took place in retail operations, with credits increasing by 125 % and savings deposits by almost 155%.

staying a lEadErB: Such high rates, among other things, are also a matter of time. What is to be done in the future?The strategy of future development boils down to the effort to improve balance structure, increase secondary liquidity sources and stabilize interest income. The planned growth rates will ran-ge between 30% and 50%, depending on the business segment. The bank will continue to increase the reserve rates for the ris-ky portfolio, in line with the already distinct conservative policy. The projected capital adequacy is above 12%.

In order to keep its leading position in the segment of advanced channels of using banking services, the Bank will further upgra-de its e-banking services. In addition, in the card department, besides the Master Card and cooperation with the Diners Club, a project of transferring to CHIP standard is underway, as well as promotion of new card products and services.

Deposit products will be a special segment of development, where we will try to offer, in addition to safest deposits, the most flexible terms.

Investment banking will also become a standard service for our clients in this and the coming year.

In early 2008, NLB Montenegrobanka was granted a li-cense to perform custody operations, which is an important step in the development of the Bank, as well as an important signal to enhance the trust of international investors in our market. Custody services, in addition to standard clearing and settlement, include the services of preserving financial assets, that is control of status and transactions in securi-

In line with the restrictions defined by the Central Bank of Montenegro, growth rates have slowed down considerably in 2008. With 110 mil EUR approved to Corporate and 62.4 mil to Retail, the Bank has expanded its credit portfolio by 61.2 mil EUR in the first 5 months of 2008, keeping its position on the Montenegrin market. Liabilities grew faster than the market, reaching a somewhat lower rate than the one for asset operations. The result for the first 5 months was 1.2 mil, prior to allocation of reserves of almost 4 mil EUR.


INTERVIEWS

S druge strane, kreditni rast koji je posljedica potrebe obezbjeđenja sredstava za finansiranje investicija i obrtnog kapitala, ne bi trebalo ograničavati ovakvom vrstom admi-

nistrativnih mjera, posebno imajući u vidu da bankarski sistem u Crnoj Gori, usljed nedovoljno razvijenog finansij-skog tržišta još uvijek predstavlja najbitniji element finan-siranja projekata u svim segmentima privrede.

Dakle, tu smatram da mnogo bitniju ulogu igraju ostale mjere uvedene od strane regulatora, kao što su mjere koje regulišu kapitalsku adekvatnost, stepen pokrića kreditnog portfelja sa rezervama, odnos kredita i depozita, kao i po-većanje zahtjeva kod izdvajanja stopa obavezne rezerve.

:B Kako bi se komparativno mogli prikazati uslovi poslovanja banaka u Crnoj Gore sa uslovima koji važe u drugim državama u kojima NLB pruža bankarske i finansijske usluge?Uslovi za poslovanje banaka u bilo kom nacionalnom pro-storu nužno je sagledavati minimalno trodimenzionalno kao: ekonomski ambijent u kome banke posluju, regula-torni i supervizorski ambijent i na kraju u svijetlu očeki-vanih promjena ove dvije dimenzije. NLB ima svoje ćerke banke u veoma hetorogenim ekonomskim ambijentima - od zemalja članica EU do ekonomski i pravno nerazvi-jenih područja. No, ovi heterogeni ekonomski ambijenti u zemljama u kojima posluje NLB imaju nekih sličnosti od kojih se prije svega mogu istaći: dinamične stope rasta, a posebno u finasijskom sektoru sa jačanjem konkurencije i smanjenjem cijena proizvoda i usluga; očuvana finansijska stabilnost; promjene privrednih struktura sa izrazitim ras-tom tržišta nekretnina; kod većine su izraženi visoki spolj-no trgovinski deficiti; rast agregatne tražnje i time tražnje za kreditima u skoro svim sektorima; veoma restriktivna monetarna politika ili njen izostanak; izraženi napori da se privuku strane direktne investicije (FDI) i njihove viso-ke stope te visoko učešće u kreiranju BDP-a.

izuzEtno promišljEna crnogorska rEgulativa Kad govorimo o ekonomskim uslovima poslovanja u Crnoj Gori oni posjeduju gore navedene karakteristike samo do-datno izražene. Crna Gora je u proteklom periodu ispolja-vala najveće stope rasta u finansijskom sektoru, ima najveći stopu kreditne ekspanzije, najveći deficit spoljnotrgovin-skog bilansa, najveću stopu inflacije od zemalja koje nemaju sopstvenu valutu, najveći priliv stranih investicija po glavi

:B Gospodine Mesarič, dozvolite da se pri kraju osvrnemo na status Udruženja banaka Crne Gore, u kojem ste predsjednik Upravnog odbora. Smatramo da bi status Udruženja trebalo regulisati zakonom…Manje je važno da li udruženje banaka funkcioniše na bazi zakonske obaveznosti ili bez nje, dok god ono funkcioniše u interesu članova da se u vezi sa nekim pitanjima udru-žuju. Tih pitanja ima dosta. Počev do pitanja etičnosti u bankarskom poslovanju, preko pitanja samoregulacije, nelojalne konkurencije i zaštite klijenata, preko zajed-ničkih nastupa prema CBCG i Vladi, do pitanja razvoja zajednički iskoristivih alata, tehnika i projekata koji će pospješiti upravljanje rizicima. Problemi u posvećenosti banaka funkcionisanju Udruženja nastaju kada se njihovi kratkoročni interesi sukobe sa zajedničkim dugoročnim i kada ne upjevaju da usklade svoje mogućnosti. U sva-kom slučaju potrebe i prostora za efikasnije djelovanje Udruženja ima jako puno.

jul 2008 | :Bankar

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RAZGOVORI

ties and reporting on all important developments that may impact the client’s portfolio.

Given the extent of connections between Montenegrin and Slovenian economy, we can expect significant participation of Slovenian investors who will conduct custody operations pre-cisely through NLB Montenegrobanka.

B: It seems that the measures of the Central Bank of Montenegro have generated diverse responses. Please give your comment on this. There are contradicting opinions among professionals regarding the introduction of administrative measures by the Central bank of Montenegro limiting credit growth, from those who believe this was a necessity that served to protect macroeconomic stabi-lity, to those who believe these measures will affect the country’s economic growth and development.

With high credit groWth!The main argument that, in my opinion, led the regulator to decide to introduce such an administrative measure is the impact of credit growth on three key segments: increase in aggregate demand that enhances inflationary pressures, de-epening of current account deficit of balance of payments and the danger of approving credits to clients with weaker creditworthiness.

All these elements indeed represent indicators that raise the issue of sustainability of macroeconomic stability; however, we need to consider a more holistic approach to the problem of fast credit growth in Montenegrin economy, as well as the econo-mies in the region.

Namely, following the period of macroeconomic stabilizati-on and successful restructuring of the banking sector, there was a large unused credit potential of the economy that the banks, especially by means of acquiring cheaper funds from parent banks, managed to utilize. In addition, in parallel with the sta-bilization of macroeconomic situation, there was an increased inflow of international capital. Thus, on the one hand, the high rate of credit growth in the previous years was a result of low baseline, although the 165% growth in 2007 truly sends a signal that it is necessary to provide conditions for this growth to have a positive effect on economic growth, without risking a macro-economic crisis.

Something that is very important in considering the prob-lem, something I believe perhaps should have received more attention when analyzing the impact of introduction of the gi-ven measures, is lack of differentiation in restricting certain len-ding segments. Namely, restricting lending to the retail sector is entirely understandable, given that it has a direct impact on increased current spending i.e. aggregate demand and thus en-hances inflationary pressures. The effects of increased inflation rate are already visible, since, although partly a result of the in-crease in energy and raw material prices on the global market, another part also concerns internal factors, such as increased current spending, public spending and structural inconsisten-cy of the economy.

On the other hand, the credit growth that results from the need to provide funds to finance investments and working ca-pital should not be restricted using this type of administrative action, especially bearing in mind that the banking system in Montenegro, due to insufficiently developed financial market still represents the most important element in financing projects in all segments of the economy.

Therefore, I believe that a much more important role belongs to other measures introduced by the regulator, such as those re-gulating capital adequacy, degree of credit portfolio coverage with reserves, credit-deposit ratio, as well as raising the requirement concerning allocation of required reserve.

B: What comparison could be made between the conditions for banking in Montenegro and the conditions in other countries where NLB provides banking and financial services?It is necessary to view the conditions for banking in any national environment in at least three dimensions: the eco-nomic environment where banks perform their activities, regulatory and supervisory environment, and, lastly, in the light of anticipated changes in the two given dimensions. NLB has its subsidiaries in rather heterogeneous economic environments – from EU members to areas with undevelo-ped economic and legal system. These heterogeneous eco-nomic environments in the countries where NLB works share some similar characteristics, primarily: dynamic gro-wth rates, particularly in the financial sector, with growing competition and decline in prices of products and services; preserved financial stability; changes in economic structu-res, with a distinct growth of real-estate market; most have high foreign trade deficits; increase in aggregate demand and thus demand for loans in nearly all sectors; highly res-trictive monetary policy or its absence; marked efforts to attract foreign direct investments (FDI) and their high ra-tes, and a high share in creating GDP.

ExtrEmEly wEll-thought-out montEnEgrin rEgulations In relation to the economic conditions for business in Montenegro, they share the features presented above, but these are more intense. In the previous period, Montenegro showed highest growth rates in the financial sector, it has the highest rate of credit expansion, the highest foreign trade deficit, the highest inflation rate compared to the countries that do not have their own currency, the largest inflow of foreign investments per capita, the highest increase in pri-ces in the real-estate sector etc. In a word, Montenegro has experienced the most dynamic changes in the economic environment. Montenegrin banking sector contains certain


INTERVIEWS

B: Mr. Mesarič, please allow us to conclude by referring to the work of the Association of Montenegrin Banks, where you are Board Chairman. We believe that the status of the Association should be regulated by law…It is less important whether the Association operates on the basis of legal requirement or not, as long as it opera-tes in line with the interest of its members to associate in certain matters. There are many such matters. Starting with the issue of ethics in banking, on to the issues of self-regulation, unfair competition and client protection, joint approach to the Central Bank and the Government, the issue of developing common tools, techniques and projects to improve risk management. Problems con-cerning the banks’ commitment to the operation of Association arise when their short-term interests con-flict with the shared long-term ones and when they do not manage to coordinate their capacities. In any case, there is ample need and room for more efficient activity of the Association.

stanovnika, najveći rast cijena u sektoru nekretnina itd. Sve u svemu promjene ekonomskog prostora u Crnoj Gori su najdinamičnije. Crnogorski bankarski sektor karakterišu i neke specifičnosti u odnosu na druge bankarske sekto-re zemalja u kojima posluje NLB. Tu mislim na izrazit pad aktivnih kamatnih stopa uz porast cijene izvora, smanjenje njihove izdašnosti i povećanje rizičnosti kreditiranja zbog visokih stopa rasta, te zaduženosti privrede i stanovništva koja iz toga proizilazi i izostanak valutnih rizika jer su izvori i plasmani u istoj valuti.

Sa stanovišta regulatornih i supervizorskih uslova po-slovanja situacija je najjasnija kod zemalja koje su članice EU. One su u obavezi da primjenjuju EU direktive i u re-gulatornom smislu uslovi su ujednačeni. Što se tiče zemal-ja Balkana koje nijesu članice EU, a u kojima NLB posluje, kvalitet regulacije je do prošle godine bio veoma neujedna-čen. Pitanja koja su bila ili još jesu veoma različito uređe-na, odnose se posebno na tretmane dobijanja saglasnosti za promjenu akcionarske strukture u bankama i licenciranje novih banaka na tržištu, tretman likvidnosti i kalkulacije koeficijenta solventnosti, pitanje regulacije tržišnih rizika i rizika kamatne stope iz bankarske knjige, te regulatorni tretman operativnih rizika. Od skora se pod pritiskom žel-je za priključenje EU ove razlike smanjuju kroz donošenje nove zakonske i podzakonske regulative.

U poređenju sa drugima meni se čini da je regulativa u Crnoj Gori izrazito promišljena što ima svoje opravdanje kada se zna da je vođenje moneterne politike krajnje limi-tirano. U Crnoj Gori za razliku od mnogih zemalja u ko-jima posluje NLB odavno postoji regulativa za upravljan-je tržišnim i operativnim rizicima, mogućnost drugačijeg propisivanja limita u poslovanju u odnosu na minimalne i većeg koeficijenta solventnosti, obaveznost izrade stresnih testova itd. Valja naglasiti da je pitanje kvaliteta supervizi-je postalo mnogo važnije od pitanja regulative koja postaje sve ujednačenija. Supervizija treba da ocjenjuje kako ban-ke upravljaju rizicima što znači da i sami treba da umiju, posjeduju stručnu nezavisnost i volju da procjenjuju rizike

odnosno da se bave pitanjima neizvjesnosti. To je veoma složen posao koji može mnogo da utiče na poslovanje ba-naka. Sve je primjetnije da supervizija teže hvata korak sa industrijom koja se ubrzano usložnjava. Najnovija kriza u SAD i EU je dobar primjer potvrde ove teze.

Na kraju da kažem da sa stanovišta očekivanja postoji visok stepen uvjerenja u okviru NLB da će se ekonomski dinamizam stabilizovati, da će se cijene bankarskih usluga sve više približavati onima u Sloveniji te da će pitanja finan-

sijske stabilnosti postajati sve značajnija. Nadamo se da naj-dinamičniji trendovi promjena u Crnoj Gori neće biti i naj-dinamičniji u obrnutom pravcu. Izazovi pred supervizijom, u svim zemljama u kojima NLB posluje, da implementira komplikovanu i regulativu koja je fleksibilna u odnosu na rizik koji institucija preuzima, su sve veći. NLB nema nam-jeru da svoje ćerke banke, kada sve zemlje pređu na principe priznavanja licenci iz drugih država, transformiše u filijale kao što neke druge bankarske grupe već čine u zemljama koje su se nedavno priključile EU. NLB će nastaviti da jača kapacitet ćerki banaka da samostalno upravljaju rizicima u svom poslovanju uz korišćenje “know-how”-a i pozitivnih iskustava matične banke ■

jul 2008 | :Bankar

10

RAZGOVORI

NLB Montenegrobanka AD 31.12.2006 31.12.2007u/in 000 €

Ukupna aktiva / AssetsUkupni krediti / LoansKrediti privredi / Corporate LoansKrediti stanovništvu / Retail LoansAkcijski kapital / Equity CapitalUkupni depoziti / DepositsDepoziti privrede / Corporate depositsDepoziti stanovništva / Retail depositsNeto profit / Net profitBroj filijala / No. of OutletsBroj zaposlenih / No. of employees

225.639163.57198.73465.017

6.818139.895

74.50565.390

1.1898

242

402.279322.040176.095145.945

6.818226.087

96.801129.286

3.40415

281

tri puta nlBPrvog jula 2008. u Beču je održana svečanost britanske finansijske revije Euromaney CEE Awards for Exellence 2008, koja od 1992. godine nagrađuje najbolje banke i finansijske institucije iz cijelog svijeta. NLB Grupa iz Ljubljane je ove godine primila čak tri priznanja. Već desetu godinu zaredom priznanje za najbolju slovenačku banku primila je NLB, a po prvi put su nagrade na lokalnom tržištu dobile i NLB Montenegrobanka ad Podgorica i Investiciona NLB Tutunska broker iz Makedonije. Prilikom dodjele nagrada u Beču predsjednik uprave NLB, Marjan Kramar, je rekao: „NLB već desetu godinu za svoj rad prima ugledna međunarodna priznanja i nagrade.To je svakako veliko priznanje za naš rad i istovremeno obaveza. Posebno mi je zadovoljstvo da su ove godine priznanje primili uspješni članovi NLB Grupe: NLB Montenegrobanka i NLB Tutunska broker Makedonija. Ubijeđen sam, da će u budućim godinama ugledna priznanja ove vrste primiti i ostale članice NLB Grupe i time potvrditi strategiju NLB, a to jeste uspješan razvoj NLB Grupe i njenih banaka i društava, u zemlji i inostranstvu.“ NLB Grupa je najveća slovenačka međunarodna finansijska grupa sa visokim međunarodnim bonitetnim ocjenama. U NLB Grupi je danas 56 članica na 18 tržišta: banke, lizing, preduzeća sa područja faktoringa i forfetiranja, osiguravajuća društva, preduzeća za upravljanje sa imovinom i preduzeća sa drugih područja. U njoj je zaposleno više od 9.000 ljudi i ima 1.500 korespodentnih veza u 140 država svijeta. „NLB Montenegrobanka ad Podgorica nastavlja tradiciju Crnogorske banke (Banque de Montenegro), koja je osnovana prije 103 godine na Cetinju i jedna je od najvećih finansijskih ustanova u Crnoj Gori. NLB Montenegrobanka, kao članica NLB Grupe, stanovništvu, privrednim subjektima i drugim nosiocima razvojnih projekata, nudi cjelokupnu ponudu tradicionalnih i savremenih bankarskih usluga. Današnje priznanje je nagrada za uspješan rad u prošlosti i podsticaj za budući rad“- rekao je prilikom dodjele nagrade Črtomir Mesarič, generalni direktor NLB Montenegrobanke ad Podgorica.

NLB Montenegrobanka

Najbolja banka

u Crnoj Gori!

www.montenegrobanka.com

Sa zadovoljstvom obavje{tavamo sve na{e klijente i poslovne partnere

da je nezavisna britanska finansijska revija Euromoney za najbolju

banku u Crnoj Gori u 2008. godini proglasila NLB Montenegrobanku

ad Podgorica.

Prestiæno priznanje za nas je veoma zna~ajno, jer se radi o nagradi sa

tradicijom koja se svake godine dodjeljuje najboljim bankama i

finansijskim institucijama iz cijelog svijeta.

VeÊ deset godina za redom NLB Grupa za svoj rad prima ugledna

priznanja i nagrade od stru~ne javnosti, {to nas potvrdjuje kao jednu

od najboljih finansijskih grupacija u regionu centralne i isto~ne Evrope.

NLB Grupa danas ima 56 ~lanica na 18 træi{ta, sa 9000 zaposlenih i

1500 korespondentnih veza u 140 dræava {irom svijeta.

NLB Montenegrobanka uspje{no nastavlja tradiciju Crnogorske banke

(Banque de Montenegro) koja je osnovana prije 103 godine na Cetinju

i jedna je od najveÊih finansijskih ustanova u Crnoj Gori.

Posebno smo zahvalni svojim poslovnim partnerima i klijentima, kao i

zaposlenima u banci, koji su svojim radom i saradnjom doprinijeli ovom

visokom priznanju i uspje{nom poslovanju banke.

Ovo priznanje smatramo nagradom za dosada{nji uspje{an rad i

podsticaj za buduÊnost.

Hvala vam!

specific features compared to the banking sectors of other countries where NLB is present. I have in mind the sharp fall in lending interest rates, increase in source prices, their diminished volume and increased lending risk due to high growth rates, resulting corporate and retail indebtedness and absence of currency risks given that the same curren-cy is used for both sources and investments.

With regard to regulatory and supervisory conditions for business, the clearest situation is present in EU member states. They are required to apply EU directives, and in the regulatory sense the conditions are harmonized. As for the non-EU Balkan countries where NLB is present, the quality of regulation was rather uneven until last year. The issues that used to be or are still regulated in rather different man-ners relate in particular to obtaining approval for change of shareholder stricture in banks and licensing of new banks on the market, liquidity and calculation of solvency ratio, regulation of market risks and interest risks from the ban-king book, and regulatory treatment of operational risks. As of recently, pressured by the aspiration to join the EU, these differences are being abated by means of adoption of legislation and regulations.

Compared to the rest, I believe that the regulations in Montenegro are extremely well-thought-out, which is jus-tified given that administering of monetary policy is extre-mely limited. Unlike many of the countries where NLB is present, Montenegro has long had regulations on market and operational risks management, the possibility to set a different limit in business with regard to minimum and hig-her solvency ratio, the requirement to develop stress tests etc. It is important to point out that the issue of quality of supervision has become much more important than the is-sue of regulations, which are getting increasingly harmoni-zed. Supervision should assess the way banks manage risks, which implies that they should also have the skills, professi-onal independence and willingness to assess risks i.e. handle the issues of uncertainty. This is a highly complex task that can have a large impact on the banking business. It is more and more evident that it is getting harder for the supervisi-on to keep abreast with the industry, which is rapidly gro-wing more complex. The latest crisis in the US and EU is a good illustration of this argument.

In conclusion, let me say that, from the perspective of expectations, there is a substantial belief within NLB that economic dynamics will stabilize, that prices of banking pro-ducts will become nearer to the ones in Slovenia, and that the importance of financial stability issues will grow. We hope that the most dynamic trends of changes in Montenegro will not be the most dynamic in the opposite direction. In all countries where NLB is present, the challenges before the supervision, concerning implementation of compli-cated regulations flexible in relation to the risk assumed by the institution, are increasing. NLB does not intend to transform its subsidiaries, such as NLB Montenegro Bank - once all countries switch to the principles of recognition of licenses from other countries - into branch offices, the way this is already being done by some bank groups in the countries that recently joined the EU. NLB will continue to strengthen the capacity of its subsidiaries to independen-tly manage their business risks, using the “know-how” and good experience of the parent bank ■

july 2008 | :Bankar11

INTERVIEWS

NLB Montenegrobanka

Najbolja banka

u Crnoj Gori!


Sa zadovoljstvom obavje{tavamo sve na{e klijente i poslovne partnere

da je nezavisna britanska finansijska revija Euromoney za najbolju

banku u Crnoj Gori u 2008. godini proglasila NLB Montenegrobanku

ad Podgorica.

Prestiæno priznanje za nas je veoma zna~ajno, jer se radi o nagradi sa

tradicijom koja se svake godine dodjeljuje najboljim bankama i

finansijskim institucijama iz cijelog svijeta.

VeÊ deset godina za redom NLB Grupa za svoj rad prima ugledna

priznanja i nagrade od stru~ne javnosti, {to nas potvrdjuje kao jednu

od najboljih finansijskih grupacija u regionu centralne i isto~ne Evrope.

NLB Grupa danas ima 56 ~lanica na 18 træi{ta, sa 9000 zaposlenih i

1500 korespondentnih veza u 140 dræava {irom svijeta.

NLB Montenegrobanka uspje{no nastavlja tradiciju Crnogorske banke

(Banque de Montenegro) koja je osnovana prije 103 godine na Cetinju

i jedna je od najveÊih finansijskih ustanova u Crnoj Gori.

Posebno smo zahvalni svojim poslovnim partnerima i klijentima, kao i

zaposlenima u banci, koji su svojim radom i saradnjom doprinijeli ovom

visokom priznanju i uspje{nom poslovanju banke.

Ovo priznanje smatramo nagradom za dosada{nji uspje{an rad i

podsticaj za buduÊnost.

Hvala vam!

nlB three timesBritish financial review Euromoney organized the CEE Awards for Exellence 2008 in Vienna on 1 July 2008; the review has given awards to the best bank and financial institutions from all around the world since 1992. This year NLB Group, Ljubljana received as many as three awards. For the tenth consecutive year, NLB won the award for the best Slovenian bank, and for the first time NLB Montenegrobanka AD, Podgorica and Investment NLB Tutunska Broker, Macedonia, won local market awards. At the award ceremony in Vienna, Chairman of NLB Management Board Marjan Kramar said: “NLB has been receiving prestigious international prizes and awards for its performance for several years. This is a great acknowledgement for our work and a commitment for the future, at the same time. I am especially pleased that two successful members of the NLB Group also received awards this year, namely NLB Montenegrobanka and NLB Tutunska broker. I am convinced that in the future, other members of the NLB Group will also receive prestigious awards and thus confirm the NLB’s strategy, that is successful development of NLB Group and its individual banks and companies at home and abroad.” NLB Group is the largest Slovenian international financial group with high international rating. NLB is the parent bank of the NLB Group. Today, NLB Group comprises 56 members in 18 markets: banks, leasing, factoring, forfeiting, insurance companies, asset management companies and companies in other areas. It has more than 9,000 employees and 1500 correspondence connections in 140 countries of the world. NLB Montenegrobanka continues with the tradition of its predecessor MNB Crnogorska banka (Banque de Montenegro) which was established 103 years ago in Cetinje and is one of the largest financial institutions in Montenegro. As a member of the NLB Group, NLB Montenegrobanka provides a full range of traditional and modern banking services to retail clients, corporate clients and other entities engaged in development projects. Today’s award is an acknowledgment for good performance in the past and an initiative for future work’’, said Črtomir Mesarič, CEO of NLB Montenegrobanka after having received the Euromoney award..

efikasnost valutnih forward-a u zaštiti od deviznog rizika

Od komentatora zbivanja na deviznim tržištima u svetu povremeno se može čuti da se forward kursevi mogu posmatrati kao viđenje tržišta o tome kakav će biti spot kurs na dan dospeća forward transakcije, što nije tačno. Forward kurs se izračunava na osnovu tekućih kamatnih stopa na dve posmatrane valute. Tipičan primer je kotirani forward kurs sa rokom dospeća od šest meseci (uključuje kamatne stope na šestomesečne depozite)

Prof. dr Đorđe Đukić Ekonomski fakultet Beograd

Da bi se sagledale prednosti i nedostaci valutnih for-ward-a neophodno je prethodno definisati spot i for-

ward devizne kurseve i dati način njihovog izračunavanja. Spot kursevi su kursevi na današnji dan sa saldiranjem za dva dana. Forward kursevi su fiksirani kursevi za transak-ciju kasnijeg datuma. Određeni su razlikom u kamatnim stopama za dve posmatrane valute.

U uslovima nepostojanja nacionalne valute u Crnoj Gori i korišćenja evra u domaćem i međunarodnom platnom prometu, preduzeća i banke nisu izloženi deviznom riziku u meri u kojoj je to slučaj sa zemljama koje imaju sopstvenu valutu i čiji kurs slobodno fluktuira prema evru i drugim valutama. Izloženost preduzeća deviznom riziku u Crnoj Gori može nastupiti, uglavnom, zbog značajnijih oscilacija kursa evra prema US dolaru i drugim potpuno konvertibilnim valutama. U uslovima velike dnevne kolebljivosti kursa evra prema US dolaru (grafikon 1), pouzdane procene kretanja kursa evra prema US dolaru nije moguće dati. Izloženost preduzeća u Crnoj Gori gubicima po osnovu deviznog rizika je izuzetno visoka u poslednjih godinu dana ukoliko imaju prilive u US dolarima, a svoje obaveze izmiruju u evrima. Ovo zbog kontinuiranog slabljenja US dolara prema evru čiji intenzitete tokom 2007. godine i kasnije nije bio predvidiv. Prirodna reakcija preduzeća u Crnoj Gori na takva kretanja treba da bude zaštita od deviznog rizika.

jul 2008 | :Bankar

12

PROJEKTI

Grafikon 1KRETANJE KURSA EVRA PREMA US DOLARU NA DNEVNOJ BAZI (4.01.1999 - 16.05.2008)

the efficiency of currency Forwards in Foreign exchange risk hedgingThe analysts of the events at currency markets in the world occasionally say that the forward exchange rates may be observed as the view of the market on what exchange rate at maturity date of the forward transaction will be, which is not correct. Forward exchange rate is calculated on the basis of current interest rates on two observed currencies. The typical example of this is quoted forward exchange rate with maturity of six months (it includes interest rates on six-month deposits)

Đorđe Đukić, Professor, Ph.D. Faculty of Economics Belgrade

In the conditions of nonexistence of the national currency in Montenegro and the use of euro in local and international payment system, companies and banks are not exposed to FX risk as much as it is the case with the countries that have their own currency whose exchange rate freely fluctuates against euro and other currencies. The exposure of the companies to FX risk in Montenegro may occur mostly due to the significant oscillations in the exchange rate of the euro U.S. dollar and other fully convertible currencies. In the conditions when there is high daily fluctuation of the euro to U.S. dollar exchange rate (graph 1), it is not possible to give reliable evaluation of the movement of euro to U.S. dollar exchange rate. The exposure of Montenegrin companies to losses based on FX risk was extremely high in the last year for those that had inflows in U.S. dollars, but met their liabilities in euro. It is due to the continuous weakening of U.S. dollar to euro, intensity of which was not predictable during 2007 and later on. The natural reaction of the companies in Montenegro to such movements should be hedging against the FX risk.

For the purpose of reviewing strengths and weaknes-ses of currency forwards, spot and forward exchange

rates should be defined, and the manner of their cal-culation should be given. Spot exchange rates are the exchange rates as of today with settlement in two days. Forward exchange rates are fixed rates for transaction


PROJECTS

Graph 1DAILY MOVEMENT OF EURO TO U.S. DOLLAR (4 January 1999 – 16 May 2008)

U svetu 60% vrednosti zaključenih transakcija su forward-i, a 40% spot. Učešće parova valuta u ukup-nom prometu devizama u svetu je dato u sledećem pregledu:

Iz trogodišnjih izveštaja koje priprema BIS na osnovu podataka centralnih banaka zemalja članica se vidi da do-minantno mesto u ukupnom prometu deviza u svetu, u periodu 2001-2007, pripada paru US dolar/EUR, i to od 27 do 30%. Karakteristično je da je učešće para US dolar/Yen u ukupnom prometu deviza osetno smanjeno u 2007. u odnosu na 2001. godinu – sa 20 na 13% respektivno, dok je učešće para US dolar/£ neznatno povećano – sa 11 na 12%, respektivno.

Od komentatora zbivanja na deviznim tržištima u svetu povremeno se može čuti da se forward kursevi mogu po-smatrati kao viđenje tržišta o tome kakav će biti spot kurs na dan dospeća forward transakcije, što nije tačno. Forward kurs se izračunava na osnovu tekućih kamatnih stopa na dve posmatrane valute. Tipičan primer je kotirani forward kurs sa rokom dospeća od šest meseci (uključuje kamatne stope na šestomesečne depozite).

Formula za izračunavanje forward deviznog kursa:

Legenda:spot - trenutni srednji devizni kurs;varijabilna val. - valuta koja se kupuje;osnovna val. - valuta kojom se kupuje;broj dana - period forward-a.

Primer izračunavanja forward deviznog kursa:dolarima se kupuju funte na forward-u za 90 dana;stopa depozita na GBP, 90 dana: 5,75%;stopa depozita na USD, 90 dana: 6,15%;današnji srednji kurs GBP/USD: 1,6315.

Izračunavanje forward kursa:

Na svetskim tržištima, valutni (spot) kursevi se menjaju iz minuta u minut. Posledično, formula za forward pod-razumeva česta ponovna izračunavanja forward kursa. Umesto čestih izračunavanja, banke prikazuju raspon for-

jul 2008 | :Bankar

1�

PROJEKTI

2001 2004 2007u %

US dolar / Euro 30 28 27

US dolar / Jen 20 17 13

US dolar / Funta 11 14 12

Izvor: BIS (2007), “Triennial Central Bank Survey 2007“, December, p. 10.

of a later date. They are determined by difference in interest rates for two observed currencies.

Forwards represent 60% of the values of the conclu-ded transactions in the world, and 40% of them refer to spot. The share of currency pairs in total currency trading in the world is given in the following table:

The three-year reports prepared by BIS based on the data obtained from the central banks of the member states show that the dominant position in total currency turnover in the world, in period 2001-2007, refers to currency pair U.S. dollar/EUR, from 27% to 30%. The share of currency pair U.S. dollar/Yen in total currency turnover was noticeab-ly reduced in 2007 in relation to 2001 – from 20% to 13% respectively, while the share of currency pair U.S. dollar/£ slightly increased – from 11% to 12%, respectively.

The analysts of the events at currency markets in the world occasionally say that the forward exchange rates may be observed as the view of the market on what spot exchange rate at maturity date of the forward transacti-on will be, which is not correct. Forward exchange rate is calculated on the basis of current interest rates on two observed currencies. The typical example of this is qu-oted forward exchange rate with maturity of six months (it includes interest rates on six-month deposits).

The formula for calculating forward exchange ra-tes is as follows:

Legend:spot - current medium exchange rate;variable curr. - currency which is purchased;main curr. - currency used for purchase;no. of days - period of forward.

The example of calculation of forward exchange rate is as follows:GBP are purchased by U.S. dollars at 90 days forward;Deposit rate on GBP, 90 days: 5.75%;Deposit rate on USD, 90 days: 6.15%;Today’s medium exchange rate GBP/USD: 1.6315.

The calculation of forward exchange rate:

july 2008 | :Bankar1�

PROJECTS

2001 2004 2007in %

US dollar / Euro 30 28 27

US dollar / Yen 20 17 13

US dollar / UK Pound 11 14 12

Source: BIS (2007), “Triennial Central Bank Survey 2007“, December, p. 10.

ward kursa u odnosu na trenutni kurs. Taj raspon s izražava brojem swap poena. Približna vrednost broja swap poena se izračunava kao:

Navedena formula se primenjuje za depozite do 30 dana. Preko toga nije precizna. Vrednost broja swap po-ena za period druži od 30 dana se izračunava korišćenjem sledeće formule:

Legenda:r(v) – kamatna stopa na depozit u valuti koja se kupuje;r(b) – kamatna stopa na depozit u valuti kojom se kupuje.

Valutni forward-i su jedan od dva instrumenta zaštite od deviznog rizika na vanberzanskim (OTC) tržištima. Drugi instrument su cross-currency swaps.

U osnovi, forward-i predstavljaju privatne (neutržive) ugovore između dve strane. Kod valutnih forward-a ko-riste se dve vrste forward ugovora: outright forwards koji podrazumevaju fizičku isporuku valuta; i non-deliverable forwards (NDF) kod kojih se saldiranje vrši u kešu na neto osnovi. Tržište za non-deliverable forwards (NDF) je prvo ustanovljeno u zemljama Latinske Amerike, a potom u ne-kim zemljama Azije (Koreja, Tajvan, Filipini), jer su organi-zacije zainteresovane da investiraju i trguju sa subjektima u zemljama iz tih oblasti bile ograničene deviznom kontrolom (ustanovljenom regulativom) i odsustvom tržišta valutnih forward-a u valutama datih zemalja.

U slučaju NDF ne postoji fizička razmena iznosa glavni-ce. Ugovor je zaključen na osnovi da će neto saldiranje biti izvršeno u US dolarima ili u drugoj potpuno konvertibilnoj valuti, tako da izrazi razliku između ugovorenog forward kursa i stvarnog deviznog kursa na dan dospeća forward-a. Usled navedenog, NDF je sličniji ugovoru pod nazivom contract for difference nego uobičajenom forward-u.

Karakteristično je da neka preduzeća iz Hrvatske koris-te NDF za zaštitu od deviznog rizika, vezano za preduzeća koja su u njihovom vlasništvu i posluju u Srbiji. To bi mog-la da čine i preduzeća iz Crne Gore koja preko preduzeća u Srbiji u njihovom vlasništvu ostvaruju veći obim poslovanja i prihoda na tržištu Srbije.

Prednost forward kursa je što, kao fiksiran, štiti od kre-tanja valute u pravcu koji je nepovoljan za kupca/prodav-ca. Međutim, kupci/prodavci forward kursa ne mogu da prisvoje korist u slučaju da se valuta kreće u pravcu koji je povoljan za njih. Uvoznik verovatno neće da brine o ovom, jer se zadovoljava time što je zaštitio profit, primera radi, u poslu uvoza kompjutera u EMU iz SAD-a, u slučaju slabljenja evra prema US dolaru.

Forward forward ugovori se koriste kod kupovine i pro-daje u odnosu na dva datuma u budućnosti. Različiti su u odnosu na forward ugovore koji se koristi za kupovinu u budućnosti u odnosu na sadašnjost.

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At the world markets, currency (spot) exchange ra-tes have been changing from one minute to another. Consequently, the formula for forward includes frequ-ent recalculations of forward exchange rate. Instead of frequent calculations, the banks show the range of for-ward exchange rate in relation to the current exchan-ge rate. That range is shown by the number of swap points. The approximate value of the number of swap points is calculated as follows:

The above-mentioned formula is applied on depo-sits up to 30 days. This formula is not accurate beyond this period. The value of the number of swap points for the period longer than 30 days is calculated by using the following formula:

Legend:r(v) – interest rate on deposit in the currency which is purchased;r(b) – interest rate on deposit in the currency, which is used for purchase.

Currency forwards are one of two instruments of the hedging against FX risk at OTC markets. The second instrument is cross-currency swaps.

Basically, forwards represent private (non-marketab-le) contracts between two parties. Two types of forward contracts are used in currency forwards: outright for-wards which include physical delivery of currencies; and non-deliverable forwards (NDF) where the sett-lement is performed in cash on net basis. (The market for non-deliverable forwards (NDF) was firstly estab-lished in the countries of Latin America, and then in some countries in Asia (Korea, Taiwan, Philippines), since the organizations interested in investing and trading with entities in the countries from such areas were limited by FX control (established by regulation) and the absence of market of the currency forwards in currencies of the given countries).

There is no physical exchange of the amount of prin-cipal in case of NDF. The contract is concluded on the premise that net settlement will be performed in U.S. dollars or in other completely convertible currency, so that it shows the difference between the contracted forward exchange rate and actual exchange rate as of the day of the maturity of forward. Due to the above mentioned, NDF is more similar to the contract called contract for difference than the normal forward.

It is characteristic that some of the companies from Croatia use NDF to hedge against FX risk concerning companies that are in their ownership and operate in Serbia. The same can be done by the companies from Montenegro, which through the companies in Serbia

Konkretna situacija: iz određenih razloga, banka ili firma želi da kupi US dolare evrima za 3 meseca (septembar 2008) i da za 6 meseci (decembar 2008) proda US dolare za evre.

Ozbiljne manjkavosti valutnog forward-a su:prvo, visoki troškovi froward ugovora; drugo, rizik da sedevizni kurs kreće u suprotnom pravcu.

Instrumenti zaštite na vanberzanskim (OTC) tržištima - valutni forwards i cross-currency swapsValutni swap je kupovina valute spot praćena sa njenom simultanom prodajom forward.

Formalno, valutni swap je ugovor koji omogućava da se jedna valuta periodično razmeni za drugu valutu, po specificiranim (preciziranim) deviznim kursevima.

U esenciji, valutni swap-ovi predstavljaju seriju for-ward ugovora. Utvrđuju se za duže periode u odno-su na forward.Swap-ovi se mogu posmatrati kao portfolio forward ugovora. Njihova cena se može utvrđivati korišće- njem iste formule za vrednovanje forward-a. Primer: Valutni swap sa rokom dospeća od 10 godina

može da uključuje sporazum da se svake godine razme-ni 5 mil. USA $ za 3 mil. £ tokom sledećih 10 godina, pored razmene glavnice od 100 mil. USA $ za 50 mil. £, pri isteku navedenog roka.

Banke olakšavaju korišćenje valutnih swap-ova time što posreduju između dve strane u poslu sa različi-tim potrebama.Alternativno, banke mogu biti voljne da budu suprotna strana u poslu datom preduzeću koje ima posebne potrebe. U tom slučaju banke izlažu sebe deviznom riziku, ukoliko pozicija koju su preuzele ne kompenzira postojeću izloženost.

Cross-currency swaps:Najviše se koriste:

cross-currency coupon swap (CCCS); i cross-currency basis swap (CCBS)

CCCS se definiše kao kupovina valutnog swap-a i is-tovremeno plaćanja kamate po fiksnoj stopi i primanje kamate po fluktuirajućoj stopi.

Prednost CCCS: Omogućava firmama da upravljaju njihovim deviznim rizikom i kamatnim rizikom, kada to žele.

Manjkavost CCCS: Firma koja ga je kupila postaje ranjiva na oba pomenuta rizika.

CCBS se definiše kao kupovina valutnog swap-a i is-tovremeno plaćanje kamate po fluktuirajućoj stopi u valuti i primanje kamate po fluktuirajućoj stopi u dru-goj valuti.

CCBS, dok pretpostavlja isti devizni rizik kao u sluča-ju valutnog swap-a, ima prednost u tome što omoguća-va firmi da obuhvati (capture) preovlađujuće razlike u kamatnim stopama.

Glavna slabost CCBS: primarni rizik za firmu postaje kamatni rizik, pre nego devizni rizik.

Na slici 1 je dat uobičajeni prikaz EUR/USD forward-a prema programu Reuters 3000Xtra: EUR/USD u real-nom vremenu (na dan 26.05.2008) – 1.5764/66; ročnost; broj swap poena kod kupovnog i prodajnog forward kursa, prema izvoru i vremenu; početni datum i datum

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dospeća; outright kursevi na osnovu trenutnih tržišnih spot kurseva.

perspeKtive razvoja tržišta valutnih ForWard-u u Korporativnom BanKarstvu crne gorePerspektive razvoja tržišta valutnih forward-u u domenu korporativnog bankarstva u Crnoj Gori zavisi od brzine uklanjanja do sada prisutnih barijera na strani tražnje za forward-ima: Nedovoljno razumevanje potreba za zašti-tom od deviznog rizika od strane menadžmenta preduzeća. Odsustvo odgovornosti menadžmenta u velikim preduzeći-ma za gubitke na kursnim razlikama nastalih usled odluke da se spekuliše na kretanju kursa.

Nedovoljno razumevanje potreba za zaštitom od de-viznog rizika od strane menažmenta preduzeća može biti eliminisano samo kontinuiranom inovacijom znanja ru-kovodilaca zaduženih za finansije u preduzećima. To po-tvrđuje rekacija 17 polaznika, uglavnom iz velikih privatnih i javnih preduzeća iz Srbije, na kursu koji je u martu 2008. organizovan na Ekonomskom fakultetu u Beogradu, pod nazivom: “Izloženost deviznom riziku preduzeća i finan-sijskih institucija u Srbiji i zaštita od deviznog rizika”.

Za svoje odluke o upravljanju deviznim rizikom pre-duzeća sa značajnom izloženošću tom riziku često imaju potrebu da uspostave operativni okvir za najbolje prak-se. Ove prakse mogle bi da uključe:

Prvo, identifikaciju tipa deviznog rizika kome je pre-duzeće izloženo i merenje pridružene izloženosti rizi-ku. To uključuje: određivanje rizika kod transakacije, rizika prelaza (translation) i ekonomskog rizika, zajed-no sa preciziranjem valuta na koje se pojedini tipovi deviznog rizika odnose; merenje ovih deviznih rizika – korišćenjem različitih modela (tj. VaR) kao drugog kritičnog elementa u identifikovanju pozicija zaštite (hedging positions).

Drugo, izradu strategije upravljanja deviznim rizi-kom. U njoj treba: prvo, specificirati ciljeve preduzeća u pogledu zaštite od valuta – da li i zašto bi preduzeće trebala u potpunosti ili delimično da se zaštiti od svojih izloženosti prema valutama; drugo, ustanoviti detaljan pristup zaštite, uključujući proces izvršenja zaštite od valute, instrumente zaštite koji će se koristiti, kao i pro-cedure za monitoring zaštita od valuta.

Treće, kreiranje centralizovane jedinice u pozadinskoj službi (treasury) koja treba da se bavi praktičnim aspek-tima izvršenja zaštite od deviznog kursa. Ta jedinica je odgovorna za: prognoziranje deviznog kursa; mehaniz-me pristupa zaštite; računovodstvene procedure koje se odnose na devizni rizik; troškove zaštite od valute; ustanovljavanje referentnih vrednosti (banchmarks) za merenje rezultata u pogledu zaštite od valute.

Navedene operacije mogu biti preduzete od strane specijalizovanog tima na čijem čelu je rukovodilac po-zadinske službe.

Četvrto, izrada seta kontrola da bi se vršio moni-toring deviznog rizika preduzeća i osiguralo odgova-rajuće pozicioniranje (position taking). To uključuje: ustanovljavanje limit pozicija za svaki instrument za-štite; monitoring pozicije kroz vrednovanje po tekućoj tržišnoj ceni (mark-to-market) svih valutnih pozicija na dnevnoj osnovi (ili tokom dana); ustanovljavanje

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in their ownership have higher volume of operations and income at the market in Serbia.

The advantage of the forward exchange rate is that it hedges, as fixed rate, against the movement of curren-cies in the adverse direction for buyer/seller. However, buyers/sellers of forward exchange rate cannot have benefit in case of the movement of the currency in the direction that is favorable for them. The importer will not likely take care of this, since it is satisfied by hed-ging the profit, for example, in the business of import of computers from USA to EMU, in case of euro we-akening against U.S. dollar.

Forward forward contracts are used in purchase and sale in relation to two dates in the future. They differ in relation to forward contract, which is used for the pur-chase in the future in relation to present date. The spe-cific situation is the following: due to specific reasons, a bank or a company that wishes to buy U.S. dollars for euro for 3 months (September 2008) and sell U.S. dollars for euro for 6 months (December 2008).

Serious deficiencies of the currency forward are:firstly, high expenses of forward contract;secondly, risk that exchange rate will move in the

opposite direction.

Hedging instruments at OTC markets – currency forwards and cross-currency swapsCurrency swap is the purchase of currency spot followed by its simultaneous sale of forward.

Formally, currency swap is contract, which enables that one currency, is periodically exchanged with anot-her currency, by specified (accurate) exchange rates.

In essence, currency swaps represent a series of forward contracts. They are determined for longer periods in relation to forward. Swaps may be observed as portfolio of forward con-tracts. Their price may be determined by using the same formula as for validation of forward. Example: Currency swap with maturity of 10 years

may include the agreement to exchange USD 5 mil-lion for GBP 3 million each year during following 10 years, besides the exchange of principal of USD 100 million for GBP 50 million after the expiration of the mentioned period.

The banks facilitate the usage of the currency swaps by intervening between two parties in the business with different needs. Alternatively, the banks may be willing to become counterparties in the business of the given company that has special needs. In that case the banks expose themselves to FX risk, if the position that they have un-dertaken does not compensate the existing exposure.

Cross-currency swaps:The following are mostly used:

cross-currency coupon swap (CCCS); and cross-currency basis swap (CCBS)

CCCS is defined as the purchase of currency swap and si-multaneous payment of interest at fixed rate and reception of the interest at variable rate.

The advantage of CCCS: it enables the companies

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to manage their FX risk and interest rate risk, when they wish to do so.

The disadvantage of CCCS: the company that pur-chased it becomes vulnerable to both of the menti-oned risks.

CCBS is defined as the purchase of currency swap and simultaneous payment of interest at variable rate in the currency and reception of the interest at variab-le rate in other currency.

CCBS, while it assumes the same FX risk as in case of currency swap, its advantage is that it enables the company to capture the prevailing differences in in-terest rates.

Key weakness of CCBS: the primary risk for the com-pany becomes interest rate risk rather than FX risk.

Picture 1 gives the usual outline of EUR/USD forward based on the Reuters Program 3000Xtra: EUR/USD in real time (as of 26 May 2008) – 1.5764/66; maturity; number of swap points with bid and offer of forward exchange rate, based on source and time; the initial date/start and maturity date; outright exchange rates based on current market sport exchange rates.

thE pErspEctivE of thE dEvElopmEnt of currEncy ForWard marKet in corporate BanKing oF montenegro The perspective for the development of the market of curren-cy forwards in the area of corporate banking in Montenegro depends of the velocity of removing present barriers on demand for forwards: insufficient understanding of the need to hedge against FX risk by management of the com-panies. The absence of management responsibility in big companies for foreign exchange translation losses resulted from the decision to speculate with the movements of the exchange rates.

Insufficient understanding of the need to hedge against FX risk by the management of the companies may be eliminated only through on-going innovation of knowledge of the managers responsible for the fi-nances in the companies. This is confirmed by the re-action of 17 participants, mostly from big private and public companies from Serbia, at the seminar which was held in March 2008 at the Faculty of Economics in Belgrade titled: “The exposure to FX risk of the com-panies and financial institutions in Serbia and hedge against FX risk”.

The companies with significant exposure to FX risk often have the need to establish operating framework for best practices for their deciding on FX risk mana-gement. These practices might include the following:

Firstly, the identification of the type of the FX risk the company is exposed and measurement of related exposure to risk. It includes: setting up the risk in a transaction, translation and economic risks, along with determining the currencies related to the individual types of FX risk; measurement of such FX risks – using various models (i.e. VaR) as the second crucial element in identification of hedging positions.

Secondly, the strategy of FX risk management should be developed. It should: firstly, specify the objectives of the company with respect to the hedging against cur-rencies – should and why the company be completely

referentnih vrednosti (banchmarks) zaštite od valute za periodični monitoring postignutih rezultata kod za-štite (obično mesečno).

Peto, uspostavljanje odbora za nadziranje rizika koji bi trebalo da: posebno, odobrava limite kod pozicija koje se preuzimaju; ispituje adekvatnost instrumenata zaštite i pridruženih VaR pozicija; preispituje politiku upravljanja rizikom prema ustaljenoj dinamici.

Ukoliko u narednom periodu sve veći broj preduzeća u Crnoj Gori koja su značajno izložena deviznom riziku bude uspostavljalo operativni okvir za najbolje prakse upravljanja deviznim rizikom koji je kristalizovalo is-kustvo velikog broja preduzeća u svetu, tržišta valutnih forward-a i drugih instrumenata zaštite od deviznog ri-zika na OTC tržištima će brže da se razvijaju.

S obzirom da kurs evra prema US dolaru ispoljava sve veće dnevne oscilacije i da su preduzeća u Crnoj Gori u visokom stepenu izložena deviznom riziku i mogućim gu-bicima po osnovu tog rizika, logično je da banke nude pre-duzećima u Crnoj Gori valutne forward-e kao instrumente za zaštitu od deviznog rizike. Ovo u funkciji privlačenja i zadržavanja velikih klijenata iz korporativnog sektora.

Na strani tražnje, preduzeća u Crnoj Gori još uvek ne ispoljavaju veliki interes za kupovinu valutnih forward-a, što ukazuje da nisu dovoljno osetljiva na izloženost deviznom riziku ili da nisu svesna mogućeg gubitka po osnovu tog rizika. Ovo naročito u periodima izuzetno velikih dnevnih oscilacija u kursu evra prema US dol-raru i drugim valuta sa kojima operišu.

Perspektive razvoja tržišta valutnih forward-u u kor-porativnom bankarstvu Crne Gore zavise od brzine uk-lanjanja do sada prisutnih barijera. Banke bi lakše mog-le da ubede klijente iz korporativnog sektora, pre svega velike, o svrsishodnosti ulaska u aranžman zaštite od deviznog rizika kupovinom valutnih forward-a.

Na drugoj strani, organizovanje seminara za ino-vaciju znanja iz oblasti tehnika zaštite od deviznog rizika preduzeća, neminovno će da dovode do rastuće svesti kod menadžmenta zaduženih za finansije pre-duzeća o svrsishodnosti korišćenja valutnih forward-a i drugih instrumenata za zaštitu od deviznog rizika. To potvrđuje iskustvo u Srbiji, nakon prvog, nedav-no održanog, seminara na Ekonomskom fakultetu u Beogradu ■

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Picture 1: Outline of EUR/USD Forward based on the Reuters Program

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or partly hedged against its exposures to currencies; and determine detailed hedging approach, hedging instruments to be used, as well as the procedures for monitoring hedging against the currencies.

Thirdly, centralized unit in the treasury that will deal with the practical aspects of exercising the hed-ging against the FX risk should be created. That unit is responsible for: exchange rate forecasts; mechanisms of hedging approach; accounting procedures concer-ning FX risk; costs of hedging; establishment of ben-chmarks for measurement of the results concerning hedging against the currencies.

The above-mentioned operations may be underta-ken by the specialized team headed by the manager of the treasury unit.

Fourthly, set of controls for monitoring of FX risk of the companies and ensuring appropriate position taking should be prepared. It includes: setting up po-sition limit for each hedging instrument; monitoring positions through marking to market all currency positions on daily basis (or during the day); setting up benchmarks for hedging against currency for pe-riodical monitoring of the achieved hedging results (usually monthly).

Fifth, establishing the committee for monitoring ris-ks, which should particularly approve limits in posi-tion taking, review adequacy of hedging instruments and related VaR positions and review risk management policy based on the standardized dynamics.

If, in the forthcoming period, higher number of com-panies in Montenegro that are significantly exposed to FX risk establish operational framework for best practices in FX risk management that has been crys-tallized by the experience of large number of compa-nies in the world, the markets of currency forwards

and other instruments of hedging against FX risk at OTC markets will develop faster.

Since euro to U.S. dollar exchange rate shows higher daily oscillations and companies in Montenegro are highly exposed to FX risk and possible losses based on this risk, it is logical that the banks offer curren-cy forwards to the companies in Montenegro as hed-ging instruments against FX risk. It is in the function of attracting and keeping big clients from corporate sector.

On the demand side, the companies in Montenegro still do not show high interest for the purchase of cur-rency forwards, which points out that they are not sen-sitive enough to the exposure to FX risk or they are not aware of possible loss based on this risk. This is evident in periods of extremely high daily oscillation in euro to U.S. dollar exchange rate and other curren-cies in which they operate.

The perspectives for the development of the mar-ket of currency forwards in corporate banking in Montenegro depend on the velocity of removing the barriers that have been present so far. The banks could easier persuade the clients from the corporate sector, primarily big ones, on the usefulness of the entrance the hedging arrangement against FX risk by purcha-sing currency forwards.

On the other hand, the organization of the seminar for the innovation of knowledge in the area of hed-ging techniques against FX risk of the companies will inevitably lead to the growing awareness of managers responsible for the finances of the companies on the appropriateness of using currency forwards and other instruments for hedging against FX risk. It confirms the experience in Serbia, after first, recently held se-minar at the Faculty of Economics in Belgrade ■

dijeljenje kreditnog rizika, podsticaj za investiranje i rast Pristup MSP finansiranju može se olakšati pružanjem garancija od strane takozvanih kreditno-garantnih fondova (KGF). Priroda KGF se razlikuje od zemlje do zemlje, ali su im zajedničke neke osnovne karakteristike, odnosno oni obavljaju socijalnu funkciju, kroz podršku pristupu kreditima za slabije korisnike, u liku komercijalnih kompanija, i ispunjavaju sve obaveze takvih finansijskih institucija

Pozitivna uloga malih i srednjih predu-zeća (MSP) u privredi je široko prepoz-

nata: ona stvaraju dodatnu vrijednost i rad-na mjesta, doprinose inovacijama. Tome se može dodati doprinos MSP formiranju solidne društvene strukture, njihovo pri-sustvo u manje razvijenim oblastima, te njihov demokratski duh.

Međutim, pristup MSP bankovnim kreditima može biti posebno težak u slu-čajevima kada ne posjeduju dovoljno obezbjeđenje ili dovoljno dobre rezul-tate poslovanja ili istorijat kreditiranja. Često su MSP osjetljivija od većih kom-panija na promjene u ekonomskoj klimi. U mnogim zemljama, a posebno u Crnoj Gori, stopa finansijskog posredovanja je znatno porasla, ali je još uvijek potrebno raditi na direktnom finansiranju u cilju produktivnih investicija.

Pristup MSP finansiranju može se olakšati pružanjem garancija od strane takozvanih kreditno-garantnih fondova (KGF). Priroda KGF se razlikuje od zemlje do zemlje, ali su im zajedničke neke osnovne karakteristike, odnosno oni obavljaju socijalnu funkciju,

kroz podršku pristupu kreditima za slabije korisnike, u liku komercijalnih kompanija, i ispunjavaju sve obaveze takvih finansij-skih institucija.

Kreditne garancije pružaju pokriće kre-ditorima - poslovnim bankama - u slu-čajevima kada korisnik kredita kasni sa otplatom, odnosno kada kreditor ima po-traživanja od korisnika, a ovaj nije u mo-gućnosti da ispuni svoje obaveze. Da bi bio uspješan, KGF mora pružiti uslugu tržišnim partnerima - kako MSP tako i poslovnim bankama.

U pogledu MSP, KGF posjeduje prednost olakšavanja pristupa spoljnim finansijskim resursima bez umanjivanja finansijskih obaveza korisnika kredita. Taj pristup sred-stvima može se pokazati kao katalizator za pokretanje i širenje poslovanja. Garancije se izdaju na osnovu temeljne analize kvan-titativnih i kvalitativnih parametara. To za posljedicu ima stimulisanje preduzetništva, dok menadžeri MSP i preduzetnici takođe imaju koristi od finansijskih savjeta koje pruža KGF.

Kad je riječ o odnosu sa poslovnim banka-ma, KGF pomaže da se smanji ukupni rizik sa kojim se suočavaju finansijske institucije. Na taj način KGF doprinosi bezbjednijem razvijanju kreditnih portfolija MSP.

U okviru Bazela 2 i Direktive EU o ka-pitalu, kreditne garancije koje izdaje KGF smatraju se korisnim instrumentom za „ublažavanje rizika” i omogućavaju ban-kama da smanje svoje provizije.

Danas na teritoriji proširene EU po-stoji 35 kreditno-garantnih fondova, koji funkcionišu u 19 država, sa ukupnim ku-mulativnim kapitalom od oko 6 milijardi eura. To je omogućilo evropskom KGF-u da izda kreditne garancije za ukupni iznos od 50 milijardi eura. Riječ je o impresivnim brojkama, koje ističu i jednu od najvažni-jih karakteristika fondova - njihov „efe-kat multiplikatora”. Zapravo, u zemljama EU, sa jednim eurom sopstvenih sredsta-va KGF je u mogućnosti da generiše oko 9 eura garancija, ili oko 15 eura kredita, koji, potom, za rezultat imaju oko 25 eura investicija. U zemljama EU, KGF podrža-va različite kreditne operacije, od kredita za obrtni kapital do kredita za dugoročne investicije. U nekim državama KGF može pružiti i takozvane „tehničke garancije”, na primjer garancije za uspjeh javnih radova, garancije za povraćaj PDV-a i sl.

Uzveši u obzir sve što je rečeno do sad, ne iznenađuje što je u zemljama EU osni-vanje KGF-a imalo aktivnu podršku vlada, koje su često doprinosile njihovoj kapita-lizaciji. Ove fondove podržavaju i evrop-ske institucije. Glavni program podrške predstavljaju kontragarancije koje dobro organizovanim fondovima nudi Evropski investicioni fond, u cilju jačanja finansij-ske solidnosti i omogućavanja većeg obi-ma garancija.

O osnivanju KGF-a u Crnoj Gori se govori već duže vrijeme. Međutim, formiranje nove kreditno-garantne institucije nije jednosta-

Andre Duet bivši generalni sekretar Evropskog udruženja kreditno-garantnih fondova Roberto Zavata rukovodilac projekta EAR posvećenog Kreditno- garantnom fondu

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KREDITNO-GARANTNI FOND

dijeljenje kreditnog rizika, podsticaj za investiranje i rast

sharing credit risks, an incentive for investment and growthSME’s access to financing can be facilitated by guarantees provided by the so called “credit guarantee funds” (CGF). The nature of CGF varies across the countries, but they all share some basic features, i.e. they exert a social function, assisting access to credit for weaker borrowers, dressed in the clothes of commercial companies, and complying with all obligations of such a financial institutions

The positive role of small and medium-sized enterprise (SME) in the economy

is widely recognized: they create value ad-ded and jobs, contribute to innovation. To this, one can add the contribution of SME to the emergence of a solid social fabric, their presence in less developed areas, and their democratic spirit.

However, access to bank loans can be particularly difficult for SME in cases whe-re they have insufficient collateral or lack a sufficient track record or credit history. Often, SME are also more sensitive towards changes in the economic climate than larger companies. In many countries, and parti-cularly in Montenegro, the rate of financial intermediation has risen substantially, but still efforts have to be made to direct finan-cing towards productive investments.

Credit guarantees provide cover to len-ders – commercial banks - in cases whe-re the borrower defaults on repayments, i.e. when the lender makes a claim on the borrower and the latter is unable to meet its obligations. To be successful, CGF must provide a service to both market partners, the SME and commercial banks.

Regarding SME, CGF have the advantage of facilitating access to external financial resources without diminishing the finan-cial responsibilities of the borrower. This access to finance can prove a catalyst for the launching and expansion of a business. Guarantees are issued on the basis of a sound analysis of quantitative and qualitative pa-

rameters. As a consequence, entrepreneurs-hip is stimulated and SME managers and entrepreneurs also benefit from the finan-cial advice provided by the CGF.

Regarding the relationship with com-mercial banks, CGF help to reduce the overall risk faced by financial institutions. In this way, CGF contribute to a safer de-velopment of SME loan portfolios. In the framework of the Basel 2 accord and of the EU Capital Directive, the credit guarante-es issued by CGF are regarded as a useful “risk mitigating” instrument, and allow banks to reduce their provisions.

Nowadays, in the territory of the enlar-ged EU there are 35 CGF, operating in 19 countries, with a total cumulated capital of about 6 billion euros. This has allowed European CGF to issue credit guarante-es for a total amount of 50 billion euros. These are impressive figures, which also highlight one of the most important featu-res of CGF, i.e. their “multiplier effect”. In fact, in EU countries, with 1 Euro of own funds, CGF are able to generate about 9 euros of guarantees, or about 15 euros of loans which, in turn, result in about 25 euros of investment. In EU countries, CGF support different credit operations, from working capital loans to long term inves-tment loans. In certain countries, CGF can also provide the so called “technical guarantees”, e.g. guarantees for the good performance of public works, guarantees for VAT reimbursement, etc.

Given the above, it is not surprising that in EU countries establishment of CGF has been actively supported by governments, which in many cases have contribute to their capitalization. CGF are also supported by European institutions. A major supporting scheme is represented by the counter gu-arantees offered by the European Investment Fund to well organized CGF, in order to strengthen the financial solidity and allow a bigger volume of guarantees.

The establishment of a CGF in Montenegro has been under discussion for a long time. However, creating a new credit guarantee institution is not a simple job, as it requ-ires a detailed analysis of the local context. Among the issues to be reviewed are:

-what are the prevailing market conditi-ons between borrowers and lenders? What should be the main target market?

-what is the average probability of default of business loans? At what level should the guarantee premium be set to be affordab-

André Douette former Secretary General of the European Association of Credit Guarantee FundsRoberto Zavatta team leader of the EAR project on CGF


CREDIT GUARANTEE FUNDS

van posao, s obzirom da zahtijeva detaljnu analizu domaćeg konteksta. U pitanja koja je potrebno sagledati spadaju i sljedeća:

kakvi su dominantni tržišni uslovi između dužnika i kreditora, koje bi trebalo da bude glavno ciljno tržište;

koja je prosječna vjerovatnoća kašnjenja sa otplatom poslovnih kredita, koji nivo garantne premije odrediti tako da bude pristupačna dužni-cima a istovremeno omogući održivost fonda;

koji je poželjni iznos kapitala koji treba mo-bilisati kako bi se ostvario maksimalan efekat fonda, ko treba da obezbijedi taj kapital, da li je moguće da, kao što je slučaj u nekoliko zemalja EU, poslovne asocijacije, banke i vladini organi udruže snage u cilju kapitalizacije fonda?

U slučaju Crne Gore, navedena pitanja su temeljno analizirana u okviru projekta za teh-ničku pomoć koji finansira Evropska komisija a vodi Evropska agencija za rekonstrukciju (EAR). Tokom više od dvije godine, grupa

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evropskih stručnjaka je tijesno sarađivala sa crnogorskim institucijama, poslovnim udru-ženjima i bankama u cilju pronalaženja za-dovoljavajućeg rješenja za razna pitanja. Ta saradnja je doprinijela i izgradnji svijesti kod svih zainteresovanih grupa u pogledu pred-nosti KGF-a i na kraju uspjela da dovede do konsenzusa između raznih aktera kad je u pi-tanju osnivanje i početna kapitalizacija KGF-a.

Još jedan suštinski aspekt koji treba sagle-dati jeste da poslovne banke moraju shvatiti KGF kao uglednog i kredibilnog partnera. U tom smislu, ključno mjesto ima nadzor nad poslovanjem fonda – ukoliko fond bude podvrgnut ozbiljnoj adekvatnoj regulaciji koja se stara da se kreditne garancije izda-ju na osnovu ispravnih principa, to će biti važan korak u pravom smjeru.

U našoj zemlji uloga nadzora nad KGF-om povjerena je Centralnoj banci Crne Gore (CBCG), koja će posebno:

biti pozvana da izdaje licence novom KGF, starajući se da je plan poslovanja realan i pouzdan, da menadžeri raspolažu traženim kvalifikacijama, da je prikupljen minimum akcijskog kapitala, da se efekat multiplika-cije kreće u bezbjednim okvirima;

određivati druge uslove za utvrđivanje, mjerenje, praćenje i nadzor nad svim vrstama rizika koji se sreću u redovnom poslovanju, uzevši posebno u obzir kreditni rizik, rizik likvidnosti i tržišne rizike. Takođe, uprav- ljačka tijela KGF-a biće obavezna da usvo-je politike i procedure koje su zadovoljava-juće za CBCG.

Sa usvajanjem novog Zakona o bankama i propisa CBCG o osnivanju i funkcionisanju KGF-a, biće ispunjeni svi osnovni uslovi za efikasno pokretanje prve kreditno-garan-tne institucije, a Crna Gora će napraviti još jedan korak u pravcu približavanja uslovim koji postoje u članicama EU ■

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kuda ide us $?Kretanje vrijednosti valuta je kompleksan problem, koji u sebi sadrži mnoštvo strateških ekonomskih, političkih i sveukupnih međunarodnih parametara, koji se ogledaju i u jačanju, ili slabljenju određenih centara moći, uzrokovano različitim okolnostima. Logika dosadašnjih kretanja valuta, pravila ekonomije i logike ne moraju uvijek i da budu u skladu sa tekućim dešavanjima

mr Bratislav Pejaković direktor SMECA za Crnu Goru

Osluškivanje političkih uz konstantno praćenje eko-nomskih kretanja je od najvećeg značaja. Tako je

npr. 20 maja 2005. vrijednost eura u odnosu na dolar dostigla najniži nivo od oktobra 2004. Ovakvo kretanje bilo je uslovljeno očekivanim odbijanjem Ustava EU, prvo od Francuza, a potom i Holanđana, zatim nedovoljnim rastom francuske ekonomije (od svega 0,2% u odnosu na očekivanih 0,5% u prvom kvartalu 2005 god.). To je nastavljeno i u drugom kvartalu.Tu su i zakašnjeli nega-tivni efekti apresijacije eura krajem prethodne godine kao i rast cijene nafte. Dodata je tome i najava ulaska italijan-ske ekonomije u recesiju. Ovo je jedna strana sagledava- nja vrijednosti EUR verso USD, a drugu u tom trenutku predstavljalo je i djelovanje američke administracije koju pomno prate veliki trgovci novcem. Naime, pad vrijed-

nosti eura bio je primarno uslovljen vri-jednošću USD koji raste i za-hvaljujući prekograničnim djelovanjem, gdje hedž fon-dovi i drugi spekulativni fondovi oslobađaju dolarske depozite, pozajmljujući dolare da bi otkupili ne-dolar-sku aktivu i na taj način uvećavajući US kamatne stope i čineći njihove pozicije skupljim za držanje. Dakle, sve to je uticalo na rast vrijednosti USD. Međutim, prom-jena ponašanja ruskih vlasnika nafte i naftovoda koji su najavljivali mogućnost promjene politike u smislu obra-čuna i naplate nafte u eurima kao stabilnijoj valuti, uka-zivalo je na realnu mogućnost ponovnog pada vrijed-

TRGOVANJE VALUTAMA

KREDITNO-GARANTNI FOND

CREDIT GUARANTEE FUNDS

le by borrowers and at the same time the viability of the CGF?

-what is the desirable amount of capital be mobilized in order to maximize the CGF impact? Who should provide this capital? Is it possible to have, as in a number of EU countries, business associations, banks and government authorities to join forces, in order to capitalize the CGF?

In the case of Montenegro, the above issues were thoroughly revised within the framework of a technical assistance pro-ject funded by the European Commission and managed by the European Agency for Reconstruction (EAR). During more than two years, a group of European experts worked closely with Montenegrin institu-tions, business associations and banks to find a satisfactory solution to the various questions. This work also contributed to raise the awareness regarding the benefits

of CGF among all the stakeholders and eventually succeeded in creating a consen-sus among the various players, regarding the establishment and initial capitalizati-on of the CGF.

Another essential aspect to be conside-red is that the CGF must be regarded as a reputable and credible partner by commer-cial banks. In this respect, a cornerstone is the supervision of CGF operations: if CGF are subject to a serious prudential regulati-on that makes sure that credit guarantees are issued on the basis of sound princip-les, then a crucially important step in the good direction has been made.

In our country the role of supervising CGF is entrusted to the Central Bank of Montenegro (CBM). In particular, the CBM:

will be called to issue licenses to new CGF, ensuring that the business plan is re-

alistic and reliable, that managers have the requested qualifications, that a minimum equity has been collected, that the multip-lying effect is kept within safe limits;

will determine other requirements to identify, measure, monitor and supervise all kinds of risks met in day to day opera-tions, with special reference to credit risk, liquidity risk and market risks. Furthermore, CGF governing bodies will be required to adopt policies and procedures that are sa-tisfactory to the CBM.

With passing of the new Law on Banks and the ensuing approval of the CBM re-gulation on the establishment and operati-ons of CGF, all the basic conditions for the effective launch of the first credit guarantee institution will be met, and Montenegro will have accomplished one more step in the direction of approximating conditions present in EU member states ■


CURRENCY TRADING

Where is the dollar heading?Trends in currency values represent a complex issue that contains a number of strategic, economic, political and ove-rall international parameters, also reflected in the strengthe-ning or weakening of certain centers of power, due to various circumstances. The logic of currency trends so far, the rules of economics and logic do not always need to correspond with current developments

M.Sc. Bratislav Pejaković SMECA Director, Montenegro

Being alert to political trends, along with constant monitoring of the economic ones, is of utmost im-

portance. Thus, for example, on 20 May 2005, the value of euro against dollar hit its lowest since October 2004. This trend was a result of the anticipated rejection of the EU Constitution, first by the French and then by the Dutch, as well as the insufficient growth of French economy (as low as 0.2% compared to the anticipated 0.5% in the first quarter of 2005) that continued in the second quarter. There were also delayed negative effects of euro appreciation late in the preceding year and the increase in the price of oil. In addition, there was the announcement of Italian economy entering a recession. This is one side of looking at the value of EUR against USD; the other side, at the given moment, was the ac-

tivity of US administration, closely observed by large currency dealers. Namely, the fall in the value of euro was caused primarily by the increasing value of USD and by overseas activity, with hedge funds and other speculative funds releasing dollar deposits and borro-wing dollars to buy dollar assets, thus increasing US interest rates and making their positions more expen-sive to hold. All of this influenced the increase in the value of USD. However, the change in the behavior of Russian oil and oil pipeline owners, who announced the possibility of changing their policy in the sense of billing and collection of oil in euro, as a more stable currency, indicated a realistic option of another fall in the value of USD. It was possible to predict the fall based on the data on US retail sector, which recorded

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TRGOVANJE VALUTAMA

nosti USD. Pad je mogao da se predvidi i iz podataka o američkoj maloprodaji koja je evidentirala snažan pad prometa u odnosu na promete iz prethodnih par godi-na. Istovremeno su proizvođačke cijene pale na najniži nivo u periodu 2003-2005 god. Prihodi kapitala u SAD su bili ispod očekivanja tržišta i nedovoljni da bi pokri-li spoljnotrgovinski deficit. Nada za dolar, postojala je na osnovu produbljenog kamatnog jaza između SAD i eurozone koji je održavao dolar na visokom nivou. U tom periodu ključna kamatna stopa u Americi je iz-nosila tri odsto, a u eurozoni dva posto. Krajem juna u odnosu na mart 2005.god. kurs jedinstvene evropske valute izgubio je oko 10% vrijednosti prema dolaru zbog usporenog privrednog rasta u eurozoni i velike zabri-nutosti oko političke kohezije u regionu.

Danas, sredinom 2008.god, imamo sasvim obrnutu situaciju. Svjedoci smo jakog pada vrijednosti dolara u odnosu na prethodne godine gdje jedan USD na dan 15. 06. 2008. god. po srednjoj obračunskoj cijeni vrijedi 0,6521 eura. Pad vrijednosti USD posljedica je rekord-nog manjka u američkom bilansu plaćanja. Mediji su objavili analize ekonomista koji su ukazali da su uzro-ci krize američke ekonomije u kreditnoj krizi i krizi na tržištu nekretnina (hipotekarno tržište), te rastu cijena goriva i vojnim troškovima. Neke od analiza ukazuju da se američki nacionalni dug dnevno produbljuje za oko 1,4 milijarde dolara, ili skoro milion dolara po mi-nuti. Sve dok ima onih koji su spremni da kreditiraju

američku vladu, u čemu se ističu azijske zemlje koje zapravo i održavaju vrijednost USD. Procjene dijela američkih ekonomista su da će nacionalni dug, odnos-no ukupna akumulacija godišnjih budžetskih deficita, sa 5,7 triliona dolara koliko je iznosio januara 2001. god. porasti na 10 triliona dolara u januaru 2009. god. Ovakva procjena se zasniva na podacima da zagaranto-vani programi socijalne i zdrastvene zaštite stalno rastu (a čine najveći dio savezne potrošnje). Vojni troškovi su na drugom mjestu. Uprkos najavama obije stranke da će suzbiti saveznu potrošnju, nacionalni dug kao postotak američkog bruto društvenog proizvoda po-rastao je sa oko 35% u 1975. god. na oko 65% na kraju 2007.god. Amerika je velika zemlja koja zna da se nosi i sa ovakvim problemima i pitanje je vremena kada će izaći iz recesije, i luksuz koji sebi mogu priuštiti veliki nedostupan je ostalima.

Nekontrolisan pad USD može pomoći smanjenju visokog trgovinskog i budžetskog deficita SAD što bi se moglo vratiti kao bumerang SAD, kroz dugoročno slabljenje uloge dolara kao sredstva svjetskih rezervi. Značajnu ulogu u pozicioniranju vrijednosti dolara imaju i Centralne banke, odnosno Vlade Kine, Japana, a zatim Rusije i Indije koje značajna sredstva deviznih rezervi drže u USD. Njihova odluka o izmjeni strukture deviznih rezervi u korist eura, mogu izazvati značajna pomjeranja na tržištu valuta. Kakva će kretanja stvar-no i biti, znaju samo veliki igrači na ovom značajnom tržištu za svjetsku ekonomiju.

KaKo ćemo mi ?Odgovorne osobe u institucijama sistema i bankama moraju biti svjesni međunarodnih kretanja i uslo-va pod kojim se zadužuju. Ovdje se posebno misli na projekte od državne važnosti (kapitalne investicije po-put obnove pomorske privrede gdje imamo tradiciju i ljudske resurse, razvojni infrastrukturni objekti koje moramo graditi). Cijena pogrešnog zaduživanja može biti veća u dijelu kamata i kursnih razlika od osnov-nog kredita koji nam je omogućio izgradnju nekog objekta. Evo i primjera jedne njemačke banke. Naime, banka je sredinom 1978.god. kada je kurs dolar/marka iznosio 1,75 marke za dolar, uzela milion dolara sed-mogodišnjeg kredita i stavila ga na raspolaganje svom komitentu u iznosu od 1.750.000 njemačkih maraka. Na dan dospjeća ovog kredita, februara 1985.godine, kada je kurs skočio na 3,46 marke za dolar, njemačka banka je vratila milion dolara, za koji je dužnik morao da plati 3.460.000 njemačkih maraka, odnosno skoro dvostruko veći iznos od onog koji je dobio. Ovom se mogu dodati i kamatni rizici po osnovu tzv. kamatnih makaza na različite valute.

Kod potpisivanja ugovora mora se obratiti poseb-na pažnja na članove ugovora koji govore o strukturi troška, kamati, načinu njenog obračuna, na koga pa-daju troškovi odnosno rizik kursne stope zaduživanja u inostranstvu itd. Sa zacrtanim ciljevima i usvojenom strategijom treba ukomponovati korištenje savremenih finansijskih instrumenata, hedžing poslove, koji nam omogućavaju da se zaštitimo od vanrednih troškova koji mogu da nas potope, ali samo kao neznavene ■


CURRENCY TRADING

a sharp decline in turnover compared to the prece-ding couple of years. At the same time, producer pri-ces hit their lowest for the period 2003-2005. Capital yields in the US were below market expectations and insufficient to cover the foreign trade deficit. Hope for the US dollar came from the widened interest gap between the US and the Eurozone that kept dol-lar high. During this period, key interest rate in the US was 3%, while in the Eurozone it was 2%. In late June, compared to March 2005, the exchange rate of the single European currency lost about 10% of its va-lue against the dollar, due to slow economic growth in the Eurozone and significant concern about political cohesion in the region.

Today, in mid-2008, the situation is reverse. We are witnessing a sharp fall in the value of dollar compared to previuos years, with USD equaling 0.6521 EUR, ac-cording to the mean rate on 15 June 2008. The fall in the value of USD is a result of a record deficit in the US foreign account. Media published analyses of eco-nomists that identified causes of US economy crisis as loan and real estate market crisis (mortgage market), increase in fuel prices and military expenses. Some of the analyses indicate daily deepening of US nati-onald debt by around 1.4 billion USD, that is almost a million per minute. As long as there is readiness to lend to US government, which is particularly the case of Asian countries that actually maintain the value of USD, some US economist estimate that national debt - that is total accumulation of annual budget defi-cits - will rise from 5.7 trillion USD in January 2001 to 10 trillion in January 2009. This estimate relies on the information that endorsed social and health care programs are constantly growing (the biggest share of federal spending). Military expenses come second. Despite both parties announcing suppression of fede-ral spending, national debt, as percentage of US GDP, rose from approximately 35% in 1975 to approxima-tely 65% at the end of 2007. The United States knows how to deal even with problems of this kind and it is a matter of time when it will emerge from the reces-sion - a luxury that the big players can afford, but that is not available to others.

The uncontrolled fall of USD may help reduce the high US trade and budget deficit, which may backlash on the US through long-term weakening of the role of dollar as a global reserve currency. Important roles in positioning the value of dollar belong to the central banks, that is the governments of China, Japan, then Russia and India, with significant foreign currency re-serves in USD. Their decision on restructuring fore-ing currency reserves in favor of the euro may cause considerable shifts in the currency market. What the actual trends will be is known only to major players in this important market for the global economy.

what arE wE to do?Authorized persons in official institutions and banks must be aware of the international trends and the con-ditions for borrowing. This particularly refers to pro-jects of national importance (capital investments such

as rehabilitation of the maritime sector, where we have the tradition and human resources available, develop-ment infrastructure that we need to build). The cost of faulty borrowing may be higher in the segment of interests and rate of exchange differentials from the main loan that enabled us to building a certain faci-lity. Here is an example of a German bank: in mid-1978, at the time when dollar/German mark rate was 1.75 marks for 1 dollar, the bamk took a million dollar seven-year loan and made it available to its client in the amount of 1,750,000 German marks. On the date of maturity, in February 1985, when the rate was 3.46 marks for a dollar, the bank repaid one million dol-lars for which the client had to pay 3,460,000 marks, that is almost twice the amount received. Interest ris-ks related to the ’’interest rate squeeze’’ for different currencies may be added to this.

When signing agreements, special attention needs to be devoted to articles pertaining to the structure of cost, interest, method of interest calculation, the par-ty that bears the risk of the foreign exchange rate for borrowing from foreign sources etc. It is necessary to combine the goals defined and the strategy endorsed with the use of modern financial instruments, hedging operations that provide protection from extraordinary costs that may crush us, but only if we are unaware ■

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SPI ZA JUGOISTOČNU EVROPU

regionalni program modernizacije javno-privatnog finansijskog sektora„Od ključnog je značaja svijest da napredak predvođen tržištem zbilja zahtijeva saradnju između ekonomskih (javnih i privatnih) aktera. Pokretač saradnje trebalo bi da, u najvećoj mogućoj mjeri, bude privatni sektor, to jest prosvijećena percepcija privatnog interesa. Ali ne možemo zatvoriti oči pred činjenicom da do potrebne saradnje između privatnih učesnika na tržištu i ne dolazi ukoliko važnu ulogu u njenom promovisanju ne preuzmu državni organi“ (Tommaso Padoa-Schioppa, bivši član izvršnog odbora Evropske centralne banke i bivši ministar ekonomije Italije)

Luiđi Pasamonti Direktor i osnivač Programa za usaglašavanje (Convergence Program) Ramona Bratu Generalna direktorka SPI u Albaniji i direktorka regionalnih aktivnosti SPI

Dinamična Crna Gora dobro zna da eko-nomski napredak proističe iz koordini-

ranog djelovanja vlade, poslovne zajednice, drugih državnih organa i civilnog društva.

Javno-privatna saradnja je neophodna i za modernizovanje finansijskog sektora, mada odgovornost za finansijsku i monetarnu sta-bilnost pripada isključivo Centralnoj banci Crne Gore. Modernizacija finansijskog sektora nadovezuje se na stabilnost, ali je umnogome prevazilazi. „Modernizacija je proces finansij-skih inovacija i organizacionih unapređenja koja proširuju mogućnosti za učešće u finan-sijskim transakcijama uz smanjene troškove u konkurentnom okruženju”, kaže Evropska centralna banka. Modernizacija stvara uslo-ve da finansijska zajednica pruži proizvode i usluge prilagođene razvojnim potrebama zemlje i njenih građana. Finansijska zajedni-ca mora igrati svoju ulogu u ovom složenom procesu, a jednako bi trebalo da postupe i ko-risnici finansijskih usluga.

Kako bi državni organi i finansijska zajednica mogli proširiti saradnju, u cilju izgradnje mo-dernog finansijskog sektora u Crnoj Gori?

Iskustvo u sklopu Programa za usaglaša-vanje Svjetske banke (Convergence Program¹)

realizovanog u Rumuniji, a u skorije vrijeme i u Albaniji, pokazuje da bankarska zajedni-ca može sprovesti znatno obimniji program modernizacije ukoliko tradicionalna saradnja između centralne banke i udruženja banaka evoluira u pravcu modernijeg okvira zasno-vanog na sljedećim principima²:

potpuna saglasnost između javnih i privatnih aktera u pogledu programa modernizacije uz izraženu javnu i privatnu korist;

sveobuhvatna analiza i pažljivo preporu-čivanje mogućih rješenja od strane timova domaćih javnih i privatnih stručnjaka, uz povremenu međunarodnu pomoć;

potpuna saglasnost između javnih i privatnih aktera o načinu sprovođenja preporuka;

jaku disciplinu u sprovođenju, kako bi se ostvarile planirane javna i privatna korist.

spi u rumuniji U martu 2006. godine, Program za usagla-šavanje je promovisao pokretanje javno-pri-vatnog partnerstva u finansijskom sektoru u Rumuniji - SPI Rumunija (www.spi-romania.eu). SPI je skraćenica za naziv Inicijativa za specijalne projekte. SPI Rumunija funkcioni-še pod nadzorom projektnog odbora, čiji su

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članovi visoki predstavnici Narodne banke Rumunije, Udruženja banaka Rumunije, mi-nistarstva za ekonomiju i finansije, Državne uprave za zaštitu potrošača i Programa.

Na prvom sastanku, održanom septembra 2006, odbor je odlučio da realizuje 14 proje-kata za modernizaciju. Odabrani projekti bili su od značaja i za državne organe i za učes-nike na tržištu, s obzirom da su predstavljali mješavinu ciljeva „opšteg dobra” (npr. po-tencijalno smanjenje troškova bankarskih proizvoda i usluga; bolji pristup bankarskim proizvodima i uslugama; bolje regulatorno i okruženje za sprovođenje; unaprijeđena sredstva za praćenje finansijske stabilnosti) i ciljeva „djelatnosti” (npr. poboljšanje tržišne infrastrukture, računovodstvenih i sistema za izvještavanje; diversifikacija i porast tržišnih mogućnosti; smanjenje troškova).

Bitno je da su navedeni projekti bili doda-tak regulatornim aktivnostima Nacionalne banke Rumunije, pa je stoga njihova realiza-cija zahtijevala dodatne resurse.

1 Pokrenut 2005. kako bi se ispitalo na koji bi način finansijske vlasti mogle uključiti povratne infromacije od učesnika na tržištu i korisnika finansijskih proizvoda u kreiranje regulatornih mjera za izgradnju tržišta.

2 Principi su preuzeti iz uredbe EU Better Regulation, koja promoviše uključivanje bankarske zajednice u kreiranje regulatornih i samoregulatornih mjera.


SPI SOUTH-EAST EUROPE

a regional public-private Financial sector modernisation program“It is crucial to be aware that market-led progress does require co-operation among economic (public and private) agents. The driver of co-operation should be, as much as possible, moved by the private sector, i.e. by an enlighten perception of the private interest. But we cannot be blind to the fact that the necessary co-operation among private market participants does not materialize unless public authorities play an important role in promoting it” (Tommaso Padoa-Schioppa, former Executive Board Member, European Central Bank and former Minister of Economy, Italy)

Luigi Passamonti Head and Founder, Convergence Program Ramona Bratu SPI Albania General Manager and SPI Regional Operations Director

Dynamic Montenegro knows well that economic progress results from coor-

dinated actions by Government, business community, other public authorities and civil society.

Public-private co-operation is necessary also for financial sector modernization, even though responsibility for financial and mo-netary stability stays solely with the Central Bank of Montenegro. Financial sector mo-dernization builds on stability, but goes well beyond stability. “Modernization is the pro-cess of financial innovation and organizati-onal improvements that add possibilities to engage in financial transactions with reduced costs in a competitive environment”, says the European Central Bank. Modernization creates the conditions for the financial community to delivery products and services adapted to the development needs of the country – and its ci-tizens. The financial community must play its part in this complex process – and so should also the users of financial services.

How could authorities and the financial com-munity expand their collaboration to build a modern financial sector in Montenegro?

The experience of the World Bank’s

Convergence Program¹ in Romania and, more recently, in Albania shows that the banking community can undertake a much larger modernization program if the traditi-onal collaboration between central bank and banking association evolves towards a more modern framework based on the following principles²:

unanimous public-private agreement on a modernization program with strong public and private benefits;

comprehensive analysis and careful re-commendation of possible solutions pre-pared by teams of local public and priva-te experts with occasional international help;

unanimous public-private agreement on how to implement the recommenda-tions; and strong implementation discip-line to reach the intended public and pri-vate benefits.

spi romania In March 2006, the Convergence Program promoted the launch of a public-private financial sector partnership in Romania: SPI Romania (www.spi-romania.eu). SPI

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1 Established in 2005 to explore how financial authorities could incorporate feedback from market participants and financial product users in the design of market-building regulatory measures.

2 Principles are drawn from the EU Better Regulation, which promotes banking community involvement in the design of regulatory and self-regulatory measures.

stands for “Special Projects Initiative”. SPI Romania is placed under the oversight of the SPI Committee which gathers top level representatives of National Bank of Romania, Romanian Banking Association, Ministry of Economy and Finance, National Authority for Consumer Protection and Convergence Program.

In its first meeting in September 2006, the SPI Committee decided to undertake 14 mo-dernization projects. The selected projects were relevant to both authorities and market participants as they reflected a mix between “public good” objectives (e.g. potential reduc-tion in costs of bank products and services; improved access to bank products and ser-vices; improved regulatory and enforcement environment; enhanced tools for monitoring financial stability) and “industry” objectives (e.g., improvement of market infrastructure, accounting and reporting systems; diversifi-cation and growth of market opportunities; reduction of costs).

Importantly, these projects were additional to the regulatory activity programmed by the National Bank of Romania and required the-refore additional resources to be processed.

In order to handle these projects, a SPI Secretariat was formed consisting of two persons: one with banking experience acting as Director for Bank Products and Services, and one with analytical background gai-ned in a central banking context, acting as Director for Analytics and Policy. The SPI Secretariat mobilized the best expertise avai-lable in Romania, from financial authorities, the banking community and from other orga-nizations, forming Project Working Groups. As of December 2007, there have been more 60 Project Working Group meetings, gathe-ring more than 120 professionals from 33 ins-titutions, of which 17 public institutions and 16 private institutions.

The SPI Secretariat supported the analyses formulated by the Project Working Groups with qualitative and quantitative evidence

evRopsKA ceNtRALNA BANKAKRiteRijuMi zA MoDeRNizAciju fiNANsijsKog seKtoRA

Udruženje banaka Italije KRITERIJUMI

Asimetrični podaci

Potpunost tržišta

Veće moguć. za učešće u finan. transakcijama

Manji troškovi transakcija

Veća konkurencija

Razvoj poslovanjaŠirenje razmjene

pozitivnih kreditnih informacija

Ruralno kreditiranje Agencije za kreditni

rejting

Zakon o bankarskim garantnim pismima

Gubici prema bazi podataka o neplaćanju

Baza podataka o otplati hipotekarnih kredita

Konkurentnost djelatnosti

Tehnike za testiranje izloženosti kreditnom

stresu

ImplementacijaMiFID

Zakon o sprečavanju pranja novca, Zakon o

obezbjeđenju robe, zaštiti vrijednosti i lica Elektronska obrada

debitnih instrumenataObezbjeđivanje IFRS

Ugled djelatnostiOmbudsman

Edukacija finansijskih korisnika

UKUPNO 2 3 3 5 1

Program SPI Rumunija u 2007.

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SPI ZA JUGOISTOČNU EVROPU

U cilju vođenja ovih projekata osnovan je sekretarijat SPI koji su činile dvije osobe - jedna sa iskustvom u bankarstvu, u svojstvu direktora za bankarske proizvode i usluge, a druga sa iskustvom u analitici stečenom u kontekstu centralne banke, u svojstvu direk-tora za analitiku i politiku. Sekretarijat SPI je mobilizovao vrhunska stručna znanja dostup-na u Rumuniji, od finansijskih vlasti, bankar-ske zajednice i drugih organizacija, formiravši radne grupe za projekat. Od decembra 2007. održano je preko 60 sastanaka radnih grupa, uz učešće više od 120 stručnjaka iz 33 institu-cije - 17 državnih i 16 privatnih.

Sekretarijat SPI potkrijepio je analize koje su pripremile radne grupe kvalitativnim i kva-nitativnim dokazima i dodao međunarodnu perspektivu dokumentima koji su podneseni na usvajanje odboru SPI. Strana stručna zna-

nja su korišćena samo za konkretne slučajeve, kako bi se pružilo rješenje, nezavisno mišljenje o spornom pitanju ili analiza preporuka .

Nakon godinu dana napornog rada, pro-jekti su doveli do nekoliko predloga zakona i propisa (zakon o sprečavanju pranja novca, elektronskoj obradi debitnih instrumenata, ru-ralnom kreditiranju, osiguranje IFRS), samo-regulatornih mjera (bankarski ombudsman, širenje razmjene pozitivnih kreditnih poda-taka, implementacija MiFID, dva projekta za baze podataka ) i dvije studije o međunarod-nim iskustvima i najboljoj praksi.

Na kraju, inovativna struktura SPI u smis-lu javno-privatnog upravljanja i analitike, uz podršku malog sekretarijata, omogućila je rumunskoj finansijskoj zajednici da zabilježi veliki napredak na planu ključnih prioriteta za modernizaciju – iznad onoga što bi mog-

li postići analitički resursi Centralne banke i drugih državnih organa.

glavni koraci za pokrEtanjE spi u cgRazmatranje inicijative od strane CBCG, UBCG i drugih potencijalnih učesnika u javno-privatnom partnerstvu.Po pozivu, Program za usaglašavanje može pružiti pomoć u formiranju svijesti o programu SPI i organizovanju aktiv-nosti za njegovo pokretanje, od kojih su najbitnije sljedeće:Program za usaglašavanje pomaže CBCG i UBCG u razvijanju programa modernizacije,Program za usaglašavanje organizuje obuku na temu procjene regulatornog uticaja u cilju pružanja vještina za izradu politika zasnovanih na dokazima;Nakon što se odrede izvori finansiranja za program u trajanju od dvije godine, Program za usaglašavanje bi mogao po-moći u zapošljavanju i obučavanju sekre-tarijata SPI.Sekretarijat SPI priprema program mo-dernizacije koji treba da odobri odbor SPI;Nakon dobijanja odobrenja, sekretari-jat SPI pokreće radne grupe za potrebe projekta;Nakon tri mjeseca, prve radne grupe su spremne da dobiju odobrenje od odbo-ra SPI.Ukoliko bude pokrenut, SPI u Crnoj Gori bi se pridružio sve široj regionalnoj mreži SPI platformi koje bi funkcionisale kao SPI za Jugoistočnu Evropu.

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studija slučaja: eleKtronsKa oBrada deBitnih instrumenataU Rumuniji, sistem elektronskog plaćanja koji je uspostavljen 2005. nije obuhvatao obradu debitnih instrumenata (čekova, vučenih i solo mjenica) pošto bankarska zajednica nije mogla da utvrdi zajednički stav po tom pitanju. Neke banke nijesu smatrale da je to bitno, usljed malog obima debitnih instrumenata koji se obrađuju godišnje, druge su odlučile da više ne koriste čekove (najčešći debini instrument) zbog povezanih rizika, dok su druge banke smatrale da bi bolja bila čak i neka vrsta „posredničkog” rješenja od ručne obrade debitnih instrumenata. SPI projekat imao je za cilj formulisanje preporuke bankarskoj zajednici zasnovane na dokazima. Radnu grupu za projekat činili su predstavnici banaka, Centralne banke, TransFonda (kompanija koja je vodila sistem plaćanja u Rumuniji), Ministarstva za ekonomiju i finansije i Državne uprave za zaštitu potrošača. Njena preporuka bila je da se zadrži korišćenje debitnih instrumenata, ali da se integriše njihova obrada u elektronskom sistemu plaćanja. Glavne argumente iznijeli su predstavnici potrošača (prednosti njihovog korišćenja i nepostojanje savršene zamjene) a brojke koje govore o potencijalnim uštedama u neto troškovima do kojih je došlo usljed elektronske obrade – oko 27 miliona eura godišnje na nivou bankarskog sistema. Radna grupa za projekat predložila je i da se nastavi sa projektom SPI , pri čemu bi fazu implementacije činila izrada predloga izmjena i dopuna zakona, pošto je bilo potrebno mijenajti zakonodavstvo o debitnim instrumetima kako bi se omogućila elektronska prezentacija debitnih instrumenata, a potom predloga za podzakonska akta i tehničkih uslova. Predlozi izmjena i dopuna zakona dovršeni su do kraja aprila 2007. i stupili na snagu u martu 2008, nakon što ih je usvojila Narodna banka Rumunije, Evropska centralna banka, ministarstvo za ekonomiju i finansije i ministarstvo pravde.

spi za jugoistočnu evropu Regija Pulja, uz stručnu podrš-ku Programa usaglašavanja Svjetske banke, promoviše SPI za Jugoistočnu Evropu (SEE), inici-jativu koja je u skladu sa ciljevi-ma Evropskog programa terito-rijalne saradnje u Jugoistočnoj Evropi. SPI SEE će podstaći obim-ne programe za modernizaciju fi-nansijskog sektora u više zemalja Jugoistočne Evrope. SPI SEE svoje aktivnosti zasniva na iskustvu ig-radnje jedinstvenog finansijskog tržišta EU, koje ukazuje na značaj dugoročnog programskog pristupa (Akcioni plan za finansijski sektor) i korišćenja analize zasnovane na dokazima uz tržišne konsultacije (“Bolja regulacija”) za djelotvorno savladavanje obimnih regulatonih promjena koje podstiču rast, u du-žem vremenskom periodu.

euRopeAN ceNtRAL BANK fiNANciAL sectoR MoDeRNizAtioN cRiteRiA

Italian Banking AssociationCRITERIA

Asymmetric information

Completeness of the market

Increased opport. to engage in fin.

transactions

Reduced transaction costs

Increased competition

Business developmentExpansion of positive

credit information sharing

Rural lendingCredit rating

agencies

Law on bank letters of guarantee

Loss given default database

Mortgage loan servicing database

Industry competitiveness

Credit exposures stress test techniques

MiFID implementation

Anti-money laundering law, Law on goods

safeguard, values and persons protectio,

Electronic processing of debit instrument,

IFRS provisioning

Industry reputationOmbudsman

Financial consumer education

TOTAL 2 3 3 5 1

SPI Romania 2007 Activity Program


and added an international perspective to the documents submitted for SPI Committee en-dorsement. Foreign expertise was used only on punctual cases to offer solutions, to deliver independent opinions on disputed issues or to peer-review the recommendations.

After one year of hard work, these projec-ts led to several law or regulatory proposals (AML law, electronic processing of debit instruments, rural lending, IFRS provisi-oning), self-regulatory measures (Banking Ombudsman, Expansion of Positive Credit

Information Sharing, MiFID Implementation and the two database projects) and two stu-dies on international experience and best practices.

In conclusion, the innovative SPI public-private governance and analytical structure, supported by a small Secretariat, enabled the Romania financial community to register big progress on key modernization priori-ties – over and above those that the analyti-cal resources of the Central Bank and other authorities could have processed.

thE main stEps to launch spi mnECentral Bank of Montenegro, Association of Montenegrin Banks and other potential members of the public–private partnership discuss the initiative;If invited, Convergence Program is available to help raise awareness on SPI program and organize its launch activities. Among these, the most im-portant are:Convergence Program helps Central Bank of Montenegro and Association of Montenegrin Banks build up a mo-dernization program;Convergence Program organizes Regulatory Impact Assessment trai-ning seminar to build evidence-based policy design skills;Once funding sources are identi-fied for a two-year program, the Convergence Program could help rec-ruit and train the SPI Secretariat.SPI Secretariat prepares moderni-zation program proposal for SPI Committee approval;After SPI Committee approval, SPI Secretariat mobilizes launches Project Working Groups and supports their activities;Three months later, first Project Working Proposals are ready for SPI Committee endorsement. If launched, SPI Montenegro would join a growing regional network of SPI platforms that would operate as SPI South East Europe.

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a study case: electronic processing oF deBit instrumentsIn Romania the electronic payment system established in 2005 didn’t include the processing of debit instruments (checks, drafts and promissory notes) as the banking community couldn’t get to a common opinion in this respect. For some of the banks this wasn’t a big issue due to the non-relevant volume of debit instruments processed each year, other opted for not using checks anymore (most frequent debit instruments) due to the risks attached and other banks considered that even a sort of “intermediary” solution could be preferred to the manual processing of debit instruments. The SPI project objective was to formulate an evidenced-based recommendation for the banking community. The project working group gathered representatives of banks, central bank, TransFond (the company operating the payment system in Romania), Ministry of Economy and Finance and National Authority for Consumer Protection. Its recommendation was to maintain the use of the debit instruments but to integrate their processing in the electronic payment system and the main arguments were brought by consumers’ representatives (the advantages of using them and the lack of a perfect substitute) and the figures evidencing the potential net cost savings generated by the electronic processing – about EUR 27 million per year at the banking system level. The project working group proposed also to continue the SPI project with the implementation phase consisting of formulating law amendment proposals, as the legislation on debit instruments needed to be changed in order to allow the electronic presentation of debit instruments, and then the secondary regulations amendment proposals together with the technical requirements. After SPI Committee endorsement, SPI Secretariat prepared, based on the PWG report, documents for consultation and followed up for clear decision. The recommendations being agreed by the main stakeholders, the PWG continued with the following two stages of the project. The law amendment proposals were finalized by the end of April 2007 and were enacted, in March 2008, after being endorsed by the National Bank of Romania, European Central Bank, Ministry of Economy and Finance and Ministry of Justice.

spi south-East EuropE Regione Puglia, with technical support from the World Bank’s Convergence Program, is promoting SPI South-East Europe (SEE), an initiati-ve aligned with the objectives of the European Territorial Co-Operation Programme South-East Europe. SPI SEE will catalyze large-scale financial sector modernization programs in se-veral South East European countries. SPI SEE informs its activities on the experience of building the EU Single Financial Market which shows the im-portance of a long-term programma-tic approach (“Financial Sector Action Plan”) and the use of evidence-based analysis supported by market consulta-tions (“Better Regulation”) to effecti-vely handle a large volume of growth-enhancing regulatory changes over a protracted period of time.

SPI SOUTH-EAST EUROPE

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NOVINE U FINANSIJSKOM SISTEMU

ugovorno saldiranje i garantni fondKrajem ove godine Centralna Depozitarna Agencija (CDA) implementiraće Ugovorno saldiranje, Neting, kao i Garantni fond. Ugovorno saldiranje označava postupak saldiranja u kojem CDA garantuje predaju hartija od vrijednosti (HOV) i plaćanje novčanih sredstava onim Članovima učesnicima CDA (brokerima, dilerima i kastodiju) koji su ispunili svoje obaveze za saldiranje. Neting označava obračun kompenzovanih obaveza (novčanih i dostave HOV) Člana učesnika u postupku Ugovornog saldiranja. Agencija osniva Garantni fond, radi osiguranja potrebnih novčanih sredstva za ispunjenje neispunjenih novčanih obaveza iz Ugovornog saldiranja. Očekivanja su da će Ugovorno saldiranje povećati disciplinu brokera (i njihovih klijenata) vezano za dostavu novca i HOV i da će se time broj nesaldiranih transakcija minimizirati. Doći će do smanjenja broja neispunjenih obaveza druge strane u transakciji, odnosno smanjiće se rizik neizvršenja novčane obaveze, tzv. default rizik. Time će se, uz već uvedene PIN kodove, povećati stepen zaštite klijenata na tržištu kapitala Crne Gore

Sa aspekta vremena izvršenja, poslove na tržištu kapitala možemo podijeliti na: poslove prije trgovine, poslove u vezi

obavljanja same trgovine i post-trade poslove (kliring i saldi-ranje). Prije sklapanja posla na berzi, broker prima naloge od klijenata (kupovne ili prodajne), otvara račune i povlači HOV iz registra CDA na račun za svoga klijenta u depozitarij za kli-ring i saldiranje (tj. obavlja tzv. „to-street“ transfer). Podaci o klijentima brokera nalaze se u njegovom back-office-u. Slijedi faza trgovanja i elektronskog uparivanja naloga u berzanskom sistemu. Na kraju radnog dana berza šalje sklopljene trgovine u CDA na dalju obradu. Nakon toga, u post-trade fazi slijedi administriranje koje će preko faze kliringa završiti saldiranjem, tj. preregistracijom vlasništva u CDA, sa prodavca na kupca HOV, odnosno prenosom novca u obrnutom smjeru. Dakle, sa tehničkog aspekta, svaka trgovina počinje i završava u siste-

mu CDA, te možemo zaključiti da je ona najvažnija institucija infrastrukture tržišta kapitala.

Kliring je postupak pripremanja transakcije za saldiranje. Proces kliringa uključuje Izvještaje o trgovini, Ispravke trgo-vine, Poništavanje trgovine i određivanje konačnih obaveza za saldiranje, a može da sadrži i Neting. Saldiranje je zamje-na HOV za novčana sredstva, shodno pravima i obavezama iz sklopljene transakcije, Pravilima koja se odnose na saldiranje i Uputstvima. Postoje dvije osnovne vrste saldiranja, pojedi-načno i ugovorno.

Pojedinačno saldiranje (TFT saldiranje) je forma saldiranja koju nudi Centralni depozitarij za kliring i saldiranje. Saldiranje je između obje strane u transakciji precizirano i zavisi od raspo-loživosti novčanih sredstava i HOV u trenutku saldiranja. Pristup Ugovornom saldiranju za transakcije u pogledu svakog pojedi-nog Dana saldiranja imaju svi Članovi učesnici koji su uplatili traženi iznos u Garantni fond. Na sve transakcije koje ne ispunjavaju uslove za Ugovorno saldiranje primjenjuje se postupak Pojedinačnog saldiranja (TFT- trade for trade metod).

Podatke o Trgovanjima na tržištu (trade-file - zaključnicu) Centralnoj Depozitarnoj Agenciji dostavlja Berza istog dana kada je transakcija sklopljena (tzv. T+0), u obliku i roku propisanom Uputstvima CDA. Podaci o trgovanju na tržištu se, između osta-log, sastoje od: podataka o tržištu na kojem je sklopljena trans-akcija, o Datumu transakcije, Danu naplate, o Članovima - kup-cu i prodavcu, o HOV, količini kupljenih i prodatih, odnosno zamijenjenih HOV, cijeni po kojoj su HOV kupljene i prodate i o ukupnoj vrijednosti transakcije. Nakon importa trade-file-a sa berze u SSS sistem (Securities Settlement System) počinje proces kliringa i saldiranja (post trade faza).

Prof. dr Vladimir Kašćelan Direktor CDA i profesor na Ekonomskom fakultetu u Podgorici


INNOVATIONS IN THE FINANCIAL SYSTEM

contractual settlement and guarantee fundThe Central Depository Agency (CDA) will implement the contractual settlement, netting as well as the Guarantee Fund by the end of this year. The contractual settlement means the procedure of settlement where CDA guarantees delivering of the securities and payment of cash to those member participants of CDA (brokers, dealers and custodians) that have met their obligations for settlement. Netting means the calculation of the offset liabilities (delivery of money and securities) of the member participant in the procedure of the Contractual Settlement. The Agency establishes Guarantee Fund for the purpose of providing cash required for meeting unfulfilled cash liabilities from the Contractual Settlement. It is anticipated that Contractual Settlement will improve the discipline of brokers (and their clients) with regard to delivery of money and securities and that thereby the number of unsettled transactions will be minimized. The number of unsettled obligations of the counterparty in the transaction will reduce, i.e. the risk that cash obligations will not be met, the so called default risk will decrease. Thereby, in addition to already introduced PIN codes, the security level of clients in the capital market of Montenegro will increase

Vladimir Kašćelan, Professor, Ph.D. Director of CDA and professor at Faculty of Economics in Podgorica

From the aspect of time of execution, the operations at capital market may be divided into pre-trade, trade and post-trade

(clearing and settlement) operations. Before making a deal at stock exchange, a broker receives orders from clients (to buy or sell), opens accounts and withdraws securities from the CDA register to the account of its client in the depository for clearing and settlement (i.e. it performs to-street transfer). The informati-on on broker’s clients is in its back office. Subsequently, the trade phase and electronic reconciliation of orders in the stock exchan-ge system begins. At the end of the working day, stock exchange sends trades made to CDA for further processing. After that, administration is performed in post-trade phase, which will be completed through the clearing by settlement i.e. re-registrati-on of ownership in CDA from seller to buyer of securities and transfer of cash in the opposite direction. Therefore, from the technical aspect, each trade starts and ends in the CDA system, so the conclusion can be made that CDA is the most important institution of the capital market infrastructure.

Clearing represents the procedure of preparing the transacti-on for settlement. The process of clearing includes trade advice; trade adjustments, trade cancellation and determination of fi-nal obligations for settlement, and it may also include netting. The settlement represents replacement of securities for cash in accordance with the rights and obligations from the transac-tions made, Rules on settlements and the Instructions. There are two main types of settlement: trade for trade and contrac-tual settlement.

Trade for trade settlement (TFT settlement) is a type of sett-lement offered by the Central depository for clearing and sett-lement. The settlement between both parties in the transaction is stated precisely and depends on the availability of cash and

securities in the moment of settlement. All member partici-pants that paid the requested amount in the Guarantee Fund have access to the Contractual Settlement for transactions with respect to individual settlement day. Trade for trade method is applied to all transactions that do not meet the conditions for Contractual Settlement.

Stock exchange submits trade files to the Central Depository Agency the same day the transaction is made (so called T+0), in the form and timeframe prescribed in the CDA Instructions. Trade files consist, among others, of the following: data on mar-ket on which the transaction is made, transaction date, payment day, members – buyer and seller, securities, the amount of pur-chased and sold or replaced securities, price at which securi-ties are purchased and sold and on total amount of transaction. After the trade file has been imported from the stock exchan-ge to Securities Settlement System, the process of clearing and settlement starts (post trade phase).

During the settlement, and after the member participants have sent money and securities’ order, the transfer of securities from the seller’s account to the buyer’s accounts is performed on day T+3, as well as the transfer of cash from the buyer’s account to the seller’s account (through technical cash pool account). CDA opens cash pool account for settlement with the Bank for set-tlement (CBM) to pay cash to the broker of the seller of secu-rities on day T+3. Rights and obligations arising from cash in respect of clearing and settlement exist between member par-ticipant and its clients. The Agency does not bear the liability for accuracy, timeliness and completeness of meeting mutual cash liabilities of the member and its clients.

Since 2002 until today, CDA has applied exclusively trade for trade settlement. The implementation of the Contractual

jul 2008 | :Bankar

3�U postupku saldiranja, nakon što su Članovi učesnici do-

značili novac i HOV, na dan T+3 vrši se prenos HOV sa računa prodavca na račun kupca, kao i prenos novčanih sredstava sa računa kupca na račun prodavca (preko tehničkog keš pool ra-čuna). CDA otvara novčani (cash pool) račun za saldiranje kod Banke za saldiranje (CBCG) kako bi isplatila novčana sredstva brokeru prodavca HOV na dan T+3. Novčana prava i obave-ze koje se odnose na kliring i saldiranje postoje između Člana učesnika i njegovih klijenata. Agencija ne snosi odgovornost za tačnost, pravovremenost i potpunost ispunjenja međusobnih novčanih obaveza Člana i njegovih klijenata.

Od 2002. godine do danas CDA je primjenjivala isključivo Pojedinačno saldiranje. Planirano je da do kraja ove godine CDA implementira Ugovorno saldiranje, Neting, kao i Garantni fond. Kao što je istaknuto, Ugovorno saldiranje označava postupak saldiranja u kojem CDA garantuje predaju HOV i plaćanje nov-čanih sredstava onim Članovima (brokerima, dilerima i kastodi-ju) koji su ispunili svoje obaveze za saldiranje. Neting označava obračun kompenzovanih obaveza (novčanih i dostave HOV) Člana učesnika u postupku Ugovornog saldiranja.

Agencija osniva Garantni fond, radi osiguranja potrebnih novčanih sredstva za ispunjenje neispunjenih novčanih oba-veza iz Ugovornog saldiranja, bilo da je riječ o privremenom ili trajnom neispunjenju. Sredstva Garantnog fonda predstavljaju imovinu Članova učesnika. Sredstvima Garantnog fon-da Članovi učesnici solidarno garantuju za izvršenje neto no- včanih obaveza nastalih na osnovu obračuna za Ugovorno sal-diranje poslova sa hartijama od vrijednosti, do visine svojih sredstava uplaćenih u Garantni fond. One transakcije koje je broker sklopio na berzi a za koje nije obezbijedio HOV, neće biti predmet Ugovornog već Pojedinačnog saldiranja. Ukoliko broker obezbijedi HOV do dana T+1, trgovina se uključuje u Ugovorno saldiranje. Za slučaj neisporuke bilo HOV ili novca, prema brokeru se primjenjuje mjera suspenzije do ispunjenja obaveza. Sredstvima Garantnog fonda upravlja CDA. Svi Članovi učesnici koji trguju prihvatljivim HOV obavezni su da izvrše uplate u Garantni fond. Obavezne uplate u Garantni fond su Osnovna i Dodatna uplata Člana učesnika. Član učesnik koji, na način i roku predviđenom Pravilima CDA i Uputstvom za kliring i saldiranje, ne izvrši obavezne uplate u Garantni fond, gubi pravo na članstvo u CDA. Pravila o utvrđivanju obaveznih uplata i njihovoj visini donosi Centralna Depozitarna Agencija, na osnovu prethodno pribavljene saglasnosti Komisije za HOV.

Kako bi mogla garantovati saldiranje Članovima učesnicima, Agencija mora imati dovoljno sredstava da ispuni sve obaveze za saldiranje koje nisu ispunili drugi Članovi učesnici. Nakon donošenja odluke o obavljanju Ugovornog saldiranja Agencija će osnovati Garantni fond kako bi osigurala potrebna sredstva za ispunjenje neispunjenih obaveza za saldiranje, bilo da je ri-ječ o privremenom ili trajnom neispunjenju. Osnovna uplata u Garantni fond je iznos koji Član učesnik uplaćuje u Garantni fond prilikom prijema u članstvo CDA i u periodu trajanja član-stva. Osnovna uplata Člana učesnika se izračunava na bazi pros-ječnih dnevnih vrijednosti neto novčanih obaveza, koje prois-tiču iz poslova sklopljenih na berzi, svih Članova učesnika, u prethodnoj godini. Visina Osnovne uplate određuje se jednom godišnje, najkasnije u roku 30 dana po isteku kalendarske go-dine. Iznos Osnovne uplate je jednak za sve Članove učesnike i uplaćuje se u roku od pet radnih dana od prijema obavještenja o visini Osnovne uplate. Za novčana sredstva Osnovne uplate u Garantni fond, CDA otvara račun u poslovnoj banci.

Dodatna uplata u Garantni Fond je iznos koji je Član učesnik obavezan uplatiti u Garantni fond radi prilagođavanja i amorti-zacije rizika nastalog povećanjem obima trgovanja toga Člana učesnika na berzi u prethodnom mjesecu. Agencija izračuna-va iznos Dodatne uplate mjesečno, za period od prvog do po- sljednjeg dana u mjesecu, dok se obračun dostavlja Članu učes-niku do petog u tekućem mjesecu. Član učesnik može najviše 50% njegove obračunate Dodatne uplate platiti prvoklasnom bankarskom garancijom, sa rokom važenja najmanje do kraja obračunskog perioda. Član učesnik se izjašnjava kod koje po-slovne banke želi deponovati Dodatne uplate u Garantni fond, i kod te banke Agencija će otvoriti račun dodatnih uplata u Garantni fond. Agencija ne može koristiti sredstva Garantnog fonda u bilo koje svrhe osim za izmirenje Neto novčanog du-govanja Člana učesnika iz Ugovornog saldiranja, ako ga isti nije u roku izmirio.

U tijesnoj vezi sa Ugovornim saldiranjem i Garantnim fon-dom su i pojmovi Neto novčano potraživanje Člana učesnika i Likvidna rezerva. Neto novčano dugovanje Člana učesnika je pozitivna razlika između njegovih ukupnih novčanih dugovanja i ukupnih novčanih potraživanja, za određeni datum saldiranja. Neto novčano potraživanje Člana učesnika je pozitivna razlika između njegovih ukupnih novčanih potraživanja i ukupnih nov-čanih dugovanja, za određeni datum saldiranja. Likvidna rezerva je novčani iznos koji Član učesnik treba unaprijed obezbijedi-ti Agenciji, u slučaju da je njegovo neto novčano dugovanje za datum saldiranja iznad određenog nivoa koji Agencija smatra rizičnim. Likvidna rezerva predstavlja pozitivnu razliku između iznosa Neto novčanog dugovanja Člana učesnika i 20% vrijed-nosti dijela Garantnog fonda, koji se sastoji iz Osnovnih upla-ta svih Članova učesnika i Dodatne uplate tog Člana učesnika. Član učesnik može, Agenciji, Likvidnu rezervu uplatiti u novcu na T+1, ili za iznos Likvidne rezerve dostaviti bankarsku garan-ciju. Istaknimo da i dalje postoji obaveza dostavljanja HOV u bruto iznosu, za razliku od novčanih obaveza, koje se u režimu Ugovornog saldiranja netiraju.

Očekivanja su da će Ugovorno saldiranje povećati disciplinu brokera (i njihovih klijenata) vezano za dostavu novca i HOV i da će se tim broj nesaldiranih transakcija minimizirati. Doći će do smanjenja broja neispunjenih obaveza druge strane u trans-akciji, odnosno smanjiće se rizik neizvršenja novčane obaveze, tzv. default rizik. Tim će se, uz već uvedene PIN kodove, povećati stepen zaštite klijenata na tržištu kapitala Crne Gore ■

komponEntE procEsa kliringa i saldiranjaI KLIRING priprema trgovina za saldiranje; pročišćavanje, tj. pojašnjavanje obaveza: 1.1 Prihvatanje ili odbijanje trgovina sa berze 1.2 Obračun i izvještavanje o obavezama učesnika 1.3 Brokeri-prodavci dostavljaju HOV na račune Depozitarija 1.4 Brokeri-kupci prenose novac na CDA keš Pool račun

II SALDIRANJE ispunjavanje obaveza iz trgovina (razmjena HOV i novca): 2.1a CD prenosi HOV na račun kupca 2.1b CDA daje nalog banci za saldiranje za prenos novac sa Pool računa CDA na račun (brokera) prodavca 2.2 CDA izbještava brokere o rezultatima saldiranja

Slika 1. Post-trade faza

NOVINE U FINANSIJSKOM SISTEMU


INNOVATIONS IN THE FINANCIAL SYSTEM

Settlement, netting and Guarantee Fund by CDA is planned by the end of this year. As it has been already pointed out, Contractual Settlement means the settlement procedure in which CDA guarantees transfer of securities and payment of cash to those members (brokers, dealers and custodians) that have met their obligations for settlement. Netting means the calculation of the offset liabilities (delivery of money and securities) of the member participant during the Contractual Settlement.

The Agency establishes the Guarantee Fund, for the purpose of providing cash required for meeting unfulfilled cash liabili-ties in respect of Contractual Settlement, in case of either tem-porary or permanent default. The resources of the Guarantee Fund are the property of member participants. The member participants jointly and severally guarantee with the resources of the Guarantee Fund for the settlement of net cash liabilities incurred from calculation of Contractual Settlement of secu-rities transactions, to the amount of their funds contributed to the Guarantee Fund. Those transactions that the broker made in the stock exchange, but for which did not provide securities, shall not be the subject of contractual but trade for trade settle-ment. If the broker provides the securities by the day T+1, the trade is included in Contractual Settlement. In case of failure in delivery of either securities or money, the suspension measure is applied to the broker until the obligation is met. CDA manages the resources of the Guarantee Fund. All member participants trading in acceptable securities are obliged to make contribu-tions to the Guarantee Fund. Mandatory contributions to the Guarantee Fund are base and additional contributions of mem-ber participants. Member participants, who in the manner and within the deadline envisaged by CDA Rules and Instruction for Clearing and Settlement, fail to make mandatory contributions to the Guarantee Fund, shall lose the right to membership in CDA. The Rules on calculating mandatory contributions and their amount are adopted by the Central Depositary Agency, based on previously obtained approval from the Securities Commission. In order to be able to guarantee settlement to member participants, the Agency must have sufficient funds to meet all obligations for settlement that other member partici-pants have not met. After the adoption of the decision on per-formance of contractual settlement, the Agency shall establish the Guarantee Fund as to provide for funds required for mee-ting unfulfilled settlement obligations, in case of either tempo-rary or permanent default. Base contribution to the Guarantee Fund is the amount that the member participant contributes to the Guarantee Fund at the occasion of acquiring CDA mem-bership and during the period of membership. The base con-tribution of member participants is calculated based on avera-ge daily values of net cash liabilities, arising from transactions made in the stock exchange, of all member participants, in the previous year. The amount of base contribution is determined once a year, no later than 30 days after the expiry of calendar year. The amount of base contribution is equal for all member participants and is paid within 5 business days from the rece-ipt of the notification on the amount of base contribution. The CDA opens an account with a commercial bank for cash funds of base contributions in the Guarantee Fund.

Additional contribution to the Guarantee Fund is the amount which the member participant is obliged to pay into Guarantee Fund for the purpose of adjusting and amortizing the risk incur-red by the increase of trade volume of such member participant in the stock exchange in the previous month. The Agency calcu-

lates the amount of additional contribution on monthly basis, for the period from the first to the last day in a month, and the calculation is notified to the member participant to the 5th in the current month. The member participant may pay no more than 50% of its calculated additional contribution by the first rate bank guarantee, which expiry date is no later than the end of calculation period. Member participants declare with what commercial bank they want to deposit additional contributions to the Guarantee Fund, and the Agency will open an account with that bank for additional contributions to the Guarantee Fund. The Agency may not use the funds of the Guarantee Fund for any other purpose except for settlement of net cash debt of member participants from Contractual Settlement, if they fail to settle it within the envisaged time line.

In close relation with Contractual Settlement and Guarantee Fund also are the concepts of Net cash receivables of member participant and Liquid reserve. Net cash debt of a member par-ticipant is the positive balance between his total cash debt and total cash claims, for a specific settlement date. Net cash debt of a member participant is a positive balance between his total cash claims and total cash debt, for a specific settlement date. Liquid reserve is the cash amount that the member participant needs to provide in advance to the Agency, in case that its net cash debt for the settlement date is beyond the specified level that the Agency considers risky. Liquid reserve is the positive balance between the amount of net cash debt of the member participant and 20% of the value of the share in the Guarantee Fund, which consists of base contributions of all member participants and additional contribution of that member participant. Member participants may pay to the Agency the liquid reserve in cash on T+1, or sub-mit the bank guarantee in the amount of liquid reserve. It should be pointed out that there is still the obligation for delivery of se-curities in gross amount, unlike cash obligations, which under the regime of contractual settlement are netted.

It is anticipated that Contractual Settlement will improve the discipline of brokers (and their clients) with regard to delivery of money and securities and that thereby the number of unset-tled transactions will be minimized. The number of unsettled obligations of the counterparty in the transaction will reduce, i.e. the risk that cash obligations will not be met, the so called default risk will decrease. Thereby, in addition to already in-troduced PIN codes, the security level of clients in the capital market of Montenegro will increase ■

componEnts of clEaring and sEttlEmEnt procEssI CLEARING – Preparing Transactions for Settlement; Clearing i.e. Clarification of Obligations: 1.1 Acceptance or refusal of stock exchange transaction 1.2 Calculation and reporting on participants’ obligations 1.3 Seller brokers deliver securities to the account of the Depository 1.4 Buyer brokers transfer cash to CDA cash Pool Account

II SETTLEMENT Meeting Transaction Obligations (Exchange of Securities and Money): 2.1a CDA transfers securities to the buyer’s account 2.1b CDA issues an order to the settlement bank to transfer money from CDA Pool Account to the account of the seller (broker) 2.2 CDA informs brokers about settlement results

Figure 1: Post-trade phase

jul 2008 | :Bankar

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VRIJEDNOST POD RIZIKOM

var kao instrument za upravljanje rizikomOd 26. do 28. aprila 2008. godine u Podgorici održan je seminar „Upravljanje aktivom i pasivom“. Seminar je organizovao ATF iz Luksemburga (Agence de Transfert de Tecnologie Financiére) a domaćin je bilo Udruženje banaka Crne Gore. Tokom seminara g-din Giovani Gentili dao je pregled osnovnih i naprednih tehnika u upravljanju aktivom i pasivom, među kojima je govorio i o tehnici Vrijednost pod rizikom (VaR)Đovani Đentili

Vrijednost pod rizi-kom (VaR) pred-

stavlja mjerenje tržišnog rizika kojim se procje-njuju potencijalni gubici koji mogu nastati usljed kretanja tržišnih faktora rizika u nekom unapri-jed određenom vremen-skom periodu. Faktori rizika su tržišne prom-jenjive kao što su kamat-ne stope (IR) devizni kurs (FX), cijene kapi-tala (EQ), cijene robe (CP) itd. koje utiču na vrijednost nekog finan-sijskog instrumenta

VaR daje odgovor na pitanje: „koji je maksimalni gu-bitak tokom posmatranog vremenskog perioda i to takav da postoji mala vjerovatnoća, recimo 5% da stvarni gubi-tak bude veći“ Na primjer, kada kažemo da je dnevni VaR jednog portfolija 123.397 eura pri „nivou pouzdanosti“ od 95% to znači da će realizovani dnevni gubitak iz tog port-folija, u prosjeku, biti veći od 123.397 eura samo u pet od 100 dana trgovanja.

Naravno, VaR broj u velikoj mjeri zavisi od dva paramet-ra koja se biraju za njegovo računanje: nivo pouzdanosti i vremenski period koji posmatramo.

Na primjer, ako uzmemo isti portfolio iz gore navedenog primjera, pri nivou pouzdanosti od 99% umjesto 95% do-bićemo rezultat da je VaR 174.481 eura, a ne 123.397 eura¹. Pri nivou pouzdanosti od 99%, ali izračunat za period od jednog mjeseca umjesto jednog dana VaR bi bio 780.303 eura². Ovi primjeri predstavljaju dokaz da kadgod analiziramo VaR ili

upoređujemo dvije cifre za VaR, uvijek moramo jasno imati na umu parametre koji su izabrani za procjenu.upotreBe var-a: praćenje limita i regulatorno izračunavanje Kapitala

Limiti koji se zasnivaju na hipotetičkoj izloženosti rizi-ku i osjetljivosti (trajanje, β, Delta, itd.) imaju određenih nedostataka:

Često ne mogu da budu smisleno prikupljeni: na primjer β jedne akcije ne može da se sabere sama po sebi sa Deltom ponude na istoj osnovi. To vodi do proliferacije limita (poseb-no za složene portfolije) što otežava praćenje aktivnosti.

Oni ne mogu da uzmu u obzir koristi od diverzifikacije koje mogu da smanje rizik portfolija čija vrijednost zavisi od nekoliko faktora rizika i ne prenose nikakvu informaciju o tome koliko je vjerovatna promjena u faktorima rizika.

VaR se izražava u novčanim izrazima i tako obezbjeđu-je jedinstvenu metriku za rizik portfolija. To omoguću-

je pojednostavljivanje strukture limita, poređenje rizika između različitih portfolija i uzimanje u obzir koristi od diversifikacije.

VaR takođe može da se koristi za izračunavanje regulator-nog kapitala. 1996. godine Bazelski Komitet zatražio je od

1 Uz pretpostavku da je distribucija faktora rizika normalna, VaR pri nivou pouzdanosti od 99% može da se procijeni na osnovu VaR-a pri nivou pouzdanosti od 95% na sljedeći način: VaR(99%) = VaR(95%) * 2.326/1.645, gdje su 2.326 i 1.645 ‘’z-nivoi’’ koji utvrđuju 99. i 95. percentila u standardizovanoj normalnoj distribuciji.

2 Tipični pristup izračunavanju n-dnevnog VaR na osnovu dnevnog VaR jeste da se ovaj potonji pomnoži sa kvadratnim korjenom broja dana trgovanja u odabranom vremenskom periodu koji se posmatra. U našem slučaju, uz pretpostavku da jedan mjesec ima 20 dana trgovanja, imamo 174.481 * 20^0.5 = 780.303.


VALUE AT RISK

risk management toolFrom the 26th to the 28th of April 2008, the seminar ‘’Asset and Liabilities Management’’ took place in Podgorica, organized by ATTF Luxembourg (Agence de Transfert de Tecnologie Financiére) and hosted by the Association of Montenegrian Banks. During the seminar Mr. Giovanni Gentili provided an overview of fundamental as well as advanced techniques in Asset & Liabilities Management, among which Value at RiskGiovanni Gentili

Value at Risk (VaR) is a measure of market risk that es-timates the potential losses due to the movement of

market risk factors over a predetermined time horizon. Risk factors are market variables such as interest rates (IR), foreign exchange rates (FX), equity prices (EQ), commo-dity prices (CP), etc. that influence the value of a financial instrument.

VaR answers to the question: “what is the maximum loss over a preset time horizon such that there is a low probabili-ty, say 5%, that the actual loss will be higher?” For example, saying that the daily VaR of one portfolio is 123.397 EUR at the 95% “confidence level” means that the realized daily loss from the portfolio, on average, will be higher than 123.397 EUR only five out of 100 trading days.

Of course, the VaR number heavily depends on the two parameters selected for its calculation: the confidence level and the time horizon.

For instance, taking the same portfolio of the example above, the VaR at the 99% confidence level rather than at the 95% confidence level would give us a result of EUR 174.481 rather than EUR 123.397¹. The VaR at a 99% confidence le-vel, but computed for a period of one month rather than one day, would be EUR 780.303². These examples put in

evidence that, whenever analysing VaR or comparing two VaR figures, we always have to clearly keep in mind the pa-rameters selected for the estimation.uses oF var: limit monitoring and rEgulatory capital calculation

Limits based on notional exposures and sensitivities (Duration, β, Delta, etc.) have some shortcomings:

Often, they cannot be meaningfully aggregated: for ins-tance the β of one share cannot be summed per se with the Delta of an option on the same underlying. This leads to a proliferation of limits (especially for complex portfolios) that makes the monitoring activity cumbersome.

They cannot capture the diversification benefits that may reduce the risk of a portfolio whose value depends on se-veral risk factors and don’t convey any information about how probable a movement in risk factors is.

VaR is expressed in monetary terms and thus provides a unique metrics for portfolio risk. This allows simplifying the limit structure, comparing risk among portfolios and capturing the diversification benefits.

VaR can also be used for regulatory capital calculations. In 1996, the Basel Committee required banks to hold capital

1 Assuming that the risk factors are normally distributed, the VaR at a confidence level of 99% can be estimated based on the VaR at a confidence level of 95% as: VaR(99%) = VaR(95%) * 2.326/1.645, where 2.326 and 1.645 are the “z-levels” that identify the 99-th and the 95-th percentile on the standardized Normal distribution.

2 The typical approach to calculate an n-day VaR based on a daily VaR is to multiply the latter by the square root of the number of trading days contained in the selected horizon. In our case, assuming that a month has 20 trading days, we have 174.481 * 20^0.5 = 780.303.

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banaka da drže kapital u proporcionalnom odnosu sa svo-jim tržištnim rizikom usljed IR i EQ faktora u „Trgovinskoj knjizi“³ odnosno FX i CP faktora u „Trgovinskoj knjizi“ i „Bankarskoj knjizi.“

Banke mogu da mjere troškove kapitala za tržišni rizik na osnovu „Standardizovanog pristupa“ ili nakon što im naci-onalni regulatori odobre interni VaR model, po „Pristupu internog modela.“ Prema ovom potonjem troškovi kapitala za tržišni rizik na dan t (MRCt) bili bi⁴:

gdje je :VaR vrijednost pod rizikom izračunata za period od 10 dana i sa nivoom pouzdanosti od 99%;K je multiplikativni faktor koji može da ide od 3 do 4 u zavisnosti od rezultata koje testovima dvostruke provjere pokazuje model;

izračunavanje elementarnih pozicijaKonceptualni okvir za izračunavanje VaR-a ilustrovan je na sljedećoj slici. Izračunavanje VaR-a za jednostavne pozicije je jednostavno i biće ilustrovano sa dva primjera.

Pretpostavka je da se faktori rizika distribuiraju prema Normalnoj (ili “Gausovoj”) distribuciji.

Primjer 1: pretpostavimo da ste Investor koji ulaže u euri-

ma. Izračunajte VaR (5 dana, 99%) za spot deviznu poziciju od 20 miliona američkih dolara.

Prvi korak je izračunavanje izloženosti tržišnom riziku. Ovdje je to 88,23 miliona EUR (uz pretpostavku da je od-nos USD/EUR 1,36). Napominjemo da izloženost mora da bude izražena u osnovnoj valuti - EUR.

Drugi korak je procjena promjenjivosti dnevnog povraćaja kursa USD/EUR. Gledano statistički, promjenjivost je proc-jena standardne devijacije povraćaja faktora rizika koji se ispituje. Postoji nekoliko metoda da se procijeni promjenji-vost i one su detaljno ilustrovane u finanskijskoj literaturi⁵. Za svrhe našeg primjera, pretpostavimo ovdje da je dnevna promjenjivost kursa USD/EUR 1,63%). Pri 99% dnevni VaR u procentima iznosi 2,326*1.63% = 3.79%. Faktor 2.326 pred-stavlja ‘’z-nivo’’ koji utvrđuje 99. percentila standardizovane normalne distribucije.

Treći korak jeste da se izračuna dnevni VaR pozicije, jednostavnim množenjem izloženosti dnevnom procentu VaR-a. To nam daje: 88.23 miliona eura* 3.79% = 3.34 mi-liona eura. Posljednji korak je zatim jednostavno pomno-žiti dnevni VaR kvadratnim korjenom pet radnih dana. To nam daje iznos od 7.48 miliona eura.

Primjer 2: pretpostavimo da ste investitor koji ulaže u

eurima. Izračunajte VaR )1 dan, 95%) za poziciju od 120 miona dolara akcija General Motorsa:

Prvi korak je opet da se izračuna tržišni rizik i da se on po-veže sa faktorima rizika. Ovdje bi to bilo 88,23 miliona EUR za faktor rizika kod dolara i 88,23 miliona kod faktora rizika za General Motors. Treba primijetiti da sada povezujemo našu izloženost sa dva faktora rizika: devizni kurs i cijena akcija.

3 «Trgovačka knjiga »: finansijski instrumenti koji se namjerno drže za svrhe kratkoročnog trgovanja i za hedžing drugih elemenata trgovačke knjige. Nakon amandmana iz 1996. godine, troškovi kreditnog rizika više ne obuhvataju dug (IR) i akcjski kapital (EQ) hartije od vrijednosti koje su dodijeljene u trgovačku knjigu i pozicije u instrumentima koje su povezane sa robom (CP) i zamjenom valuta (FX). Uslov da mora postojati kapital za kreditni rizik i dalje obuhvata naknadu za rizik odgovarajuće suprotne strane koji utiče na OTC dervate bilo u Trgovinskoj ili u Bankarskoj knjizi.

4 Ova formula pokazuje samo troškove finansiranja za generički tržišni rizik tj. rizik usljed opšteg kretanja svih finansijskih instrumenata na tržištu. Ukupni troškovi za tržišni rizik takođe obuhvataju komponentu za specifični rizik (“troškovi finansiranja za specifični izik”) koja treba da uzme u obzir pojedinačni rizik svakog finansijskog instrumenta. Pogledati Bazelski komitet za nadzor u bankarstvu, 1996 gdje se mogu pronaći detalji o uslovima za kapital u vezi sa tržišnim rizikom.

5 Najjednostavniji metod jeste da se izračuna “jednako ponderisana” standardna devijacija dnevnih povraćaja. To odgovara dobro poznatom standardnom mjerenju devijacije. Rafiniraniji metod koji se mnogo koristi u praksi zove se “Eksponencijalni ponderisani promjenjivi prosjek (‘’Exponentially Weighted Moving Average’’) model (EWMA), koji opadajući ponder pripisuje starijim posmatranjima. Ovaj se pristup detaljno opisuje u Alexander, 2001 i u JP Morgan, 1996.

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commensurate with their market risk due to, respectively, IR and EQ factors in the “Trading Book”³ and FX and CP factors in the “Trading Book” and “Banking Book”

Banks may measure the capital charge for market risk ba-sed either on a “Standardized Approach” or, upon approval of the internal VaR model by the respective national regu-lators, on an “Internal Model Approach”. According to the latter, the capital charge for market risk on day t (MRCt) would be⁴:

Where:VaR is the Value at Risk calculated witha 10-days horizon and 99% confidence level;K is a multiplicative factor that can gofrom 3 to 4 based on model back testing performance;

calculation for ElEmEntary positionsThe conceptual framework for calculating VaR is illustrated in the following picture. The calculation of VaR for simple positions is straightforward and will be illustrated by me-ans of two examples.

It is assumed that the risk factors are distributed accor-ding to a Normal (or “Gaussian”) distribution.

Example 1: suppose that you are a EUR-based investor. Calculate the VaR (5day, 99%) for a USD 120 million spot FX position.

The first step is computing the exposure to market risk. Here is EUR 88.23 million (assuming USD/EUR is 1,36). Note that the exposure has to be expressed in the base currency EUR.

The second step is to estimate the volatility of the daily return of the USD/EUR exchange rate. From a statistical point of view, the volatility is an estimate of the standard deviation of the returns of the risk factor under exam. There are several methods to estimate volatility illustrated in de-tail in the financial literature⁵. For the sake of our example, we assume here that the daily volatility of the USD/EUR exchange rate is 1.63%). At the 99%, the daily VaR in per-centage form is 2,326*1.63% = 3.79%. The factor 2.326 is the “z-level” that identifies the 99-th percentile of the standar-dized Normal distribution.

The third step is to compute the daily VaR of the position, by simply multiplying the exposure by the daily percentage VaR. This gives us: EUR 88.23 million* 3.79% = EUR 3.34 million. The last step is then to simply multiply the daily VaR by the square root of five working days. This gives us EUR 7.48 million.

Example 2: suppose that you are a EUR-based investor. Calculate VaR (1day, 95%) for a USD 120 million position on General Motors’ shares:

The first step is again to compute the exposure to mar-ket risk and map it to the risk factors. Here would be EUR 88.23 million to the USD risk factor and EUR 88.23 milli-on on the General Motors risk factor. Note that now we are

3 “Trading Book”: financial instruments intentionally held for short-term trading purposes and for hedging other elements of the trading book. Following the 1996 Amendment, the credit risk charge excluded debt (IR) and equity (EQ) securities allocated to the trading book and positions in instruments linked to commodities (CP) and foreign exchange (FX). The credit risk capital requirement still includes a charge for the counter party risk affecting OTC derivatives either in the Trading Book or in the Banking Book.

4 The formula indicates only the capital charge for generic Market risk, i.e.: the risk due to a general movement of all the financial instruments in the market. The total charge for Market Risk also includes a component for Specific Risk (“Specific Risk Charge”) that should capture the individual risk of each financial instrument. See Basel Committee for Banking Supervision, 1996 for details about capital requirements for Market risk.

5 The simplest method is to calculate the ‘’equally weighted’’ standard deviation of the daily returns. This corresponds to the well-known standard deviation measure. A more refined method widely used in practice is the “Exponentially Weighted Moving Average” model (EWMA), which attributes a decreasing weight to older observations. This approach is described in detail in Alexander, 2001 and JP Morgan, 1996.

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Drugi korak je procijeniti promjenjivost i međusobnu vezu dnevnih povraćaja ova dva faktora rizika⁶. Za naš primjer, hajde da pretpostavimo da imamo sljedeće vrijed-nosti: promjenjivost USD/EUR = 1.63%, promjenjivost GM = 2%, međusobna veza = 0.48.

VaR portfolija u obliku procenata bio bi 1,645*(1.63%^2+2%^2+2*0,48*1,63%*2%)^0.5 = 5.14%⁷. Faktor 1.645 pred-stavlja ‘’z-nivo’’ koji identifikuje 95. percentil standardizo-vane normalne distribucije. Dnevni VaR ove pozicije iznosi 88,23 miiona EUR * 5.14% = EUR 4.53 million

opšte prihvaćene metodologije za izračunavanje var portFoliaPostoje tri tipične metodologije da se izračuna VaR za “stvar-ne” portfolije: metod “varijansa - kovarijansa”, Monte Karlo metod i Metod istorijske simulacije.

Metoda Varijansa – Kovarijansa (VCV VaR)Pretpostavka ove metode jeste da povraćaji svih tržišnih faktora prate normalnu distribuciju. Prema tome i distri-bucija povraćaja portfolija jeste normalna. Standardne ka-rakteristike normalne distribucije koriste se da se procijeni gubitak koji bi bio premašen sa vjerovatnoćom od x% (nivo pouzdanosti). Slijedi ilustracija VCV modela u njenoj „del-ta-normal“ verziji.

Prvi korak za izračunavanje VaR-a po VCV metodi je odabir porodice faktora rizika (npr.: 3 mjeseca, jedna go-dina, 5 godina kamatne stope, kurs USD/EUR i GBP/EUR, itd.) i implementacija VCV (varijansa-kovarijansa) matrice⁸ za te faktore rizika.

Drugi korak za izračunavanje VaR-a po metodi VCV sastoji se od pravilnog mapiranja svakog instrumenta i po-vezivanja sa odabranim faktorima rizika. Svaki instrument je “podijeljen” u jedan (ili više) ekvivalentnih izloženos-ti faktorima rizika koji utiču na vrijednost aktive i koji su predstavljeni u VCV grupi podataka.

Za FX i EQ faktore rizika mapiranje je jednostavno. Kao u prethodnom primjeru, spot USD 120 miliona bilo bi ma-pirano, za investitora koji ulaže u eurima na 88,23 miliona eura (uz pretpostavku da je kurs USD/EUR 1.36). Pozicija za 75 miliona eura za Simensove akcije bila bi mapirana na povraćaj cijene za Simensove akcije⁹.

U slučaju obveznica (faktori rizika kamatne stope) za ma-piranje je potrebno da svaki tok gotovine bude identifikovan i mapiran na stope koje utiču na njenu vrijednost koja je diskontovana na datum analize. Najčešći pristup mapiranju

izloženosti riziku kamatne stope jeste “uklapanje varijanse” gdje se uvode dva uslova¹⁰:

Sadašnja vrijednost i znak prvobitnog toka gotovine se zadržava;

Tržišni rizik (varijansa povraćaja) originalnog toka go-tovine se zadržava.

U slučaju opcija, iznos mapiran na relevantni faktor ri-zika bio bi “delta ekvivalent”. Pošto je opcija predstavljena svojim ekvivalentnim iznosom u aktivi koja je u njenoj os-novi, metod VCV zanemaruje nelinearnost instrumenata sa eksplicitnom ili ugrađenom opcionalnošću.

Kada se sve pozicije u portfoliju mapiraju na pravi način sa relevantnim faktorima rizika, posljednji korak jeste da se izračuna VCV VaR bazi vektora w mapirane izloženosti, pri z factoru β koji odgovara odabranom nivou pouzdanosti i VCV matrici relevantnih faktora rizika β¹¹.

Monte Karlo metod - VAR (MC VaR)Portfolio strategije koje koriste opcije mogle bi da rezulti-raju asimetričnom distribucijom povraćaja u portfoliju. Na primjer, kupljene prodajne opcije smanjuju rizik od gubitaka (zadržavajući u isto vrijeme potencijal za dobitke) u zamjenu za manji očekivani povraćaj, zbog troškova koji se plaćaju za kupovinu opcije. Kada je distribucija povraćaja na portfolio aismetrična, VCV VaR ne može da opiše tačno profil rizika1¹².

U MC pristupu, portfoliju se ponovno procjenjuje vrijed-nost po velikom broju nasumničnih Monte Karlo scenarija da bi se utvrdila najgora promjena u vrijednosti u odnosu na osnovni scenario, sa unaprijed odabranim nivoom po-uzdanosti. Pristup potpunog ponovnog utvrđivanja cijena na pravi način uzima u obzir nelinearno ponašanje port-folija koji sadrže opcije: u tom smislu MC VaR prevazilazi probleme VCV VaR-a.

MC VaR 1. korak: bazira se na odabranoj distribuciji, pravi se veoma veliki broj nasumično odabranih scenarija (najčešće 5,000 do 10,000) za svaki faktor rizika koji utiče na instrumente u portfoliju

MC VaR 2. korak: za svaki scenario, svakom instrumentu u portfoliju u potpunosti se ponovo utvrđuje cijena

MC VaR 3. korak: Razlike između vrijednosti portfolija simulirane u svakom scenariju i osnovnom scenariju (P&Ls) računaju se i pohranjuju u memoriji.

6 „Koeficijent linearne korelacije“ može da pretpostavi vrijednosti od –1 do +1 i mjeri tendenciju dvije aktive da se „kreću zajedno“ u odnosu na njihove odnosne srednje vrijednosti. Korelacija od +1 (-1) znači da su dvije varijable u potpunosti u pozitivnoj (negativnoj) korelaciji. To je standardni statistički koncept, a u velikoj se mjeri koristi za svrhe analize podataka.

7 Ovo se bazira na standardnoj formuli koja se koristi za izračunavanje standardne devijacije jednog portfolija dvije aktive. Pogledati, npr. Reilly Brown, 2002. Za portfolije koji sadrže više od tri faktora rizika formula se vrlo brzo ne bi mogla koristiti. Za izračunavanje VaR-a za takve portfolije bilo bi potrebno koristiti matričnu algebra.

8 Matrica varijansa-kovarijansa (VCV) predstavlja simetričnu matricu koja sadrži sve varijanse i kovarijanse između faktora rizika na kojima se računa VaR. VCV matrica sadrži po svojoj strukturi sve informacije o promjenjivosti i korelacijama faktora rizika i ona se može računati interno ili se može povući iz spoljašnjih izvora kao što je Risk Metrics Grupa. Više informacija o VCV matricama može se naći u Alexander, 2001

9 Često, zbog dimenzija, akcije se mapiraju na njihov odnosni berzanski indeks (npr. DAX indeks) i izlođenost po akciji koja se ispituje bila bi pomnožena njenim β faktorom da bi se prikazala njena osjetljivost na opšta kretanja tržišta. Ovi VaR modeli samo uzimaju u obzir komponentu „generičkog“ rizika i zanemaruju komponentu „specifičnog rizika“ kretanja akcije koja se ispituje. Taj pristup se često naziva “dijagonalnim modelom” za izračunavanje VaRa. Pogledati Jorion, 2000

10 Pogledati JP Morgan, 1996 gdje se mogu naći detalji postupka mapiranja.11 Matrična multiplikacija može da se obavi u Mikrosoft Excelu sa funkcijama MMULT i TRANSPOSE.

Detalji o pristupu matrične multiplikacije mogu da se pronađu u Jorion, 2000 i Alexander, 200112 Poboljšani VCV metod koji ima za cilj da riješi ovaj problem jeste ‘’delta-gamma’’ metod, koji uzima u obzir i drugi derivate cijene u odnosu na faktore rizika. Međutim, to je još

uvijek aproksimacija; da bi se u potpunosti capture rizik od ekstremnih kretanja tržišta (čemu i služi VaR) potreban je metod potpunog ponovnog određivanja cijena.


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mapping our exposure to two risk factors: the exchange rate and the share price.

The second step is to estimate the volatility and corre-lation of the daily returns of the two risk factors⁶. For our example let’s assume that we have the following values: vo-latility of USD/EUR = 1.63%, volatility of GM = 2%, cor-relation = 0.48.

The VaR of the portfolio in percentage form would be 1,645*(1.63%^2+2%^2+2*0,48*1,63%*2%)^0.5 = 5.14%⁷. The factor 1.645 is the “z-level” that identifies the 95-th percentile of the standardized Normal distribution. The daily VaR of the position is EUR 88.23 million * 5.14% = EUR 4.53 million

commonly accEptEd mEthodologiEs to calculatE portfolio varThere are three typical methodologies to calculate VaR for “real” portfolios: the “variance-covariance” method, the Monte Carlo method and the Historical Simulation method

Variance-Covariance VAR (VCV VaR)The assumption of the VCV is that the returns of all the mar-ket factors follow a Normal distribution. Based on this, also the distribution of the returns of the portfolio is Normal. The standard properties of the normal distribution are then used to estimate the loss that will be exceeded with a probability of x% (the level of confidence). In what follows we illustrate the VCV model in its “delta-normal” version.

First step for VCV VaR calculation is the selection of a family of risk factors (e.g.: 3M, 1Y, 5Y interest rates, USD/EUR and GBP/EUR exchange rates, etc.) and the implementation of a VCV (variance-covariance) matrix⁸ for those risk factors.

The second step for VCV VaR calculation consists in proper-ly mapping each instrument to the selected risk factors. Each instrument is “split” into one (or more) equivalent risk expo-sures to the risk factors that influence the asset value and are represented in the VCV dataset.

For FX and EQ risk factors, the mapping is simple. As in the previous example, a spot USD 120 million would be mapped, for an EUR-based investor, to EUR 88.23 million (assuming USD/EUR is 1,36). A position on EUR 75 million on Siemens shares would be mapped to the Siemens share price return⁹.

In the case of bonds (IR risk factors), the mapping requires that each cash flow is identified and mapped to the rates that influence its value discounted to the analysis date. The most

common approach for mapping IR exposures is the “variance matching”, where two conditions are imposed¹⁰:

The present value and sign of the original cash flow is preserved;

Market risk (return’s variance) of the original cash flow is preserved.

In the case of options, the amount mapped to the relevant risk factor would be the “delta-equivalent”. As the option is represented by its equivalent amount in the underlying asset, the VCV method neglects the non-linearity of instruments with explicit or embedded optionality.

Once all the positions in the portfolio are properly mapped to the relevant risk factors, the final step is to calculate the VCV VaR based on the vector w of mapped exposures, on the z-factor β corresponding to the selected confidence level, and on the VCV matrix of the relevant risk factors β¹¹.

Montecarlo VAR (MC VaR)Portfolio strategies that employ options could produce an asymmetrical distribution of portfolio returns. For example, purchased put options reduce the risk of losses (while main-taining the potential for gains) in exchange for a lower expec-ted return, due to the cost paid for purchasing the options. When the portfolio return distribution is asymmetrical, the VCV VaR cannot describe accurately the risk profile¹².

In the MC approach, the portfolio is re-valued under a very high number of random Monte Carlo scenarios in or-der to identify its worst change in value vs. the base scenario, under the pre-selected confidence level. The full repricing approach correctly takes into account the non-linear beha-viour of portfolios containing options: in this sense, the MC VaR overcomes the problems of the VCV VaR.

MC VaR 1st step: based on the selected distribution, a very high number of random scenarios (typically 5.000 to 10.000) for each of the risk factors that influence the instruments in the portfolio is generated.

MC VaR 2nd step: for each scenario, each instrument in the portfolio is individually fully repriced

MC VaR 3rd step: The differences between the portfolio value simulated under each scenario and the base scenario (P&Ls) are computed and stored in memory.

MC VaR 4th step: The P&Ls are sorted and the P&L that

6 The “linear correlation coefficient” may assume values from –1 to +1 and measures the tendency of two assets to “move together” relative to the respective mean values. A correlation of +1 (-1) means that two variable are perfectly positively (negatively) correlated. A correlation coefficient of 0 would indicate that two variables are not linearly correlated. This is a standard statistical concept, widely used for data analysis purposes.

7 This is based on the standard formula used to calculate the standard deviation of one portfolio of two assets. See for instance, Reilly Brown, 2002. For portfolios that contain more than three risk factors the formula would quickly became un-manageable. The calculation of VaR for such portfolios would request the use of some matrix algebra.

8 The Variance Covariance (VCV) matrix is a symmetrical matrix that contains all variances and covariances between the risk factors upon which the VaR is calculated. A VCV matrix contains by construction all the information about volatilities and correlations of the risk factors and it can be calculated internally or retrieved from external sources such as the RiskMetrics Group. For further information about VCV matrices see Alexander, 2001

9 Often, for dimensionality reasons, shares are mapped to the respective stock market index (e.g: the DAX index) and the exposure on the share under exam would be multiplied by its β factor to represent its sensitivity to the general movements of the market. These VaR models only take into account the ‘’generic’’ risk and neglect the ‘’specific risk’’ component of the movements in the share under exam. This approach is often referred to as the ‘’diagonal model’’ for VaR calculation. See Jorion, 2000

10 See JP Morgan, 1996 for details on the mapping procedure.11 The matrix multiplication can be performed in Microsoft Excel with the MMULT and TRANSPOSE functions.

For details about the matrix multiplication approach see Jorion, 2000 and Alexander, 200112 An enhanced VCV method that aims at resolving this problem is the ‘’delta-gamma’’ method, that takes into account also the second derivative of the price with respect to the risk

factors. However, this is still an approximation: to fully capture the risk from extreme market movements (…what VaR is made for) a full repricing method is needed.

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MC VaR 4. korak: P&Ls se pohranjuju i P&L koji od-govara unaprijed odabranom nivou pouzdanosti (npr. 50. najniži povraćaj ako računamo 5% MC VaR sa 1000 scena-rija) jeste VaR.

Prvi korak MC metode (pravljenje scenarija) dalje se može podijeliti u nekoliko pod-koraka¹³:

Definisanje stohastičkog modela za faktore rizika: obič-no se koristi model ‘’Geometric Brownian Motion’’ (GBM)Nasumično određivanje brojeva: za svaki faktor rizika i, nasumičan broj xi se određuje putem nasumičnog ge-neratora brojeva, i to da je 0 < xi <1. Na ovaj način do-bijamo nasumični vektor x. Tada se vektor x transfor-miše u vektor y normalno distribuiranih nasumičnih izvoda kod kojih ne postoji korelacija (zi).Transformacija izvoda kod kojih nema korelacije u na-sumične varijable koje su u korelaciji: nasumične vari-jable zi dobijene na ovaj način još nisu u korelaciji. Da bi se izveo niz multivarijabilnih varijabli koje su u ko-relaciji za sve faktore rizika obično se koristi tehnika Cholesky faktorizacije¹⁴.

Istorijska simulacija VAR (HS VaR)MC VaR kreće od pretpostavke o distribuciji faktora rizika. Obično se bira normalna pretpostavka: u tom smislu MC VaR se ne razlikuje od VCV VaR.

Čak i ako se u velikoj mjeri koristi pretpostavka normal-nosti empirijsko istraživanje pokazalo je da stvarni povraćaji ne dozvoljavaju normalnu distribuciju. Ekstremni povraćaji su češći nego što se predviđa pretpostavkom normalnosti; to se naziva leptokurtosis ili “fat tails”. Zbog toga, modeli koji pretpostavljaju normalnost distribucije faktora rizika podc-jenjuju vjerovatnoću ekstremnih kretanja tržišnih faktora.

Najznačajnija dodata vrijednost HS VaR-a jeste da on ne pravi nikakve pretpostavke o distribuciji i tako na njega ne utiču problemi koji se pojavljuju kada distribucija nije normalna

HS VaR pristup bazira se na scenarijima: svakom instru-mentu se ponovno određuje vrijednost primjenom stvarnih povraćaja faktora rizika koji se posmatraju istorijski gledano (obično u periodu od jedne do pet godina).

HS VaR 1. korak: za svaki faktor rizika odabiraju se vri-jednost iz prošlosti. Procenat (dnevne) promjene u vrijed-nosti svakog faktora rizika računa se i pohranjuje za svako posmatranje iz prošlosti (e.g: 250).

HS VaR 2. korak: svaka istorijska dnevna promjena pro-centa primjenjuje se na baznu vrijednost svakog faktora ri-zika na datum obračunavanja. Na taj način dobijamo 250 različitih scenarija za relevantne faktore rizika.

HS VaR 3. korak: za svaki scenario, svakom instrumentu u portfoliju je zasebno određena cijena.

HS VaR 4. korak: Računaju se razlike između vrijednosti portfolija simuliranih u svakom scenariju i osnovnog sce-narija (P&Ls). P&Ls se sortiraju u opadajućem nizu i onaj koji ispadne odgovarajući unaprijed odabranom intervalu pouzdanosti predstavlja VaR.

1.

2.

3.

HS VaR prevazilazi problem “fat tails” koji je implicitan kod pretpostavke normalnosti i omogućuje potpuno po-novno utvrđivanje cijena opcija. Konceptualno ga je lako objasniti. Međutim HS VaR pretpostavlja da će budućnost biti slična prošlosti. Tako da HS VaR u velikoj mjeri zavisi od odabranih posmatranja faktora rizika

Prednosti i nedostaci različitih VaR metodologijaVCV metod je jednostavno implementirati i brz je za raču-nanje, čak i u Excelu. Međutim, ova metoda daje smislene rezultate samo za portfolija bez opcija (ili za one koji sadrže veoma ograničenu količinu opcija). VCV VaR jeste rješenje koje je održivao za male i srednje banke sa jednostavnom djelatnošću dok su modeli simulacije (posebno MC) pri-kladniji za veće i složenije banke.

Za složene portfolije, MC VaR je bolji, ali za njega su po-trebni jači sistemi (svim instrumentima mora se ponovo odrediti vrijednost u svakom scenariju), a tumačenje re-zultata može biti teško. MC softver, posebno ukoliko dola-zi od spoljašnjeg prodavca, može da bude kao “crna kutija” – teško i za razumijevanje i za održavanje.

Za metod HS VaR ipak je potreban dobar informaciono tehnološki kapacitet. On ima prednost da se u njemu ne pra-ve pretpostavke za distribuciju faktora rizika, ali istorijske serije moraju se dobro konstruirati i održavati.

Generalno gledano, primjena različitih metodologija na isti portfolio može da dovede do veoma različitih rezultata. To treba uzeti u obzir kada se upoređuju cifre za VaR.

Primjena popularnih VaR modela na tržišta u istočnoj EvropiZikovic (2007) primjenjuje nekoliko VaR modela koji su sa-stavljeni za razvijena tržišta na tržišta u raznim novim čla-nicama Evropske Unije i zemljama kandidatima. Rezultati pokazuju da uobčajeni modeli izgleda ne funkcioniš na optimalan način na ovim tržištima¹⁵.

Autor je na osnovu svojih istraživanja utvrdio nekoliko lekcija za implementaciju VaR-a:

Za banke koje su dio multinacionalne grupe: potrebno je imati kritički pristup prema VaR modelima koje “nameću” sjedišta tih banaka iz inostranstva

Za samostalne banke: menadžeri koji rade na upravljan-ju rizikom treba da znaju za standardne VaR modele koje predlažu prodavci softvera

Za nacionalne regulatore: uzeti u obzir specifičnosti tr-žišta kada se vrši verifikovanje unutrašnjih VaR modela za svrhe izračunavanja regulatornog kapitala ■

13 Detaljan opis svih koraka procesa pravljenja scenarija može se naći u JP Morgan, 1996 i Jorion, 2000

14 Detalji o faktorizaciji Cholesky mogu se pronaći u Alexander, 200115 Sa tehničkog aspekta, povraćaji pokazuju fat-tails i asimetriju

i postoji značajna auto-korelacija povraćaja dignutih na kvadrat. Detalji se mogu pronaći u raznim člancima Zivkovića (2007)

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VALUE AT RISK

correspond to the pre-selected confidence level (e.g: the 50-th lowest return if we are calculating the 5% MC VaR with 1000 scenarios) is the VaR.

The first step of the MC method (scenario generation) can further be split into several sub-steps¹³:

Definition of a stochastic model for the risk factors: ty-pically the ‘’Geometric Brownian Motion’’ (GBM) mo-del is used.Random numbers generation: for each risk factor i, a random number xi is generated via a random number generator, with 0 < xi < 1. In this way we obtain a ran-dom vector x. Then the vector x is transformed into a vector z of normally distributed uncorrelated random extractions (zi). Transformation of the uncorrelated extractions into correlated random variables: the zi random variab-les obtained in this way are not yet correlated. In order to derive a set of multivariate correlated variables for all the risk factors, one typically used technique is the Cholesky factorisation¹⁴.

Historical Simulation VAR (HS VaR)MC VaR makes an assumption about the distribution of the risk factors. Usually, the normal assumption is chosen: in this sense, the MC VaR is not different from the VCV VaR.

Even if the normality assumption is widely used, em-pirical research has demonstrated that the actual returns do not follow a normal distribution. Extreme returns are more frequent than predicted by the normal assumption: this is called leptokurtosis or “fat tails”. Therefore, models that assume the normality of risk factors’ distribution un-derestimate the probability of extreme movements of the market factors.

The main added value of HS VaR, is that it does not make any distributional assumption and so, it is not affected by problems of non-normality.

The HS VaR approach is scenario based: each instrument is re-valued applying the actual returns of the risk factors observed over the past (usually a period between one and five years).

HS VaR 1st step: the past values of each of the risk fac-tors are selected. The percentage (daily) change in value of each risk factor is calculated and stored for all the past (e.g: 250) observations.

HS VaR 2nd step: each historical daily percentage change is applied to the base value of each risk factor on the calcu-

1.

2.

3.

lation date. In this way, we obtain 250 different scenarios for the relevant risk factors.

HS VaR 3rd step: for each scenario, each instrument in the portfolio is individually fully repriced.

HS VaR 4rd step: The differences between the portfolio value simulated under the each scenario and the base sce-nario (P&Ls) are computed. The P&Ls are sorted in dec-reasing order and the one falling in correspondence of the pre-selected confidence interval is the VaR.

The HS VaR overcomes the “fat tails” problem implicit in the normality assumption, and allows for a full repricing of options. It is conceptually easy to explain. However, HS VaR assumes that the future will resemble the past. So, the HS VaR strongly depends on the selected observations of the risk factors.

Strengths and weaknesses of the different VaR methodologies.The VCV method is simple to implement and quick to cal-culate, even on an Excel spreadsheet. However, this method gives meaningful results only for portfolios without opti-ons (or contain them only in a very limited amount). VCV VaR is a solution viable for small to mid sized banks with a simple activity, whereas simulation models (especially MC) are better tailored to bigger, more complex banks

For complex portfolios, the MC VaR is better, but this requires more powerful systems (all instruments must be re-valued at each scenario) and the interpretation of results may be difficult. MC software, especially if from an exter-nal vendor, could be a “black box” difficult to understand and maintain.

The HS VaR method still requires some IT power. It has the advantage of not making any assumption for the distri-bution of the risk factors, but the historical series must be well constructed and maintained.

In general, the application of different methodologies to the same portfolio could produce very different results. This is to be taken into account when comparing VaR figures.

Application of popular VaR models to markets of the Eastern Europe.Zikovic (2007) has applied several VaR models conceived for developed markets to the markets of various EU new members and candidates States. Results have shown that common models don’t seem to perform optimally in the-se markets¹⁵.

The Author, based on his findings, identifies several les-sons for VaR implementation:

For banks part of a multinational group: need of a criti-cal approach to the VaR models that may be “imposed” by Head Offices of foreign parent companies

For autonomous banks: risk managers should beware of standard VaR models proposed by software vendors

For national regulators: take into consideration the speci-ficities of the market when possibly validating internal VaR models for regulatory capital calculation purposes ■

13 For a detailed description of all the steps of the scenario generation process see JP Morgan, 1996 and Jorion, 2000

14 For details about the Cholesky factorisation see Alexander, 200115 From a technical point of view, returns show fat-tails

and asymmetry and there is significant autocorrelation of squared returns. See the various papers by Zikovic (2007)

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mjerenje izloženosti operativnom riziku

Savremeni način bankarskog poslovanja postao je više nego rizičan. Povećanu rizičnost poslovanja uslovila su promjenljiva finansijska tržišta, nova informatička tehnologija, deregulacija, globalizacija, pojačana konkurencija i mnogi drugi faktori. Zato se osjeća potreba za upravljanjem bankarskim rizicima. Na razvijenim finansijskim tržištima banke su izložene mnogim rizicima. Razlozi su brojni - od nedovoljne diversifikacije poslovanja i sklonosti ka ulaganju u rizične a profitabilne poslovne aranžmane, do potresa na berzama i globalnih finansijskih kriza. Sve veća izloženost rizicima nameće upravljanje i kontrolumr Ristan Stijepović

Stepen rizika, prvenstveno, zavisi od obima i načina plasiranja sredstava. Kada su rokovi kraći, rizik je

znatno manji i obratno. Osim toga, rizik, kvantitativno, ali i kvalitativno, opredjeljuje i niz drugih elemenata, kao što su: vrsta poslovne aktivnosti banke, bonitet i kreditna sposobnost banke, poslovni rezultati, poli-tičke prilike u zemlji... Istraživanjem tržišta od strane banaka rizik se može smanjiti, ili minimizirati, ali se ne može eliminisati. Takva situacija na bankarskom tržištu primorava banke da raznim inovacijama pos-tižu bolje tržišne performanse i da budu ekonomski i finansijski snažnije kako bi lakše podnijele očekivani ili neočekivani gubitak.

Bankarski rizik se ispoljava dvostruko, u materijal-nom i nematerijalnom obliku. U materijalnom obliku, rizik predstavlja gubitak dijela ili cijelog ulaganja, a u nematerijalnom gubitak poslovnog ugleda. Upravljanje bankarskim rizicima može biti i kvalitativno i kvanti-tativno. Kvalitativno upravljanje rizicima zasniva se na iskustvenim ocjenama bankarskih eksperata, i ono je bitno za one faktore rizika koji se ne mogu kvantifiko-vati. Kvantitativno upravljanje rizicima podrazumijeva korišćenje savremenih matematičkih modela i metoda.

Generalna tendencija u bankarstvu je sve veće korišćen-je kvantitativnih metoda upravljanja rizicima.

Generalni cilj upravljanja bankarskim rizikom je optimizacija odnosa prinosa i rizika.

Prinos i rizik su nerazdvojivi. U većini slučajeva, što je veći prihvaćeni rizik prilikom neke poslovne aktivnosti, veće su i potencijalne nagrade za njegovo podnošenje. Dakle, upravljanje rizicima može se de-finisati kao disciplina upravljanja, čiji je zadatak da se zaštite sredstva i profit banke u cilju smanjenja poten-cijalnih gubitaka, prije nego što oni nastanu. Ukoliko banke ne bi dobro upravljale rizicima, prijetila bi im opasnost da postanu nesolventne.

Potencijalni rizik za banku su greške u radu zapos-lenih. Najčešće proističu iz nedovoljnog iskustva, ne-poštovanja uspostavljenih politika i procedura, ne-discipline kao i prevare zbog nepoštovanja moralnog kodeksa. Nepravilno korištenje visoko-automatizovane tehnologije može se pretvoriti u rizik kvara informa-cionog sistema. Moguće greške u radu, kao i greške tokom primjene, najčešće proističu od neposjedova- nja adekvatnog stručnog znanja za pravilno korištenje sistema. Spajanje, konsolidovanje i fuzionisanje pred-


measurement of exposureto operational risk

RISKS IN BANKING

Modern form of banking business has become more than risky. Increased risk has been generated by financial markets, new information technology, deregulation, globalization, enhanced competition and a number of other factors. This gives rise to a need for management of banking risks. In developed financial markets, banks are exposed to numerous risks. This is caused by a number of reasons, ranging from insufficient diversification of business and tendency to invest in risky and profitable business arrangements, to stock-exchange shocks and global financial crises. The ever increasing exposure to risks calls for management and control M.Sc. Ristan Stijepović

The degree of risk depends primarily on the amount and method of placement of funds. Risk is con-

siderably lower for shorter deadlines and viceversa. In addition, risk determines – in both quantitave and qualitative sense – a number of other elements, such as: type of business activity of the bank, solvency and creditworthiness, business performance, political si-tuation in the given country etc. Market research con-ducted by the banks may reduce or minimize the risk, but cannot eliminate it. Such situation in the banking market forces banks to achieve better market perfor-mance by means of various innovations and to be eco-nomically and financially stronger in order to accom-modate expected or unexpected loss.

Banking risk has two forms – tangible and intagible. In the tangible sense, risk represents loss of one part or an entire deposit, while its intangible form represents loss of businesss reputation. Managing banking risks may be qualitative or quntative. Qualitative risk ma-nagement is based on empirical assessment of banking experts and is important for those risk factors that are not quantifiable. Quantitative risk management implies use of modern mathematical models and methods.

There is a general tendency of increasing use of quan-titative risk management methods in banking.

General aim of bank risk management is optimi-zation of yield and risk ratio. Yield and risk are in-separable. In most cases, the higher the accepted risk of a business activity, the higher the potential reward for undertaking it. Thus, risk management may be defined as a management discipline tasked with protecting bank assets and profit in order to reduce potential losses before they occur. If banks did not manage risks well, they would be in danger of becoming insolvent.

Employee’s errors represent a potential risk for banks. In most cases, they are caused by insufficient experience, failure to adhere to established policies and procedures, lack of discipline or fraud due to vi-olation of the code of ethics. Sound use of highly au-tomated technology may turn into a risk of IT system failure. Possible errors in the course of work or appli-cation mainly result from lack of adequate expertise for handling the system. Merging, consolidation and fusion represent an integration risk reflected in the viability of the integrated system. Banks can reduce

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RIZICI U BANKARSTVU

stavljaju integracioni rizik koji se ogleda u održivosti integrisanog sistema. Banke mogu smanjiti rizik svog poslovanja primjenom različitih tehnika kao što seku-rizacija kredita, sporazumi o saldiranju kao i primjena kolaterala i garancija. S druge strane, primjena ovih tehnika može dovesti do pojave drugih oblika rizika (npr. pravni rizik). Kako poslovne operacije u okviru bilansa, tako i vanbilansne operacije (trgovanja deri-vatnim instrumentima), mogu smanjiti neke rizike ali sa druge strane oni nose dodatne nove rizike za ban-ke. Svi naznačeni rizici mogu se nazvati operativni rizik, koji obuhvata pravni rizik, ali isključuje repu-tacioni rizik.

Upravljanje operativnim rizikom ima isti tretman kao i upravljanje kreditnim, kamatnim, valutnim i ostalim značajnim bankarskim rizicima. Operativni rizik ne preuzima se direkno, u zamjenu za očekiva-nu dobit, već je dio obavljanja bankarskih operacija. Zbog toga je upravljanje tim rizikom veoma složeno i teško. Neuspješno upravljanje operativnim rizikom može izložiti banku značajnom gubitku. Upravljanje nekim segmentima operativnog rizika nije nova praksa u bankarstvu. Banke su i ranije preko svojih unutraš-njih službi nadzora i kontrole ili preko revizije svojih poslovnih aktivnosti sprečavale unutrašnje i spoljaš-nje prevare, smanjivale greške zaposlenih, vodile ra-čuna o materijalnoj imovini. Veliki operativni gubici kod nekih finansijskih institucija (Berings banka 1995., LTCM-hedž fond 2000, Societe Generale banka 2007.), nametnuli su sve ozbiljniji pristup banaka upravljanju operativnim rizikom.

od dEfinicijE do dEfinicijEDa bi uspješno upravljala operativnim rizikom ban-ka treba da utvrdi definiciju koja jasno određuje šta se podrazumijeva pod operativnim rizikom u toj banci. Prva definicija operativnog rizika objavljena je 1999. godine u Robert Morris Associates kao: „Rizik direktnog ili indirektnog gubitka koji proističe iz ne-adekvatnih ili pogrešnih internih procedura, ljudi i sistema ili iz eksternih događaja”. Ovu definiciju pri-hvatio je Bazelski komitet 2001. godine, uz isključenje odrednica „direktnog ili indirektnog gubitka“. (Basel Committee on Banking Supervision, 2001; Consultative Document, January).

Definicija Bazelskog komiteta predstavlja osnovu za de-finiciju operativnog rizika u crnogorskoj bankarskoj re-gulativi (Odluka o minimalnim standardima za upravljanje operativnim rizikom u bankama u Crnoj Gori, Sl.list RCG, br. 08/05 – „Operativni rizik je vjerovatnoća ostva-rivanja gubitka u poslovanju banaka, usled neadekvatnih internih sistema, procesa i kontrola, slabosti i propusta u izvršavanju poslova, protivpravnih radnji i spoljnih do-gađaja koji mogu izložiti banku gubitku“).

U naučnoj literaturi i praksi postoji veliki broj de-finicija operativnog rizika. Za koju će se definiciju banke opredijeliti ili da li imaju sopstvenu definiciju manje je važno. Značajnije je da li banke razumiju šta se podrazumijeva pod operativnim rizikom. Dakle, banke moraju registrovati događaj, zbog kojeg nasta-je operativni rizik i koji ih izlaže gubitku.

Najčešći razlozi koji mogu dovesti do pojave opera-tivnog rizika u bankarskom poslovanju su: unutrašnja prevara, koja se može manifestovati na više načina (prevara od strane zaposlenog, otuđenjem novca ili prebacivanjem sredstava na sopstveni račun ili na ra-čun nekog od srodnika u zemlji ili inostranstvu, nam-jerno pogrešno informisanje koje za cilj ima neku pro-tivpravnu korist); spoljašna prevara, uglavnom dolazi od klijenta banke (izdavanje čekova bez pokrića, laž-no jemstvo, zloupotreba tuđeg računa, pranje novca, pljačka banke od nepoznatog lica); greške zaposlenih (nenamjerne greške propuštanja evidentiranja ope-racija pogrešnim unosom podataka, prihvatanjem nepotpune i netačne dokumentacije, propustima kod primanja sredstava obezbjeđenja, nenamjerno pog-rešno informisanje); poremećaji i kvar informacionog sistema (kvar softverskog programa, kvar hardvera, telekomunikacioni problemi); oštećenja materijalne imovine (usljed elementarnih nepogoda, ili usled te-rorizma i/ili ratnih dešavanja u zemlji ili neposred-nom okruženju).

Definicija operativnog rizika je bitna za formiranje okvira za upravljanje operativnim rizikom u cilju usp-ješne organizacije upravljanja i jedinstvenog pristupa unutar banke. Okvir za upravljanje operativnim rizi-kom u bankarskom sektoru zavisi od jasne strategije i efikasnog procesa upravljanja. Neophodno je da banke imaju savremenu infrastrukturu, dok složenost i pri-


the risk of their operation by applying different tech-niques, such as – securitization of loans, settlement agreements, use of collaterals and guarantees. On the other hand, using these techniques may generate other forms of risk (e.g. legal risk). Both operations within the balance sheet and off-balance sheet ones (trading derivative instruments) may reduce some of the risks; however, they imply additional new risks for banks. All the risks mentioned may be referred to as opera-tional risk, including legal risk, but not including re-putational risk.

Operational risk management is treated in the same manner as management of credit, interest rate, curren-cy and other major bank risks. Operational risk is not assumed directly, in exchange for anticipated profit, but is a part of conducting banking operations. This makes operational risk management highly complex and difficult. If unsuccessful, it may expose a bank to a considerable loss. Managing some operational risk segments is a new practice in banking. Banks have used their internal supervision and control services or business operation audit in the past to prevent in-ternal or external fraud, reduce employee’s errors, take care of their tangible assets. Huge operational losses of some financial institutions (Berings Bank in 1995, LTCM hedge fund in 2000, Societe Generale Bank in 2007) required banks to take a more serious approach in operational risk management.

from onE dEfinition to thE nExtIn order to successfully manage operational risk, a bank should establish a definition that clearly states what the gi-ven bank regards as operational risk. The first definition of operational risk was published in 1999 by Robert Morris Associates: ’’the risk of direct or indirect loss resulting from inadequate or failed internal processes, people and systems or from external events“. This definition was adopted by the Basel Committee in 2001, excluding the references to “direct or indirect loss“ (Basel Committee on Banking Supervision, 2001; Consultative Document, January).

The Basel Committee definition provides a basis for the definition of operational risk in Montenegrin ban-king regulations (Decision on Minimum Standards for Operational Risk Management in Montenegrin Banks, Official Gazette no. 08/05 – ’’Operational risk is the likeliness of incurring loss in in banks’ business due to inadequate internal systems, processes and controls, weknessses and oversights in performance, illegal actions and external events that may expose a bank to risk“).

There is a large number of definitions of operational risk both in reference materials and in practice. It is of less importance which definition is chosen by the banks or whether they have their own. What is more important is whether the banks understand what is meant by operational risk. Therefore, banks must re-gister the event that generates operational risk and exposes them to loss.

The most frequent causes of operational risk in ban-king are: internal fraud, which may take several forms ( fraud committed by an employee, by withdrawing or transferring funds to own account or a relative’s account in the country or abroad, deliberate misinformation in order to attain illegal gain; external fraud, mainly generated by the bank’s client (issuing false checks, false guarantee, misuse of another person’s account, money laundering, bank robbery by an unknown in-dividual), employee’s errors ( unintentional failure to record operations, incorrect data entry, acceptance of incomplete or incorrect papers, oversights when accepting collateral, unintentional misinformation); irregularity and malfunction of IT system (software or hardware malfunction, telecommunication prob-lems); damage to physical assets (due to natural di-sasters, terrorism and /or war in the country or in the neighbourhood).

Definition of operational risk is improtant for estab-lishing a framework for operational risk management, for the purpose of successful management organization and uniform approach within the bank. The framework for operational risk management in the banking sector depends on a clear strategy and efficient management process. Banks need modern infrastructure, while the complexity and nature of their activities derived from market changes primarily depend on immediate sur-rounding. These are key segments of the framework for effective management of operational risk.

Bearing in mind the fact that recommendations re-present a combination of up-to-date knowledge and experience in recording, monitoring and measuring

RISKS IN BANKING

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roda njihovih aktivnosti koje proizilaze iz promjena na tržištu, zavise prije svega od neposrednog okruže- nja.To su ključni segmenti okvira za djelotvorno upravljanje operativnim rizikom.

Imajući u vidu činjenicu da preporuke predstavljaju skup najsavremenijig znanja i iskustava u evidentira- nju, praćenja i mjerenju operativnog rizika, strategija upravljana se temelji na preporukama Bazelskog komi-teta. Preporuke su date u trećem ključnom dokumentu Bazelskog komiteta koji je usvojen u junu 2004. godi-ne, i poznat je pod nazivom Bazel II. Implementacija i primjena pravila i preporuka Bazela II predviđaju sledeću dinamiku:

2004 - 2006: donošenje i usvajanje nacionalne regu-lative i pratećih dokumenata; izrada strategije prema nacionalnim dokumentima, uputstvima i odlukama; priprema banaka za implementaciju.

2007: primjena jednostavnih metodologija.2008: primjena naprednih metodologija.2008. i dalje: prelazno razdoblje za države nečlani-

ce (dinamika implementacije i primjene odnosi se na članice Bazelskog komiteta; banke koje nijesu još uvi-jek pod uticajem Bazela II, nastavljaju sa primjenom domaće regulative, a svoja pravila mijenjat će vreme-nom, prilagođavajući ih postepeno Bazelu II).

Kada je nacionalnom regulativom propisana oba-veza izrade strategije, onda banke trebaju definisa-ti osnovne ciljeve koji prije svega podrazumijevaju: obezbjeđivati adekvatni iznos kapitala u odnosu na preuzeti operativni rizik; pokrivati obuhvatni raspon rizika; pospješivati poboljšanja u upravljanju opera-tivnim rizikom; definisati ulogu supervizora; redovno objavljivati podatke.

tri mEtoda mjErEnja Novim bazelskim dokumentom predviđene su tri me-tode za izračunavanje (mjerenje) izloženosti opera-tivnom riziku: metod osnovnog pokazatelja, metod standardizovanog pristupa i metod naprednog mje-renja. Metod osnovnog pokazatelja (Basic Indicator Approoch – BIA), podrazumijeva da banke moraju obezbijediti obavezan iznos kapitala za pokriće ope-rativnog rizika, tako što se određeni fiksni procenat (alfa) pomnoži sa bruto dohotkom banke i to u pros-jeku za određeni prethodni period (obično, tri godine) u kojima je bio pozitivan. Pod bruto dohotkom ban-ke podrazumijeva se neto kamatni dohodak plus neto nekamatni dohodak. Nekamatni dohodak proizilazi iz vanbilansnih aktivnosti banke. Stopa alfa iznosi 15% i određena je od strane bazelskog komiteta).

KBIA – obavezni kapitalGl – godišnji bruto prihodn – broj godina (pretežno tri) za koje je bruto prihod pozitivanα – 15%

Primjer:Gl₁-₃ = 1.000.000 €n = 3 godineα = 15%

Metod standardizovanog pristupa (Standardised Approach - SA), podrazumijeva da se sve aktivnosti banke moraju podijeliti u osam poslovnih linija. Za svaku poslovnu liniju bruto dohodak se množi odgovarajućim faktorom (beta). Procenat beta koji se primjenjuje na poslovne linije kreće se u rasponu od 12% do 18% (ukupan iznos obaveznog kapitala dobija se tako što se svi dobijeni iznosi kapitala pomnoženi sa β po poslovnim linijama saberu i podijele sa posmatra-nim vremenskim horizontom).

KSA – obavezni kapitalGl₁-₈ – godišnji bruto prihod, za svaku od osam poslovnih linija,n – broj godina za koje je bruto prihod pozitivanGl₁-₈ – 12% - 18%

Primjer:

Gl₁-₃ = 1.000.000 €n = 3 godineβ₁-₈ = 12% - 18%

Ako banka koristi standardizovani pristup mora ispu- njavati sljedeće kriterijume: odbor direktora i viši menadž-ment moraju biti uključeni u donošenje i primjenu okvi-ra upravljanja operativnim rizikom; sistem za upravljanje

poslovne linije Bruto prihod β% Rezultat

Korporativne finansije

Trgovina i prodaja

Bankarstvo „na malo“ (stanovništvo)

Komerc. bankarstvo (pravna lica)

Plaćanja i saldiranja

Agencijske usluge

Upravljanje sredstvima

Brokerski poslovi sa stanovništvom

100.000

50.000

250.000

300.000

50.000

100.000

50.000

100.000

18 %

18 %

12 %

15 %

18 %

15 %

12 %

12 %

18.000

9.000

30.000

45.000

9.000

15.000

6.000

12.000

totAL 1.200.000 144.000


operational risk, management strategy is based on re-commendations of the Basel Committee. The recom-mendations are provided in the third key paper of the Committee, adopted in June 2004 and referred to as Basel II. Implementation and application of Basel II rules and recommendations envisage the following dynamics:

2004 – 2006: development and adoption of national regulations and supplementary documents; develop-ment of a strategy according to national documents, instructionsand decisions; preparation of banks for implementation;

2007: implementation of simple methodologies;2008: implementation of advanced methodologies.2008 onwards: transition period for non-members.

(The dynamics of implementation and application re-fers to members of the Basel Committee. Those banks that are still not included under Basel II continue with the implementation of national regulations and will gradually adjust their rules to Basel II).

When national regulations stipulate the requirement to develop a strategy, banks need to define main goals that primarily imply: provision of adequate capital to operational risk ratio; covering the covered risk range; fostering improvements in operational risk manage-ment; defining the supervisor’s role; regular disclosu-re of information.

thrEE mEthods of mEasurEmEntThe new Basel document envisages three methods for calculation (measurement) of exposure to operational risk: Basic Indicator Approach, Standardised Approach and Advanced Measurement. Basic Indicator Approach – BIA implies that banks must provide the required capital amount to cover operational risk by multiply-ing a fixed percentage (alpha) with gross bank income average for a defined past period (normally three years) when it was positive. Gross bank income is conside-red as net interest income plus net non-interest inco-me. Non-interest income is derived from the bank’s off-balance sheet activities. Alpha rate is 15% and is determined by the Basel Committee).

KBIA – required capitalGl – annual gross incomen – number of years (normally three) with positive gross incomenα – 15%

Example:Gl₁-₃ = 1.000.000 €n = 3 yearsα = 15%

Standardised Approach – SA implies that all bank’s activities must be categorized into eight business li-nes. Gross income for each of the lines is multiplied by an appropriate factor (beta). Beta percentage ap-plied for business lines ranges between 12% and 18%. (Total amount of required capital is calculated by ad-ding up all capital amounts obtained and multiplied by β, by individual lines, and dividing that by the gi-ven time horizon).

KSA – required capitalGl₁-₈ – annual gross income for each of eight business linesn – number of yearsGl₁-₈ – 12% - 18%

Example:

Gl₁-₃ = 1.000.000 €n = 3 yearsβ₁-₈ = 12% - 18%

In order to use the Standardised Approach, a bank must meet the following criteria: Board of Directors and senior management must be involved in the adopti-on and implementation of the framework for operati-onal risk management; the system for operational risk management must be reliable; sufficient experience

RISKS IN BANKING

Business Lines gross income β% Result

Corporate finance

Trade and sale

Retail banking

Commercial banking (legal entities)

Payments and settlements

Agency services

Asset management

Retail brokerage

100.000

50.000

250.000

300.000

50.000

100.000

50.000

100.000

18 %

18 %

12 %

15 %

18 %

15 %

12 %

12 %

18.000

9.000

30.000

45.000

9.000

15.000

6.000

12.000

totAL 1.200.000 144.000

jul 2008 | :Bankar

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RIZICI U BANKARSTVU

operativnim rizikom mora biti pouzdan; mora postojati dovoljno iskustva i znanja u banci za korišćene standar-dizovanog pristupa u glavnim poslovnim linijama i na području kontrole i revizije; supervizor može insistirati na periodu inicijalnog (probnog) praćenja, prije nego što se počne koristiti u svrhe za utvrđivanje obaveznog kapitala za pokriće operativnog rizika; banka mora imati kriteriju-me za mapiranje događaja koji dovode do operativnog ri-zika; mapiranje može biti po indentifikacionom događaju, po poslovnim linijama i po uzrocima rizika; banka mora sistemski pratiti relevantne podatke o operativnom rizi-ku, uključujući značajne gubitke po poslovnim linijama; sistem upravljanja operativnim rizikom mora biti sastavni dio procesa upravljanja ukupnim rizicima banke; banka mora razvijati tehnike i neophodnu praksu za stvaranje podsticaja da bi se poboljšalo upravljanje operativnim ri-zikom; u banci mora postojati redovno izvještavanje me-nadžmenta poslovne jedinice, višeg menadžmenta i odbora direktora o izloženostima operativnom riziku, uključujući i značajne gubitke; sistem upravljanja operativnim rizikom mora biti dobro dokumentovan; sistem procjene opera-tivnog rizika mora biti predmet redovnog ispitivanja od strane revizora i/ili supervizora.

Prednosti pristupa osnovnog pokazatelja i standardi-zovanog pristupa jeste u njihovoj jednostavnoj primjeni. Međutim ova dva pristupa imaju značajna ograničenja koja se ogledaju u sledećem: jedna veličina odgovara svima i za sve; rizik se ne povećava linearno sa prihodom; grubi i nedovoljno osjetljivi na obračun rizika; Ne podstiču banke da ulažu u infrastrukturu operativ-nog rizika.

Metod naprednog mjerenja (Advanced Measurement Approach - AMA), podrazumijeva da se obavezni kapital za pokrivanje operativnog rizika izračunava putem internih sistema koje banke same utvrđuju. Napredni metodi mogu se primijeniti tek uz odobrenje supervizorske institucije. Ovaj metod mora zadovoljiti opšte kriterijume i brojne kvalitativne i kvantitativne standarde. Kvalitativni stan-dardi: u banci mora postajati nezavisna funkcija upravljanja operativnim rizikom koja je odgovorna za njegovu implementaciju; mora postojati redovno izvještavanje na svim nivoima o operativnom riziku; sistem za upravljan-je operativnim rizikom mora biti dobro dokumentovan; revizori i supervizori moraju redovno kontrolisati pro-ces upravljanja i sistem za mjerenje operativnog rizika; banka mora obezbijediti da su podaci vezani za mjerenje operativnog rizika transparentni i pristupačni; supervi-zori moraju imati lak pristup podacima prema procedu-ri ili kad god smatraju da je to neophodno. Kvantitativni standardi: banka mora izračunavati obavezni kapital kao zbir očekivanog gubitka i neočekivanog gubitka, (osim ako banka može uvjeriti supervizora da adekvatno pokri-va očekivani gubitak), svojim internim metodom; sistem mora biti dovoljno „granuliran“ da zahvati glavne uzroke operativnog rizika; mjera za procjenu operativnog rizika mora biti korišćena u svrhe izračunavanja minimalnog obaveznog kapitala. Da bi zadovoljio supervizorske stan-darde, sistem za upravljanje operativnim rizikom mora imati određene karakteristike kao što su: korišćenje in-ternih podataka; korišćenje raspoloživih eksternih podata-ka; registrovane događaje operativnog rizika (mapiranje);

evidentiranje (baza podataka); analiza scenarija; banka mora imati tačan, transparentan i dobro dokumentovan pristup za ponderisanje svih fundamentalnih elemena-ta u sistemu mjerenja operativnog rizika; bančin pristup ponderisanja fundamentalnih elemenata mora biti sta-lan unutar banke i izbjegavati dvostruko procjenjivanje ili ublažavanje rizika.

Prednosti pristupa naprednog mjerenja su: Osjetljivost na rizik: aktivnosti sa malo rizika zahtijevaju i malo oba-veznog kapitala za operativni rizik; banke sa manje aktiv-nosti zahtijevaju i manje obaveznog kapitala za operativni rizik; banke sa boljom kontrolnom funkcijom zahtijevaju i manje obaveznog kapitala za operativni rizik. Fleksibilnost: banke biraju sopstvene interne metodologije koje odraža-vaju njihovo poslovanje; da bi odredile obavezni kapital za operativni rizik banke koriste interne i spoljne podatke kao i analizu scenarija; izloženost gubicima mora se integri-sati u bodovne tabele, indikatore rizika, sisteme upozora-vanja da bi se mjerio i pratio operativni rizik. Nagrađuje ulaganja u bolje i sigurnije plasmane: mjere koje redukuju gubitke smanjuju obavezni kapital; mjere koje smanjuju vjerovatnoću ekstremnih događaja mogu smanjiti obavez-ni kapital; mjere kojima se otklanja rizik, mogu smanjiti obavezni kapital. Rezultira u obaveznom kapitalu: obavez-ni kapital prestaje predstavljati „trošak“; alokacija kapitala se mijenja sa profilom rizika institucije.

Kod primjene metoda naprednog mjerenja može se dozvoliti bankama i djelimično korišćenje metoda os-novnog pokazatelja ili metoda standardizovanog pristu-pa ako su zadovoljeni sledeći uslovi: da su obuhvaćeni svi operativni rizici u bančinom ukupnom poslovanju; cjelokupno bankarsko poslovanje pokriveno je pristu-pom naprednog mjerenja, koji zadovoljava kvalitativne i kvantitativne kriterijume. Neki djelovi bankarskog po-slovanja mogu biti pokriveni jednim od jednostavnijih pristupa u koliko zadovoljava kriterijume tog pristupa; banka mora podnijeti supervizoru plan prema kojem ona primjenjuje metodu naprednog mjerenja i djelimično korišćenje neke od jednostavnijih metoda; plan uvođe- nja djelimično korišćenog pristupa mora biti praktičan i izvodljiv tokom vremena ■


and expertise to use standardised approach in main business lines and in the domains of control and au-dit; supervisor may insist on a period of initial (trial) monitoring prior to use, to define required capital to cover operational risk; criteria in place for mapping the events that lead to operational risk; mapping may be done by idenification event, by business lines or by causes of risk; systematic monitoring of relevant in-formation on operational risk, including major los-ses by business lines; the system for operational risk management must be an integral part of the process of managing overall bank risks; development of tech-niques and necessary practice to create incentives in order to improve management of operational risk; re-gular reporting by business unit management, senior management and Board of Directors on exposure to operational risk, including major losses; the system for operational risk management must be well-docu-mented; the system for assessment of operational risk must be subject to regular examination by auditors and/or supervisors.

Advantages of Basic Indicator Approach and Standardised Approach include their easy applicati-on. However, the two approaches contain considerab-le limitations, reflected in the following: one size fits all for all purposes; the risk does not increase linearly with the income; rough and insufficiently sensitive to risk calculation; they do not encourage banks to in-vest in operational risk infrastructure.

Advanced Measurement Approach – AMA implies calculation of required capital to cover operational risk using internal systems determined by the banks themselves. Advanced methods may be implemented only when approved by the supervising institution. The method must meet general criteria and a number of qualitative and quantitative standards.

Qualitative standards: existence of an independent operational risk management function that is responsib-le for its implementation; regular reporting on ope-rational risk at all levels; the system for operational risk management must be well-documented; auditors

and supervisors must perform regular control of the management process and system for measurement of operational risk; the bank must ensure transparency and accessibility of information related to operational risk measurement; supervisors must have easy access to information according to procedure or whenever they find it is needed.

Quantitative standards: the bank must calculate the required capital as a sum of expected and unexpected loss (unless the bank is able to convince the supervi-sor about adequate coverage of expected loss) using its internal method; the system must be sufficiently ’’granulated“ to include the main causes of operational risk; the measure for assessing operational risk must be used for the purpose of calculating minimum requ-ired capital; in order to satisfy supervisors’ standards, the system for operational risk management must po-ssess certain features such as use of internal data, use of available external data, registered operational risk events (mapping); records (database); scenario analysis; the bank must have an accurate, transparent and well-documented approach for weighting all fundamental elements in the system for measurement of operati-onal risk; the bank’s approach to weighting fundamen-tal elements must be consistent within the bank and avoid double assessment or risk mitigation.

AMA advantages: - sensitivity to risk – low-risk activities need low

required capital for operational risk; banks with less activity need lower required capital for operational risk; banks with better control function need lower required capital for operational risk;

- flexibility – banks select their own internal met-hodologies that reflect their operations; in order to determine required capital for operational risk, banks use internal and external data as well as scenario ana-lysis; exposure to losses must be integrated into score tables, risk indicators, warning systems, in order to measure and monitor operational risk;

- rewards investment in better and safer placements – measures that reduce losses reduce required capi-tal; measures that reduce the probability of extreme events may reduce required capital; measures to eli-minate risk may reduce required capital;

- results in required capital – required capital is no longer an ’’expense“; capital allocation changes with the risk profile of the institution.

When applying advanced measurement approach, banks may also be allowed partial use of Basic Indicator Approach or Standardised Approach, provided that the following requirements are met: all operational risks in the overall bank business are included; overall bank business is covered by advanced measurement approach that fulfills qualitative and quantitative cri-teria; some segments of bank business may be cove-red by one of the simpler approaches if they meet the criteria of the given approach; the bank must submit to the supervisor the plan for applying advanced me-asurement approach and for partial use of the simpler methods; the plan to introduce the approach partially used must be practical and feasible timewise ■

RISKS IN BANKING

jul 2008 | :Bankar

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REGULATORNI KREDITNI REGISTAR

Baza za osiguranje od kreditnog rizika

Izuzetno izražen kreditni rast u crnogorskom bankarskom sistemu, a time i rast kreditnog rizika, ukazao je na potrebu razmjenjivanja podataka među bankama o zaduženosti zajmoprimaoca unutar sistema i njihovoj urednosti u vraćanju kredita. 15. januara 2008. godine poslovne Banke i MFI (Mikrokreditne finansijske institucije) su potpisale Ugovor i Anex ugovora

Milena Knežević Direktor direkcije za specijalističku kontrolu CBCG

Kreditni rizik kao dominantan rizik u bankarskom sistemu nametnuo je

organizovanje poslova praćenja boniteta bankarskih klijenata. Stoga je konstituisan Regulatorni kreditni biro u Centralnoj ban-ci Crne Gore za potrebe kontrole banaka. Banke su počele dostavljati izvještaje u aprilu 2005. godine. Konstituisanju RKR je prethodio proces izrade projektnog za-datka, izrada softvera, njegovo testiranje, intenzivne komunikacije sa bankama, usvajanje regulative. Cilj je bio da projekat zaživi, da se testira, pokaže konkretne re-zultate i koristi u svrhe obavljanja super-vizije banaka.

Izuzetno izražen kreditni rast u crno-gorskom bankarskom sistemu, a time i rast kreditnog rizika, ukazao je na potrebu razmjenjivanja podataka među bankama o zaduženosti zajmoprimaoca unutar siste-ma i njihovoj urednosti u vraćanju kredita. 15. januara 2008. godine poslovne Banke i MFI (Mikrokreditne finansijske institu-cije) su potpisale Ugovor i Anex ugovora. Predmet ovog ugovora je pružanje usluga od strane pružaoca usluga (CBCG) ko-risnicima usluga (banke i MFI) uz omo-gućavanje korišćenja podataka od strane korisnika usluga iz elektronske baze po-dataka Centralne banke Crne Gore. Baza je nastala iz izvještaja koje banke dostavljaju Centralnoj banci i na osnovu ko-jih je formirana evidencija Regulatornog kreditnog registra Centralne banke Crne Gore. Korišćenje aplikacije obavlja se po-sredstvom WEB servera Centralne banke. Bankama i MFI se stavlja na uvid izvještaj koji sadrži set podataka o zaduženosti kli-jenata. Po svakoj partiji zaduženja omo-gućen je uvid u osnov potraživanja: (kredit,

lizing, garancija, overdraft itd), korišćeni iznos, zadnji dan otplate, ostatak duga, kolateral, jemstvo, status potraživanja, iz-nos rezervacija i klasifikaciona kategorija. Članom 3. Ugovora korisnici usluga pravo na uvid u podatke o kreditnoj zaduženosti zajmotražioca imaju samo za zajmotraži-oce koji su kod korisnika usluga podnijeli zahtjev za odobrenje kredita, pri čemu su se korisnici usluga obavezali da će dobi-jene podatke koristiti isključivo i jedino u svrhu unapređenja kvaliteta upravljanja kreditnim rizicima. Banke i MFI ne smi-ju dostavljati informacije o zaduženosti klijentima već ih jedino mogu koristiti za bolje upravljanje kreditnim rizikom.

Poslovne banke i MFI dostavljaju podat-ke zaštićenim putevima komunikacije, što podrazumijeva i primjenu savremenih al-goritama za kriptovanje podataka te meto-da za autentikaciju. Dodatno, u dijelu koji se tiče tajnosti podataka kojima raspolažu Banke i MFI, Zakonom o bankama (čl. 84, 85, 86) je propisano da su svi uposleni u banci za vrijeme rada u njoj i nakon pre-stanka rada u banci, dužni da informacije do kojih su došli radeći u banci čuvaju kao poslovnu tajnu i ne smiju ih upotrebljavati u ličnu korist, niti dostavljati drugim licima, osim Centralnoj banci, revizorima i nad-ležnim organima, a u skladu sa Zakonom. Bankarskom tajnom smatraju se podaci o vlasnicima i brojevima računa otvorenih u banci, podaci o pojedinačnom stanju de-pozita i prometu na pojedinačnim računi-ma pravnih i fizičkih lica i drugi podaci o kljientu do kojih je banka došla na osnovu pružanja usluga klijentu Banke.

Sistemom Regulatornog kreditnog re-gistra unaprijeđeno je upravljanje kre-

ditnim rizikom u bankarskom sektoru. Razmjena podataka o bonitetu klijenata rezultirala je preventivnim djelovanjem na svijest korisnika bankarskih usluga o potrebi urednosti u izmirivanju obaveza prema banci. Takođe, pospješena je i tr-žišna disciplina, odnosno, klijent koji se registruje u registru kao dobar klijent lak-še i brže dobija kredit a i pod povoljnijim uslovima jer je kreditni rizik tog klijenta niži u odnosu na lošije klijente koji teže dobijaju kredit.

Baza podataka koja se odnosi na RKR (Regulatorni kreditni registar) danas pro-dukuje 25 proizvoda - tabela koji se mogu dobiti pristupom bazi zaposlenih koji imaju ovlašćenje za rad sa njom. Svi proizvodi se mogu podijeliti na proizvode koje se od-nose na pojedine banke i MFI i proizvode koji se odnose na sistem u cjelini.

Osnovni proizvodi kreditnog biroa se primjenjuju u vršenju kontrolne funkci-je CBCG. Planom aktivnosti Sektora za kontrolu za 2008. godinu predviđen je konstantan razvoj aplikacije i unapređe- nje rada RKR.

Ohrabrujući motiv i podstrek za dalji rad na ovom projektu su i pozitivne ocjene konsultanata MMF-a zaduženih za poslove kreditnog registra. Oni su procjenjivali u više navrata kvalitet projekta i pružili kon-sultantske usluge koje su u skladu sa naj-boljom međunarodnom praksom i koje su doprinijele unapređenju rada RKR.

U proteklom periodu, tačnost dosta- vljenih izvještaja i njihova detaljna kontrola po svim imputima za svaku banku i MFI ponaosob, bio je osnovni zadatak kontro-lora kako bi se kreirani proizvodi koristili sa visokim stepenom pouzdanosti ■


REGULATORY CREDIT REGISTRY

Basis for provision against credit riskProminent credit growth in Montenegrin banking system, and thereby credit risk growth as well, pointed to the need for exchange of information among banks related to the indebtedness of borrowers within the banking system and how regular they are in repaying their credits. On 15 January 2008, commercial banks and MFI (micro-financial institutions) signed an agreement and an annex to the agreement

Milena Knežević Director of Specialized Supervision Directorate, CBM

Credit risk, as a dominant risk in the banking system, imposed a need for

organizing the activities related to moni-toring the creditworthiness of bank clients. That is reason why the Regulatory Credit Bureau (RCB) has been established in the Central Bank of Montenegro for its super-visory purposes. Banks started to submit their reports in April 2005. The constitution of the RCB was preceded by the preparati-on of the terms of reference, development of software, its testing, intensive commu-nication with banks, and the adoption of appropriate legislation. The objective was to bring this project to life, to test it, de-monstrate concrete results and operate it for the purposes of bank supervision.

Prominent credit growth in Montenegrin banking system, and thereby credit risk growth as well, pointed to the need for exchange of information among banks related to the indebtedness of borrowers within the banking system and how re-gular they are in repaying their credits. On 15 January 2008, commercial banks and MFI (micro-financial institutions) signed an agreement and an annex to the agreement. The subject of the agreement was the provision of services by the ser-vice provider (CBM) to the service users (banks and MFI), whereby service users can use data from the electronic databa-se of the Central Bank of Montenegro. The database was created on the basis of banks’ reports to the CBM, from which the records of the CBM’s Regulatory Credit Register were established. The application is used via the CBM’s WEB server. Banks and MFI are supplied with a report con-taining a set of information about client

debts for review. Each debt account offers insight into: the basis of claim (credit, lea-sing, guarantee, overdraft etc.), disbursed amount, final repayment date, outstan-ding debt, collateral, surety, claim status, amount of provisions and classification category. Article 3 of the Agreement en-titles the service users to review data on credit indebtedness only for the borrowers who have applied to the service user for a credit, and service users undertook that they would use the received information exclusively and only for the purpose of improving their credit risk management. Banks and MFI must not disclose client indebtedness data, but only use them for better credit risk management.

Commercial banks and MFI submit information by means of protected com-munication channels, which implies the application of modern algorhytms for data encryption and authentication methods. Additionally, with respect to confidentia-lity of data available to banks and MFI, the Law on Banks (Articles 84, 85 and 86) prescribes that all bank employees, while working in a bank or thereafter, are ob-liged to keep the data they had obtained working in it confidential and they can-not use such information for their per-sonal benefit or disclose it to any other parties except for the Central Bank, audi-tors and competent authorities, in accor-dance with the Law. The banking secret means ownership data, data on numbers of accounts established with the bank, data on individual deposit balances and transactions over individual accounts of natural or corporate persons, and other client data that the bank has received th-

rough the provision of its services to the bank client.

The Regulatory Credit Registry system has improved the credit risk management in the banking sector. Exchange of infor-mation on client creditworthiness resul-ted in preventive impact on the bank ser-vice users’ awareness of the importance of regularity in the repayment of obliga-tions to a bank. Also, market discipline has been strengthened. A client registe-red in the Registry as a good client gets credit easier and faster and under more favorable conditions because the credit risk of such client is low in comparison to worse clients, who find it more diffi-cult to get a loan.

The database related to the Regulatory Credit Registry (RCR) today produces 25 products – tables that may be obtained by acceding the database by employees aut-horized to operate it. All products may be divided into products for individual banks and MFI and products regarding the system as a whole.

The main products of the Credit Bureau are applied in the conduct of the CBM’s supervisory functions. The Activity Plan of the Supervision Department for 2008 foresees a constant further development of the application and improvement in the operation of RCR.

Encouraging motives and incentives for further work on this project are posi-tive evaluations given by IMF consultants responsible for credit registry activities. They had evaluated on several occasions the project quality and provided consul-tancy in accordance with best internati-onal practices, which contributed to the improved operation of RCR.

In the past period, the correctness of received report and the detailed review of all of their inputs for each bank and MFI, individually, used to be the main task of supervisors, so that products with high de-gree of reliability have been the main task of supervisors in order to create products with a high degree of reliability ■

jul 2008 | :Bankar

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POGLEDI

od Bazela i ka Bazelu ii

Stoga i ne treba da čudi konstatacija da je bankarska in-dustrija zasigurno najregulisanija industrija na svijetu,

i da je uloga bankarskog kapitala svakako najvažniji aspekt te regulacije. Kao rezultat centralne uloge koju banke imaju u finansijskoj intermedijaciji, važnosti bankarskog kapita-la i nastojanja za uspostavljanjem međunarodnih standar-da vezanih za njega, kao i željom za uklanjanjem distorzije izazvane slobodnim djelovanjem tržišnih zakona u ban-karstvu, poraslo je interesovanje za regulacijom i nadzo-rom nad bankama.

S tim u vezi je grupa najrazvijenijih zemalja 1988. godi-ne, u okviru Bazelskog komiteta za bankarsku superviziju, donijela Bazelski sporazum o kapitalu (Bazel I). Suština tog Sporazuma je harmonizacija međunarodnih bankarskih standarda o kapitalu u cilju jačanja pouzdanosti i stabil-nosti međunarodnog bankarskog sistema kao i smanjenje izvora konkurentske nejednakosti između međunarodnih banaka. Dakle, usvojeni standardi su trebali da podstaknu vodeće banke u svijetu da održavaju visoke stope kapitala i da ujednače visine stopa kapitala u odnosu na aktivu iz-među banaka različitih država, čime bi uticali na pobolj-šanje poštenije konkurencije.

posljedice uvođenja Bazela iNakon skoro dvadesetogodišnje primjene ovog standarda, postavlja se pitanje kakve su posljedice njegove primjene na poslovanje banke. Naime, studije koje su rađene na ovu temu u okviru Bazelskog komiteta za bankarsku superevi-ziju pokazuju da je od uvođenja Bazela I došlo do znatnog povećanja kapitalnih koeficijenata u odnosu na rizičnu akti-vu u razvijenim ekonomijama. Sljedeći grafik nam ukazuje da je u periodu od 1988. do 1996. godine došlo do rasta tog pokazatelja, i to sa 9,3% koliko je iznosio u 1988.-oj godini na 11,2% u 1996.-oj godini.

Međutim, iako se na osnovu grafika da zaključiti da je u periodu od 1988. do 1996. godine svakako došlo do rasta kapitalnih koeficijenata, može se postaviti pitanje da li je taj rast prozrokovan uvođenjem Bazela I, ili možda nečim drugim. Ovo iz razloga što ne postoje nesumnjivi dokazi da je do rasta ovih pokazatelja došlo usled uvođenja sporazu-

ma. Riječju, porast visine kapitala koji banke moraju držati u svom posjedu je mogao biti i rezultat pritisaka sa tržišta u smislu povećanja konkurencije.

Dakle, može se postaviti suštinsko pitanje, kojim se bavio veliki broj autora, koje se odnosi na to da li zahtjevi u pog-ledu visine kapitala koji se utvrđuju od strane regulatornih tijela podstiču banke da drže veći nivo kapitala nego što bi ga i one držale. Do odgovora na postavljeno pitanje se kroz stručnu literaturu dolazilo koristeći se vremenskim serija-ma, u kojima su prikazivane veličine bankarskog kapitala prije i poslije uvođenja regulatornih zahtjeva za propisanom visinom kapitala. Te studije nijesu mogle da potvrde da je povećanje nivoa kapitala prouzrokovano implementacijom novih propisa. Konstatovano je da je na primjer kod ame-ričkih banaka u periodu prije i poslije 1991. godine, nakon uvođenja Bazelskog sporazuma, na kretanje visine kapita-la kod banaka veliki uticaj imao drastičan pad ekonomske aktivnosti koji se odrazio na tražnju za kreditima kao i na promjene ostalih aspekata supervizorskih aktivnosti, što pokazuje da su i ostali faktori uticali na kretanje kapitala u tom periodu, pa se ne može potvrditi tvrdnja da je za rastući trend bankarskog kapitala zaslužan samo Bazel I.

I konačno, kada je riječ o posljedicama uvođenja Bazela I, moramo se zapitati kakav je uticaj uvođenje zahtjeva u pogledu minimalnog nivoa kapitala imalo na konkurentnost banaka, odnosno: Da li je smanjena konkurentska prednost banaka u odnosu na finansijska tržišta ili nebankarske finan-sijske institucije; Kakvi su efekti na profitabilnost banaka; Da li je došlo do izjednačavanja uslova poslovanja između „međunarodnih“ banaka.

Naime, konkurentska prednost banaka je u svakom slu-čaju smanjena usled ograničenja koja su propisana od stra-ne regulatornih institucija, a koja se tiču zahtijevane visine bankarskog kapitala. U tom smislu se na Bazelski sporazum gleda kao na jedan od faktora koji je uslovio opadanje kon-kurentske prednosti banaka u odnosu na finansijska tržiš-ta. Ovo iz razloga što je prisutna tendencija da se u savre-menim tržišnim ekonomijama nedostajući kapital sve više pribavlja na finansijskim tržištima, a sve manje kod banaka. Međutim, ono što zasigurno nije lako odrediti jeste u kojoj

U današnjoj ekonomiji sa praktično nesmetanim kretanjem kapitala između zemalja, pojavila se potreba za takozvanom međunarodnom regulacijom kapitala. U skladu sa tim možemo konstatovati da su supervizori zainteresovani za cjelokupan kapital banke, kako primarni tako i ukupni kapital, upoređujući ga sa rizikom – ponderisanom aktivom. Oni prate kretanje stvarne i propisane stope kapitala banke, i reaguju u slučaju da stvarna stopa kapitala padne ispod propisane

mr Damir Šehović Ekonomski fakultet - Podgorica


From Basel i to Basel iiIn today’s globalized economy, with its practically unhindered movement of capital from country to country, a need was identified for what is referred to as ’international regulation of capital’. Consequently, we can conclude that supervisors are interested in overall bank capital, primary as well as aggregate, which they set against risk-weighted assets. They also aim to monitor the trends in real and required bank capital ratios and react in case the former is lower than the latter

M.Sc. Damir Šehović Faculty of Economics, Podgorica

It is therefore no surprise that banking industry is defini-tely the most regulated one in the world and that the role

of bank capital is surely the most important aspect of this regulation. The banks’ central role in financial intermedia-tion, the importance of bank capital, the efforts to establish relevant international standards and the wish to eliminate the distortion caused by free functioning of market laws in banking resulted in an increased interest in bank regulati-on and supervision.

In relation to this, a group of the most developed coun-tries (United States, Belgium, Canada, France, Germany, Italy, Japan, Netherlands, Spain, Sweden, Switzerland) adop-ted, under the auspices of the Basel Committee on Banking Supervision, the Basel Capital Accord (Basel I) in 1988. The esssence of the Accord was that it was intended to harmoni-ze international banking standards concerning capital with the aim to enhance the reliability and stability of the inter-national banking system and to reduce the source of dis-parities in competition between international banks. Thus, the standards were meant to encourage the leading banks in the world to maintain high capital ratios and equalize the ratio of capital to assets between banks in different coun-tries, which would generate fairer competition.

the consequences oF introducing Basel iAfter almost twenty years of implementation of this stan-dard, the question arises as to the consequences of its im-plementation for bank business. Namely, the studies dealing with this issue conducted under the auspicesof the Basel Committee on Banking Supervision show a considerab-le increase in capital ratios against risk assets in developed economies since the introduction of Basel I. The following graph shows the increase in this indicator between 1988 and 1996, from 9.3% in 1988 to 11.2% in 1996.

However, although the graph above allows us to conc-lude that there was an evident increase in capital ratios between 1988 and 1996, it is possible to question whether that increase was generated by the introduction of Basel I or perhaps some other factor, considering that there is no definite evidence that the increase in these indicators was

a result of introducing the Accord. In a word, the increase in the amount of capital that the banks are required to hold could have come a result of pressures from the market, in the sense of increased competition.

It is therefore possible to ask the essential question that has been dealt with by a number of authors : whether the requirements concerning the amount of capital determined by the regulators encourage banks to maintain a higher level of capital than they would otherwise hold. In the professi-onal literature, this question has been answered using time series to show the size of bank capital before and after the introduction of regulatory requirements of required capi-tal amount. These studies could not prove that the increase in capital amount was generated by the implementation of new regulations in 1988. It was stated in this regard that, for example, the trend concerning the capital amount of American banks before and after 1991, after the introducti-on of the Basel Accord, was largely influenced by the drastic decline in economic activity that impacted the demand for loans and changes in other aspects of supervisory activities. This indicates that other factors also influenced the move-ment of capital in the given period, so that it is not possib-le to confirm that the trend of increase in bank capital was exclusively a result of Basel I.

Finally, in relation to the consequences of introducing Basel I, we need to ask ourselves what was the impact of introducing requirements concerning minimum capital amount on bank competitiveness, that is:

• Whether there was a reduction in the competitive ad-vantage of banks compared to financial markets or non-banking financial institutions;

• What was the impact on bank profitability;• Whether there was an equalization of business condi-

tions between “international“ banks. Namely, the competitive advantage of banks has certainly

diminished, due to the restrictions set by the regulatory ins-titutions concerning the required amount of bank capital. In this sense, the Basel Accord is seen as one of the factors that caused the decline in competitive advantage of banks compared to financial markets. This is underpinned by the

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jul 2008 | :Bankar

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je mjeri takva tendencija prouzrokovana uspostavljanjem standarda u pogledu visine kapitala od strane Bazelskog komiteta za bankarsku superviziju a u kojoj mjeri je to re-zultat inovacije od strane zajmotražilaca.

Ono što takođe zavređuje pažnju jeste pitanje da li je prim-jena Bazela I uticala na smanjivanje konkurentske prednosti banaka u odnosu na neke nebankarske finansijske institucije. U prethodnoj studiji se prepoznaje da su kapitalni zahtje-vi kod nebankarskih finansijskih institucija znatno manje rigorozni u SAD-u, Velikoj Britaniji a kasnije i u Japanu i

Francuskoj, u odnosu na bankarske organizacije. Ipak, is-traživanje koje je napravljeno osamdesetih godina u okviru Bank of England je pokazalo da zapravo nijedna od ovih organizacija nema očiglednih prednosti.

Sa druge strane, interesantno je i pitanje da li je uvođe- nje standarda u pogledu visine kapitala izazvalo kod banaka opadanje profitabilnosti. U tom smislu se na samom početku može konstatovati da su ti standardi svakako oslabili kon-kurentsku sposobnost banaka u odnosu na konkurenciju, što se odražava kroz pad profitabilnosti. Ovo je u krajnjem

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present tendency in modern market economies to obtain lac-king capital from these markets, rather than banks. However, one thing that is certainly not easy to determine is the ex-tent to which this tendency was caused by the establishment of the given standards of the Basel Committee on Banking Supervision concerning the amount of capital, and to what extent this was a result of borrowers’ innovation.

It is also worth considering whether implementation of Basel I had an impact on diminishing the competitive ad-

vantage of banks compared to some non-banking financial institutions. The study mentioned earlier shows that capital requirements for non-banking financial institutions were considerably less rigorous in the United States, UK, later also in Japan and France, compared to banking organizati-ons. Still, reserach conducted in the eighties by the Bank of England showed that, in fact, none of these organizations had evident advantages in the sense described earlier.

On the other hand, another interesting question is whet-

Graph: Capital ratios in G-10 between 1988 and 1996

Source: Capital Requirements and Bank Behaviour: The Im

pact of the Basle Accord, Basle Comm

ittee on Banking Supervision, Working Papers No.1., Basel, April 1999, page 7.

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jul 2008 | :Bankar

�0i logično obzirom da su obavezne stope kapitala od strane Bazelskog komiteta upravo i uvedene da bi bankarski sis-tem postao sigurniji obzirom na važnost koju banke imaju u svakom privrednom sistemu. Sa druge strane, to je bila i reakcija na moguću pojavu koja bi išla u pravcu utrkivanja banaka po svaku cijenu sa narastajućom konkurencijom, pritom zaboravljajući na sigurnost poslovanja.

Međutim, kada je riječ o tome da su propisi u pogledu visine kapitala uticali na opadanje profitabilnosti, potrebno je podsjetiti se i činjenice da uspješnost poslovanja bankar-skih organizacija uveliko zavisi od stanja u kojem se nalazi cjelokupna privreda neke zemlje. Tako su banke u mnogim zemljama tokom prethodnih godina zabilježile visoku pro-fitabilnost, rast aktive i imale jake kapitalne pozicije, upravo zahvaljujući povoljnim makroekonomskim prilikama koje su bile karakteristične za te zemlje. Naravno, opravdanje za uspjeh bankarske industrije nalazi se u tome što se banke bore za ostvarenje što veće efikasnosti kroz merdžere i ak-vizicije, što nam sa druge strane ne može dati za pravo da tvrdimo da uvođenje kapitalnih standarda nije imalo uticaja na njihovu dugoročnu konkurentsku poziciju.

Kada je riječ o posljedicama uvođenja Bazela I na bankarski sistem, nezaobilazno pitanje je svakako ono koje se odnosi na to da li je njegova implementacija uticala na smanjivanje razlika u pogledu uslova konkurencije na međunarodnom nivou, odnosno kod „međunarodnih banaka“. U tom smislu su tokom osamdesetih godina od strane pojedinih banaka upućivane žalbe da su u nepovoljnijem položaju u odno-su na banke u drugim zemljama. Zato je jedan od ciljeva uvođenje tih kapitalnih standarda koji su identični za sve banke, bez obzira u kojoj zemlji posluju. Dakle, uvođenje Bazela I je uticalo na smanjivanje međunarodnih razlika u konkurentnosti. S tim u vezi je moguće navesti nekoliko faktora koji su uticali na tu pojavu, iz kojih se izdvajaju ra-čunovodstvene razlike među zemljama i različiti troškovi bankarskog kapitala. U vezi sa tim faktorom je rađeno niz istraživanja, među kojima se izdvaja ono koje je vršeno od strane Zimmer-a i McCauley-a devedesetih godina.

potreBa za uvođenjem Bazela iiBazelski odbor za bankarsku superviziju je postao svjes-tan da je evidentna dinamičnost finansijskog tržišta koja se ogledala u pojavi novih proizvoda i usluga kao i tehnika vezanih za upravljanje rizicima, uslovila potrebu za revizi-jom dotadašnjih standarda o adekvatnosti kapitala – Bazela I. Naime, kao što se može zaključiti, Bazelski sporazum o adekvatnosti kapitala i standardima za kapital iz 1988. godi-ne je imao za posljedicu pozitivan učinak, koji se ogledao u rastu visine kapitala koji su banke držale u posjedu, čime je zaustavljen dotadašnji trend opadanja kapitala.

Međutim, pomenuti sporazum se uglavnom odnosio samo na kreditni rizik, da bi se tek izmjenama iz 1996. go-dine u razmatranje uzeli i kapitalni zahtjevi koji se odnose i na tržišne rizike, koji nastaju iz otvorenih pozicija banaka u devizama, trgovini, dužničkim hartijama od vrednosti, akcijama, robi i opcijama. Bazel I takođe nije dovoljno vo-dio računa o permanentnim inovacijama na finansijskim tržištima, dok je sa druge strane bio povoljan i za zaobila-ženje mnogih restrikcija koje je postavljao. Ovo na način što je korišćena takozvana kapitalna arbitraža koja se osla- njala na činjenicu da su široko postavljene kategorije rizične

aktive, tako da su ostavljale dovoljno prostora za prodaju manje i kupovinu rizičnije aktive, ali u okviru iste katego-rije rizične aktive, čime je povećavan cjelokupan rizik ban-ke koji nije praćen povećanjem adekvatnog nivoa kapitala. To je imalo za posljedicu da je Bazel I katkad umjesto da smanji rizik poslovanja banaka, doprinosio upravo suprot-nom - njenom povećanju. Uz to se za taj sporazum često kaže da nije prepoznao da ne postoje dvije banke sa iden-tičnim nivoom rizika, odnosno izloženošću riziku, tako da je često predstavljan kao “model koji odgovara svima”, što je svakako bilo pogrešno.

Od kada je Bazelski sporazum o adekvatnosti kapitala i standardima za kapital uveden, u teoriji i praksi je došlo do ogromnog razvoja modela za mjerenje i upravljanje rizici-ma. I ne samo to, novi finansijski instrumenti (na primjer kreditni derivati), povećali su kod banaka sposobnost da se izbore sa rizicima i da ih izbjegnu. Riječju, može se konsta-tovati da bez obzira na pozitivne učinke koje je imao, Bazel I se morao suočiti sa radikalnim promjenama. Kao najvaž-nije njegove slabosti se najčešće ističu: Adekvatnost kapitala se ne procjenjuje u odnosu na stvarni rizični profil banke, obzirom da je ograničena diferencijacija kreditnog rizika, a da operativni rizik nije uopšte obuhvaćen; Procjenjivanje rizika zemlje nije primjereno; Bazel I ne pruža dovoljno mo-tiva za primjenu tehnika za smanjivanje rizika; Omogućava regulatornu arbitražu putem sekjuritizacije.

Da bi se na neki način išlo u susret ekspanziji bankarskih organizacija kao i cjelokupnih finansijskih tržišta, moralo se tragati za regulatornim okvirom koji bi bio znatno sofis-ticiraniji u odnosu na dotadašnji. “Novi regulatorni okvir bi trebao da sadrži: Bližu vezu između rizika i kapitalnih zahtjeva u svakom slučaju; Različita pravila za banke, u odnosu na njihovu izloženost riziku, tako da bi banke koje se suočavaju sa manjim kompleksom rizika trebalo da ko-riste jednostavnije modele i pravila, i obrnuto; Eksplicitne kapitalne zahtjeve i za operativni rizik, kao dodatak na tr-žišni i kreditni rizik; Kvantitativne i kvalitativne zahtjeve prema bankama, jednako kao i javno objavljivanje nekih bančinih informacija.”

Pokazalo se da je prevaziđena jednostavnost koja je karak-terisala Bazel I. S tim u vezi je Bazelski sporazum za bankar-sku superviziju pokrenuo 1999. godine izradu nacrta za nove međunarodne standarde. Razlog za donošenje Bazela II je realnija procjena kapitala srazmjerno sveukupnom profilu rizika banke. Time će se obezbijediti veća sigurnost i stabil-nost bankarskog sistema, kreiranje adekvatnog pristupa za procjenu svih rizika preuzetih od banke, uključivanje svih rizika u procjenu profila rizika svake banke i zadržavanje postojećeg minimalnog nivoa kapitala. Ovi principi će se fokusirati na međunarodno aktivne banke a osnovne prin-cipe primjenjivaće i ostale banke.

“Najveća razlika između Bazela I i Bazela II se sastoji u tome što Bazel II omogućava znatno veću fleksibilnost i os-jetljivost za rizik”. Osim toga, Bazel II je karakterističan po povećanoj fleksibilnosti i sofisticiranijim pristupima mje-renju kreditnog i operativnog rizika, što je svakako novi način obavljanja supervizije. Iako se radi o izuzetno slo-ženom dokumentu, on bi trebalo da doprinese stabilnosti finansijskog sistema, obzirom da će zahtjevi za kapitalom izračunati na osnovu uputstava iz ovog dokumenta realnije odražavati izloženost riziku pojedinih banaka ■

POGLEDI


her the introduction of standards concerning capital amount caused a decline in bank profitability. In rlation to this, it is possible to state immediately that these standards surely we-akened the competitive position of banks compared to their competition, which then is reflected in lower profitability. Ultimately this is also logical, since the required capital ratios of the Basel Committee were introduced precisely to make the banking system safer, given the importance of banks in an economy. On the other hand, this was also a reaction to the possibility of banks competing with the growing com-petition at all costs, neglecting the safety of business.

However, when discussing the impact of regulations con-cerning the amount of capital on the fall in profitability, it is necessary to recall that success of business of banking or-ganizations largely depends on the situation in the overall economy of the country in question. Thus, in recent years, banks recorded high profitability in many countries, incre-ase in assets and strong capital positions, precisely due to favourable macroeconomic situation specific for those coun-tries. Naturally, the success of banking industry is justified by banks striving for maximum efficiency through mergers and acquisitions; on the other hand, this does not enable us to claim that introduction of capital standards had no im-pact on their long-term competitive position.

In relation to the consequences of introduction of Basel I for the banking system, the questino that is inevitably as-ked is whether its implementation impacted less disparities in international competition, that is between ’’international banks“. In the eighties, some banks complained about ha-ving a less favourable position compared to banks in other countries. This was one of the aims of introducing the capital standards mentioned, identical for all banks, regardless of the country they operate in. Introduction of Basel I, then, inlfuenced a reduction in international disparities concerning competition. It is possible to state several factors that influ-enced this, in particular the accounting differences between countries and different costs of bank capital. A number of studies dealt with the latter factor, an outstanding one con-ducted by Zimmer and McCauley in the nineties.

the need For Basel iiThe Basel Committee on Banking Supervision became awa-re that the evident dynamics of the financial market, reflec-ted in new products and services and techniques related to risk management, called for a revision of capital adequacy standards – Basel I. As could be concluded from the above, the Basel Accord on Capital Adequacy and Capital Standard from 1988 had a positive impact, reflected in the increase in capital amount held by banks, which blocked the trend of decline in capital.

However, the Accord for the most part referred only to credit riks; it was not until the modification in 1996 that ca-pital requirements concerning market risks were considered, generated by open positions of banks in foreign currency, trade, debt securities, shares, commodities and options. In addition, Basel I did not take sufficient note of permanent innovations in financial markets; on the other hand, it favou-red of a number of restrictions that it established. ’’Capital arbitrage’’ was used, which relied on the fact that categories of risk assets were broadly defined; this left room for sale of less risky and purchase of riskier assets within the same ca-

tegory of risk assets, increasing the overall risk of the bank, which was not accompanied by adequate capital amount. This resulted in Basel I sometimes, instead of reducing the risk of bank business, contributing to the exact opposite – its increase. The Accord is often said not to have recognized that there were no two banks with identical risk level, that is risk exposure; it was frequently presented as a “model to suit all”, which was certainly wrong.

Since the introduction of the Basel Accord on Capital Adequacy and Capital Standards in 1988, significant deve-lopments of models for risk measurement and management theory and practice. Moreover, new financial instruments, such as credit derivatives, have improved banks’ ability to handle and avoid risks. Therefore, it can be stated that, regardless its positive impact, Basel I had to undergo radi-cal changes. Most frequently, the following are stated as its main weaknesses:

Capital adequacy is not assessed against the actual risk profile of the bank, considering limited credit risk differen-tiation, while operational risk was not included.

Country risk assessment was inadequate.It did not provide sufficient motivation to use risk reduc-

tion techniques.It enabled regulatory arbitrage by securitisation.In order to, in a way, meet the expansion of bank organi-

zations and overall financial markets, it was necessary to se-arch for a regulatory framework that would be considerably more sophisticated. “Such a framework should contain:

A closer relationship between the risk and the capital required in each case.Different rules for banks that are more as opposed to less advanced in the management of risk and capital. Banks with less complex risks may use simpler rules.Explicit capital requirements for operational risk as well, in addition to market and credit risk;A broader framework that includes both quantitative and qualitative requirements on banks as well as requ-irements for public disclosure of some bank informa-tion. ” The simplicity that characterized Basel I has been over-

come. In relation to this, the Basel Accord initiated drafting of new international standards in 1999. The reason for in-troduction of Basel II is a more realistic capital assessment, matching the overall profile of bank risk. This will generate better security and stability of banking system, establishment of an adequate approach in assessment of all risks assumed by the bank, inclusion of all risks in the assessment of risk profile of each bank and retaining the existing minimum level of capital. These principles will focus on international-ly active banks and the main principles will be implemen-ted by other banks.

“The biggest difference between Basel I and Basel II is that Basel II allows much more flexibility and sensitivity to risk”. Also, Basel II is specific for enhanced flexibility and more sophisticated approaches to measuring credit and operati-onal risks, which is ceratinly a new method of supervisi-on. Although this is a highly complex document, it should contribute to stability of the financial system, considering that capital requirements calculated based on the instructi-ons provided by this document will provide a more realistic picture of individual banks’ risk exposure ■

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VIEWS

jul 2008 | :Bankar

�� Ekonomija sa usporenim rastom

Glavni ekonomisti u bankarskom sektoru okupljeni u Odboru za ekonomske i monetarne poslove EBF-a di-

rektno istražuju ograničenja likvidnosti i otpisivanja sred-stava koja doprinose padu ekonomije. Generalno, sporiji ekonomski rast se očekuje i 2008. i 2009. godine: nakon snažnog outputa 2007. godine koji je iznosio 2,6%, projek-cije predviđaju rast BDP-a na prosječno 1,6 na godišnjem nivou ove i sljedeće godine¹, dok se relativno visoka neizv-jesnost u vezi sa globalnom ekonomskom klimom i dugo-ročnija evolucija finansijskih previranja odražavaju u širo-kom opsegu od 1 do 2,4% u projekcijama za 2009. godinu. Opterećeni prosjek projekcija rasta pojedinačnih zemalja u euro zoni daje sličnu detaljnu sliku rasta od 1,7% za 2008. i 1,6% za 2009. godinu.

prEdnosti EuraU ovom teškom periodu euro je izvor fleksibilnosti. Da Ekonomska i Monetarna unija nije osnovana, valute i ekono-mije članica bi bile osjetljivije na fluktuacije svog povjerenja u finansijska tržišta, s tim da tržišta pažljivo procjenjuju re-akciju nacionalnih organa svih članica na krizu. Trenutno je infrastruktura ekonomskog i finansijskog upravljanja koje je obezbijedila EMU, a naročito ECB prilikom ba- vljenja krizom, pružila značajnu podršku u sveprisutnoj neizvjesnosti. S druge strane, porast vrijednosti eura je do-prinio značajnijem de facto zatezanju monetarnih uslo-va što je neizbježno doprinijelo usporavanju ekonomskog rasta u euro zoni i smanjenju izvoza. Ipak, bilans uticaja eura je izuzetno pozitivan. Evropska ekonomija je doživje-la nestašicu kredita u zdravijem stanju nego da se to desilo prethodnih godina djelimično zbog ekonomskih integra-cija i reformi koje su počele u trenutku kada je jedinstvena valuta urodila plodom.

gloBalni usloviU proteklih nekoliko godina euro zona je uspjela da se odvoji od Sjedinjenih Država, ali ipak Evropa u velikoj mjeri zavisi od glo-balnih uslova na koje značajno utiče stanje u ekonomiji SAD-a. Spori rast u SAD-u i nekim drugim naprednim ekonomijama će imati efekat slabljenja izvozne strane trgovinskog bilansa u Evropi. Ali, i spoljni sektor takođe donosi neke ohrabrujuće novine. Ekonomije u razvoju u Aziji, a naročito Kina, zatim Evropi i Južnoj Americi se razvijaju brzim korakom bez obzira na stanje u ekonomiji SAD-a. Olimpijske igre koje će se održati u Pekingu ovog ljeta imaju višestruk uticaj na razvoj Kine. Porast Grafikon 1: Godišnje projekcije rasta BDP-a u euro zoni i SAD, %

Od decembra 2007. godine kada je objavljen posljednji Economic Outlook (Ekonomski pregled) nevolje na svjetskim finansijskim tržištima su postale dublje ukorjenjene, dok se uticaj finansijskih previranja zajedno sa visokim cijenama nafte i sirovina, sporijim rastom nekih naprednih ekonomija i jakim eurom odražavao i u drugom nizu silaznih revidiranja u projekcijama rasta u euro zoni

Elena Letemendia Viša savjetnica Ekonomski i monetarni poslovi

Viktorija Proskurovska savjetnik EBF za ekonomske i monetarne poslove

1 U poređenju sa očekivanjima EMAC-a za sredinu 2007. godine od 2,2% za 2008. godinu.


a slowing economySince December 2007 when the last Economic Outlook was published, the troubles on world financial markets have become more entrenched and the impact of the financial turmoil, combined with high oil and raw materials prices, slower growth in some advanced economies and the strong euro, has been reflected in another series of downward revisions in euro area growth forecasts

Elena Letemendia Senior Adviser Economic and Monetary Affairs

Viktorija Proskurovska EBF Adviser on Economic and Monetary Affairs

The banking sector chief economists assembled in the EBF’s Economic and Monetary Affairs Committee are

observing at first hand the liquidity constraints and the as-set write-downs which are contributing to a cooling down of the economy. Overall, slower economic growth is expected in both 2008 and 2009: after a strong 2007 outturn of 2.6%, the average of the forecasts puts GDP growth at 1.6% per an-num this year¹ and next, while a relatively high uncertainty about the global economic environment and the longer term evolution of the financial turmoil is reflected in a wide range of 1- 2.4% for the 2009 forecasts. A weighted average of the forecasts of individual euro area countries’ growth produces a similarly conservative picture of 1.7% growth in 2008 and 1.6% growth in 2009.

the BeneFits oF the euroIn this difficult period, the euro is a source of resilience. If Economic and Monetary Union had not taken place, the mem-ber currencies and economies would have been more vulne-rable to fluctuations in confidence in the financial markets, with markets keenly assessing each national authority’s reac-tion to the crisis. As it is, the infrastructure of economic and financial governance provided by EMU, and in particular the ECB’s handling of the crisis, has provided a bulwark against the swirling uncertainty. On the other hand, the euro’s appre-ciation has contributed to a significant de facto tightening of monetary conditions, which has inevitably contributed to a slow-down of economic growth in the euro area and reduced exports. However the balance of euro effects is strongly posi-tive. The European economy went into the credit crunch in a

healthier condition than it would have in earlier years partly because economic integration and reforms spurred on by the single currency have begun to bear fruit.

gloBal conditionsIn the past few years, the euro zone has achieved some de-coupling from the United States, but Europe depends heavily on global conditions, which are still strongly influenced by the health of the US economy. Slow growth in the US and some other advanced economies will have a dampening effect on the export side of the euro trade balance. But the external sector also brings some upbeat news. The emerging econo-mies in Asia, notably China, in Europe and Latin America, are developing at a fast pace, notwithstanding the condition of the US economy. The Olympic Games in Beijing this sum-mer create a multiplier effect for China’s development. The growth of demand in the Asian countries will help maintain export-led euro area countries such as Germany on the high tide. Another increasingly important trading partner for the EU is Russia, whose economy has been expanding at an ave-rage rate of 7.3% p.a. over the last four years. Their growth is partly based on exporting fuel (comprising two thirds of exports), significant foreign direct investment inflows and a

Graph 1: Annual GDP growth projections for the euro area and the USA, %

1 This compares with EMAC’s expectations in mid-2007 of 2.2% for 2008.

jul 2008 | :Bankar

��tražnje u azijskim zemljama će omogućiti zemljama koje su or-jentisane ka izvozu, kao što je Njemačka, da ostanu na visokoj poziciji. Drugi sve značajniji trgovinski partner EU je Rusija čija je ekonomija tokom protekle četiri godine rasla po prosječnoj stopi od 7,3% godišnje. Njihov rast je djelimično zasnovan na izvozu goriva (koji čini dvije trećine izvoza), značajnom prilivu stranih direktnih investicija i porastu domaće tražnje koji pre-vazilazi rast BDP-a. Finansijska privreda u Rusiji se vratolom-no širi, bankarski sektor je koncentrisan na potrošačke kredite i kratkoročne i srednjeročne investicije. Ipak, Rusija se trenutno suočava sa nesavladivom potrebom za većim stepenom dugo-ročnog finansiranja (osiguranje, ponovno osiguranje, penzioni sistemi, hipotekarni krediti, dugoročni depoziti itd.) sa jedne strane, i ulaganjima u infrastrukturu s druge strane, a sve to da bi učinila svoj rast održivim i uspješnim.

Suočen sa sporijim rastom u SAD-u i drugim ekonomija-ma, snažan euro će imati efekat slabljenja izvoza. Glavni eko-nomisti EMAC²-a u svom osnovnom scenariju smatraju da je izuzetno jak euro u odnosu na dolar samo kratkoročni feno-men. Uopšteno govoreći, „spora“ recesija ili potpuno zaokre-nuta kriva recesije se predviđa za SAD, sa dužim periodom oporavka, i to zbog rastućih cijena nafte, kontinuirane recesije na stambenom tržištu, zastrašujuće stope nezaposlenosti i svim ovim izazvanog pada potrošnje. Očekuje se da će rast SAD-a pasti na 1,1% na godišnjem nivou 2008. godine (2007. godine je iznosio 2,2%) i da će sledeće godine iznositi nevjerovatnih 1,5%. Ovaj scenario rasta bi mogao da pokrene pitanje ponov-ne procjene američkog dolara.

očeKuje se oporavaK dolaraCijeli svijet je svjedok da je odnos između američkog dolara i eura dostigao vrhunac kada je dana 23.04.2008 iznosio 1,5940 za 1 euro., ali očekivanja su da će euro postepeno da slabi u od-nosu na dolar i da će iznositi 1,51 do kraja 2008. i dalje 1,37 do kraja 2009. godine, sa oporavkom američke ekonomije i sta-bilizovanjem inflacije u euro zoni.

Trenutno strma kriva koja prikazuje odnos između USD i Eura odslikava visok stepen inflacije u euro zoni kao i recesiju koja se trenutno dešava u SAD. Stabilizovanjom ekonomske si-

tuacije, devizno tržište će doživjeti korekcije što će dovesti do ponovnog određivanja cijena eura i američkog dolara.

Iako mnogi glavni ekonomisti smatraju da je trenutna jači-na eura vjerovatno privremena, mnogi od njih predviđaju da će sredinom 2009. godine odnos između USD i eura iznositi 1,50, dok nekolicina smatra da će taj nivo trajati do decembra 2009. godine. Na kraju krajeva, manji dio njih očekuje stopu od 1,25 do kraja sljedeće godine.

inflacija i cijEna naftENakon niza godina cjenovnih pritisaka, stopa inflacije se naglo povećala sa godišnje objavljene stope koja je iznosila manje od 2% na početku 2007. godine na 3,6% u maju 2008. Visoke stope inflacije su izazvane – u najvećoj mjeri – stalno rastućim nomi-nalnim cijenama nafte u američkim dolarima koja se popela na 135,09 USD/bbl za brent nafte dana 22.05, kao i rastom cije-ne ostalih sirovina. Ovo, zajedno sa nastalom nestašicom hra-ne, je povećalo globalni cjenovni indeks. Rastuća cijena struje je takođe posljedica uvećane bojazni nastale zbog održivosti energije, finansijske tražnje za naftom zbog obrnute korelacije između nafte i drugih sredstava i uticaja upotrebe energije na klimatske promjene.

Snažniji euro pomaže državama članicama da zaštite ekono-miju od skoka cijena robe, a inflacija bi trebalo da se smanjuje krajem 2008. godine jer će osnovni efekti ovog porasta cijena prestati da djeluju. Članice EMAC-a smatraju da će u prosje-ku objavljena stopa inflacije sa 3,1% 2008. godine (glavni HPI 2,3%) pasti na 2,1% (glavni HPI 2,0%) 2009. godine.

poKretači rasta: Korporativna snaga…i slaBija privatna potrošnjaRast BDP-a u euro zoni tokom prvog kvartala 2008. godine je bio izuzetno izražen (0,8% iz kvartala u kvartal, 2,2% godi- šnje) i to čak i više nego što je projektovano. Međutim, taj rast je djelimično izazvan prelaznim efektima ali i snažnim rastom u Njemačkoj (što će biti pojašnjenjo u nastavku teksta). Rast će biti slabiji u drugom kvartalu i do kraja godine. Ti prelazni faktori će biti preokrenuti u drugom kvartalu, a ekonomija euro zone će biti pod uticajem nepovoljnijeg globalnog okruženja. Ali, usporenje neće biti intezivno zbog nekih čvrstih temelja ekonomije u euro zoni.

Strožiji kreditni standardi – koji će izgleda više pogoditi veće kompanije nego mala i srednja preduzeća – uvećavaju troškove za dio industrije u kojem će to vjerovatno oslabiti potrošnju i investicije. Ali, finansijska previranja manje utiču na ekonomi-ju euro zone nego što je očekivano jer su mnoge nefinansijske kompanije sada manje zavisne od finansiranja iz banaka, a ta-kođe su ojačale svoje bilanse stanja tokom prethodnih godina. Korporativno prestruktuiranje koje je preduzeto u nekim zemljama, kao što je Njemačka, im je pomoglo da razviju svoju kon-kurentnost i ostvare veće profite čime su postale manje zavisne od finansiranja spolja. Očekuje se da će se godišnji porast bru-to osnovnih sredstava smanjiti sa 4,3% koliko je iznosio 2007. godine na 2,5% ove godine i u prosjeku na 2,2% 2009. godine.

2 Odbor za ekonomske i monetarne poslove

Grafikon 2. Odnos između USD (američkog dolara) i Eura

Grafikon 3. Brent sirove nafte $ / barelIzvor: http://newsvote.bbc.co.uk/2/shared/fds/hi/business/market_dara/commodities/28696/three_month.stm


rise in domestic demand outpacing that of the GDP growth figure. The financial industry in Russia has been expanding at a break-neck speed, with the banking sector thriving on consumer lending and short-to-medium term investments. Nevertheless, Russia is now facing the compelling need for more long-term financing (insurance, re-insurance, pension schemes, mortgage lending, long-term deposits, etc) on the one hand, and the investment into infrastructure on the other, in order to make their growth sustainable and successful.

Compounded with the slower growth in the US and other economies, the strong euro will have a dampening effect on exports. The main scenario of EMAC’s chief economists in fact sees the exceptionally strong euro against the dollar as a short-term phenomenon. On balance, a “U-shaped” or “soft” recession is foreseen for the US, with a lengthy recovery period, as a result of climbing oil prices, continuing recession in the housing market, creeping unemployment, and a consequent slowdown in consumer spending. US growth is expected to dip to 1.1% per annum for 2008 (2.2% in 2007), gaining mo-mentum next year with 1.5%. This growth scenario should trigger a re-assessment of the US dollar.

dollar rEcovEry is widEly ExpEctEdThe world has observed the USD/€ exchange rate peaking to 1.5940 for 1 euro on April 23, but the general expectation is for the euro to gradually weaken against the dollar to 1.51 by the end of 2008 and further down to 1.37 by the end of 2009, as the US economy picks up and euro area inflation stabilises.

The current steep USD/€ exchange rate pattern is belie-ved to reflect the high levels of euro inflation, as well as the currently unfolding US recession. As the economic situation stabilises, a foreign exchange market correction should take place, leading to the repricing of the euro and the US dollar. Although most of the chief economists see the current euro strength as likely to be short-lived, a good number of them are forecasting a 1.50 USD/€ rate in mid-2009, and a few of these see this level persisting to December 2009. At the ot-her end of the spectrum, a minority view expects a 1.25 rate by the end of next year.

inflation and thE oil pricEAfter a run of years in which price pressures have been con-tained, the inflation rate has increased sharply, from an an-nual headline rate of under 2% at the beginning of 2007 to 3.6% in May 2008. High inflation levels have been caused - to a great extent - by the steadily rising US dollardenominated

price of oil, which peaked at 135.09 USD/bbl for Brent oil on May 22, and other raw materials. This, in combination with the unfolding food crisis has pushed up the global price in-dex. The rising cost of energy is also part of the consequence of the heightened concerns about energy sustainability, the financial demand for oil because of the inverse correlation between oil and other assets, and the impact of energy use on climate change.

The stronger euro is helping to shield member economies from the worst of the commodity price hikes, and inflati-on should have begun to diminish towards the end of 2008 as the base effects of these price increases fall away. EMAC² members on average see the headline rate of inflation avera-ging 3.1% in 2008 (core HCPI 2.3%), declining to 2.1 (core 2.0 %) in 2009.

groWth drivers: corporate strength… and wEakEr privatE consumptionEuro area GDP growth in the first quarter of 2008 has been very strong (0.8% quarter on quarter, 2.2% p.a.) and higher than forecasts. But this is in part due to transitory effects and mainly due to the robustness of the growth in Germany (which will be explained later in the text). Growth will be lower in the second quarter and the rest of the year. Those transitory factors will reverse in the second quarter, and the euro area economy will be affected by a less favourable global environment. But the deceleration will not be profound thanks to some sound fundamentals of the euro area economy.

The tightening of credit standards – which appears to be hitting larger corporates more than smaller and medium-si-zed enterprises – is increasing costs for a part of industry, for which it is likely to have a direct dampening effect on con-sumption and investment. But the euro area economy is less affected by the financial turmoil than might be expected, be-cause many non-financial companies are now less dependent on bank finance and have strengthened their balance sheets in recent years. Corporate restructuring undertaken in some countries, such as Germany, has helped them to build up the-ir competitiveness and earn higher profits, making them less dependent on external financing. The yearly increase in gross fixed capital formation is expected to decrease from 4.3% in 2007 to 2.5% this year and to 2.2% on average in 2009.

Private consumption appears set to remain weak, and will be unable to compensate for slowing external demand.

Graph 2: USD / EUR exchange rate

Graph 3: Brent crude oil $/barrelSource: http://newsvote.bbc.co.uk/2/shared/fds/hi/business market_data/commodities/28696/three_month.stm

2 Economical and Monetary Affairs Commission

jul 2008 | :Bankar

��Privatna potrošnja će izgleda ostati slaba i u nemogućnos-

ti da nadoknadi usporenu spoljnu tražnju. Stalni rast stope zaposlenosti (16 miliona radnih mjesta u proteklih deset go-dina samo zahvaljujući EMU) i smanjenje nivoa nezapos-lenosti su išle u prilog individualnoj potrošnji, ali je povje-renje poljuljano zbog većih cijena hrane i struje i skupljih hipotekarnih kredita. Porast tražnje za zaposlenjem prošle godine je doveo do daljeg smanjivanja nezaposlenosti, dok se očekuje da će stopa nezaposlenosti ostati stabilna i iznositi nešto više of 7% tokom 2008/9. godine. Međutim, ne očeku-je se da će brzo doći do značajnog porasta stvarnih zarada zbog usporenog rasta BDP-a i mogućnosti za rast produk-tivnosti. Očekuje se da će privatna potrošnja da poraste u prosjeku za 1,3 % tokom 2008., i za 1,5 % tokom 2009. go-dine (u opsegu 1,0 % do 2,2 %).

Očekuje se da će širom svijeta slab izgled za rast da se odra-žava preko manjih deficita tekućih računa. U međuvremenu će javne finansije biti pod intenzivnijim pritiskom zbog većih troškova i nekih mjera usmjerenih ka pružanju fiskalnih pod-sticaja – neke, kao naprimjer Španija, će se lakše prilagoditi – što će imati za rezultat mali porast opšteg javnog deficita (do -1 %), ali i manju promjenu u nivou opšteg javnog duga koji još uvijek iznosi oko 65% BDP-a.

veća odstupanja u regionuEuro zona obuhvata čitav niz uslova zasnovanih na različitim trendovima evolucije nacionalnih ekonomija.

U Njemačkoj su iznenađenja do sada bila pozitivna. BDP se u prvom kvartalu povećao za 1,5%. Međutim, ovu stopu rasta su poboljšali pogodni vremenski uslovi. Zatim, robne zalihe su bile glavni faktor porasta, a cifre koje se odnose na njih su predmet relativno opsežnih revidiranja. Stoga se ne može is-ključiti niža stopa BDP-a u drugom kvartalu. Gledajući u bu-dućnost, uprkos boljoj situaciji u oblasti zapošljavanja i ubrza-vanju porasta zarada, potrošnja ostaje slaba i nema izgleda da će se poboljšati u uslovima porasta inflacije. Mogući propratni efekti nastali zbog većih zarada u odnosu na cijene i zapošlja-vanje su takođe predmet zabrinutosti. Sa nižom stopom rasta u svjetskoj trgovini, neto izvoz više neće biti glavni pokretač njemačke ekonomije. Zbog tih faktora i uz trenutno slabu po-litičku podršku ekonomskim reformama, rast će vjerovatno biti neznatan i ostaće ispod pola procenta po kvartalu do kraja 2008. i tokom 2009. godine.

U Francuskoj su vladine inicijative više koncentrisane na sti-mulisanje tražnje nego stimulisanje proizvodnje. Očekivanja su da će privatna potrošnja, nakon polugodišnjeg perioda slabos-ti, opet da raste. Obim zaduženosti domaćinstava je veći nego ranije, a investicioni krediti i dalje rastu. Iako se kreditne mar-že smanjuju, efekti smanjenog obima kreditiranja nisu primi-jećeni. Očekuje se da će rast BDP-a biti usporen i iznosiće 1,7 % ove godine, nakon 1,9% 2007. godine, ali da će tokom 2009. porasti na oko 2%.

U Italiji postoji značajna preraspodjela bogatstva, zarade ostaju na istom nivou dok se korporativni profit uvećava. Domaćinstva su u teškoj poziciji zbog inflacije i smanjene kupovne moći. Zato bi buduća potrošnja mogla da trpi posljedice. Smatra se da će vjerovatno doći do porasta javnih deficita, da će taj rast 2008. godine iznositi oko 0,5 % , što je značajno manje nego u 2007. godini čime zaostaje za svojim partnerima u euro zoni. Kao i u Njemačkoj, glavni izazov je slaba domaća tražnja koja se ovdje odnosi kako na potrošnju tako i na investicije.

Španska ekonomija doživljava neophodno usporavanje eko-nomskih djelatnosti; očekuje se da će se rast smanjiti sa 3,8% 2007. godine na procjenjenih 2% ove godine, i da će biti niži 2009. godine, nakon čega se očekuje spor oporavak. Nezaposlenost je porasla, a stopa inflacije iznosi oko 3 ½ % pa. Slabiji aspekti ekonomije su deficit tekućih računa i inflacija. Finansije javnog sektora su snažne, ali će obim za fiskalni podsticaj biti ograni-čen jer će čak i funkcionisanje automatskih stabilizatora „isu-šiti“ javne finansije.

Kretanja u FinansijsKom seKtoru: neKe BanKe prelaze na novi poslovni modelTrenutna previranja su zaista ostavila ozbiljne posljedice na finansijski sektor nekih evropskih zemalja, a vodeće banke u Evropi i SAD su prijavile značajne gubitke posebno u oblasti hipotekarnog kreditiranja. Do zaokreta u tržišnim uslovima, pri čemu se sa obimnog kreditiranja prešlo na oprez, došlo je iznenada. MMF je procijenio (Izvještaj o globalnoj finansijskoj stabilnosti MMF-a iz 2008.godine) da su u martu 2008.godine ukupni potencijalni otpisi i gubici finansijskih institucija pove-zani sa krizom iznosili približno 945 milijardi američkih dolara od čega će otprilike polovinu preuzeti svjetske banke, a za os-talo će biti odgovorna osiguravajuća društva, penzijski fondo-vi, fondovi tržišta novca, hedž fondovi i drugi institucionalni investitori. Moguće je da će obim otpisa i indirektne posljedi-ce na ekonomiju biti veće nego što se to uopšteno predviđalo; mnogo toga zavisi od stepena povjerenja. Do sada, nefinansij-ski sektori se dobro razvijaju i imaju stabilne bilanse stanja, a u finansijskom sektoru otpočelo je ograničavanje troškova. Da bi spriječile dalje gubitke, banke su počele da redefinišu svoje strategije i da se više koncentrišu na tradicionalne bankarske poslove uključujući kreditiranje proizvodnje i mikrofinansi-ranje i stvaranje depozita. Tradicionalni, univerzalni bankarski model koji se zasniva na depozitu je pokazao svoju vrijednost i pomogao da se održi bankarsko kreditiranje tokom ovog pe-rioda previranja u oblasti investicionog bankarstva.

U pogledu cjelokupne ekonomije euro zone, vodeći ekono-misti očekuju da će krediti postati sve manje dostupni, a takođe i skuplji, za što je jedan od ključnih razloga veća poteškoća da se obezbijedi pristup finansiranju na finansijskom tržištu. Ograničenja kapitala umanjuju sposobnost banaka da krediti-raju: sa vanbilansnim stavkama koje se prenose na bilanse stanja; provajderima kapitala koji preferiraju kratkoročna sredstva; kapitalom koji se teže može dobiti nego ranije; i zamjenom har-tija od vrijednosti za kredit koja je u značajnoj mjeri smanjena, iako će ponovo imati svoju ulogu u budućnosti.

Za sada ne postoji očigledan dokaz smanjenog obima kredi-tiranja u euro zoni. ECB statistika za bankarsko kreditiranje (do posljednjih objavljenih podataka, za mart 2008.g.) ne pokazuje nikakvo slabljenje u porastu kreditiranja nefinansijskih korpora-cija a pokazuje samo neznatan pad kreditiranja domaćinstava. Međutim, u pogledu preduzeća, ove brojke obuhvataju samo dio finansijskog spektra. Mnoga velika preduzeća će se tradicionalno okrenuti tržištima kapitala radi finansiranja i sada ih previranja podstiču da se umjesto toga okrenu tradicionalnom bankarskom kreditiranju, zadržavajući rast obima. Ovo otežava donošenje zaključaka o trenutnim uslovima kreditiranja. Još jedan faktor koji može dovesti do toga da kredit postane manje dostupan u budućnosti je reakcija vlasti na previranja što može rezultirati strožijim standardima i kontrolama. Mogući ekonomski efekat reakcije regulatornih organa treba uravnotežiti.


Continued employment growth (16 million jobs in the past ten years thanks to EMU alone) and the reduction in the level of unemployment have given support to consumer spending, but confidence has been dented by higher food and energy prices and more expensive mortgage loans. Increased demand for employment last year has helped reduce the level of job-less further, and the unemployment rate is expected to remain stable slightly above 7% in 2008/9. However real wage gro-wth is not expected to accelerate significantly, because of the slowing of GDP growth and the perspective for productivity growth. Private consumption is expected to grow by 1.3% on average in 2008 and 1.5% in 2009 (a 1.0% to 2.2% range).

The weak growth outlook for much of the globe is expec-ted to feed through to a small current account deficit. Public finances, meanwhile, will be under greater pressure from higher costs and some measures intended to provide fiscal stimulus - easier to accommodate for some, such as Spain - resulting in a slight increase in the general government defi-cit (to –1%) but little change in the general government debt level, still around 65% GDP.

widE rEgional divErgEncEsThe euro area encompasses a wide variety of conditions, based on the different trends of evolution of the national economies.

In Germany, so far, the surprises have been positive. First quarter GDP increased by 1.5%. However, this growth rate had been enhanced by very favourable weather conditions. Further, the main contributor to growth has been an increase in inventories, for which the figures are usually subject to re-latively large revisions. Therefore, a lower GDP figure in the second quarter cannot be ruled out. Looking forward, despite the better employment situation, and accelerating wage incre-ases, consumption spending remains weak and seems unlikely to revive in a context of rising inflation. Possible second round effects from higher wage settlements with respect to prices and employment are also a concern. With a lower growth rate in world trade, net exports will no longer be the steam engine of the German economy. Because of these factors and with the current weak political support for economic reform, growth is likely to be moderate and to remain below half-a-percent per quarter for the remainder of 2008 and in 2009.

In France, government initiatives have focussed more on the stimulation of demand than of production. Private con-sumption, following a half-year of weakness, is expected to grow again. The volume of household debt is greater than be-fore and credit for investment continues to grow. Although lending margins are increasing, overall the effects of a credit crunch are not observed. GDP growth is expected to slow to 1.7% this year after 1.9% in 2007, but pick up to around 2% in 2009.

In Italy, there is a significant redistribution of wealth taking place, with salaries remaining static while corporate profits improve. Households are in difficulty, due to inflation and reduced purchasing power. Future consumption could the-refore suffer. It is considered likely that public deficits will increase, and that growth will slow to around 0.5% in 2008, significantly less than in 2007 and lagging its euro area par-tners. As in Germany, the main challenge is the weakness in domestic demand, which here is seen in both consumption and investment.

The Spanish economy is experiencing a necessary decele-ration in economic activity: growth is expected to slow from 3.8% in 2007 to an estimated 2% this year, and lower again in 2009, after which a slow recovery is expected. Unemployment has risen and inflation is running at about 3½% pa. The we-aker aspects of the economy are the current account deficit and inflation. Public sector finances are strong, but scope for fiscal stimulus will be limited as even the operation of auto-matic stabilisers will be a drain on public finances.

developments in the Financial sector: some BanKs moving to a neW Business modelThe current turmoil has indeed scarred the financial sector of some European countries, with substantial losses being re-ported by major banks both in Europe and the US, particu-larly in the area of mortgage lending. The switch in market conditions from abundant credit to caution has been abrupt. The IMF has estimated (IMF Global Financial Stability Report 2008) financial institutions’ aggregate potential write-downs and losses related to the crisis to be approximately USD 945 billion as of March 2008, roughly half of which are conside-red likely to be shouldered by global banks, the rest being ac-counted for by insurance companies, pension funds, money market funds, hedge funds, and other institutional investors. It is possible that the scale of write-downs and resulting in-direct effects on the economy will be greater than had been generally anticipated; much depends on confidence levels. So far, the non-financial sectors have been developing well and have strong balance sheets, and in the financial sector retrenchment has begun. To prevent further losses, banks have started rearranging their strategies and focussing more on traditional banking businesses, including lending to ma-nufacturing and microfinance, and deposit-generation. The traditional deposit-based universal banking model has sho-wn its worth and helped to sustain bank lending during this period of turmoil in investment banking.

Over the euro area economy as a whole, the chief econo-mists expect credit to become scarcer as well as more expen-sive, one of the defining reasons for that being greater dif-ficulty accessing wholesale funding. Capital constraints are reducing banks’ ability to lend: with off-balance sheet items being shifted on to balance sheets; providers of capital prefer-ring short term assets; capital less easily obtained than before; and securitisation funding having been significantly reduced, although it will have a role again in the future.

There is so far no clear evidence of a credit crunch in the euro area. ECB statistics for bank lending (up to the last pub-lished data, for March 2008) show no weakening in credit gro-wth to non-financial corporations and only a modest decline in credit to households. However on the corporate side these figures cover only part of the financing spectrum. Many lar-ger companies historically will have turned to capital markets for funding, and now the turmoil may be encouraging them to turn to traditional bank lending instead, keeping volumes up. This makes conclusions about current credit conditions difficult. Another factor which may cause credit to become scarcer in the future is the authorities’ reaction to the turmoil, which may result in tighter standards and controls. The po-tential economic impact of the regulatory response needs to be brought into the equation. EMAC members’ reports on na-tional banking markets generally give a picture of still healthy

Tabela 1: Anketa o ekonomskim

izgledima za euro zonu za period 2008 - 2009

jul 2008 | :Bankar

�0Izvještaji članica EMAC-a o nacionalnim bankarskim tržišti-

ma uglavnom pružaju sliku još uvijek zdravih nivoa kreditiranja nebankarskih klijenata, iako sa većom osnovom troškova finan-siranja. Uglavnom se zapaža uspostavljanje strožijih standarda, što ne znači nužno generalno strožije standarde, nego je možda posljedica veće diferencijacije rizika. Iako visočije kratkoroč-ne kamatne stope (zbog finansijske krize) povećavaju troškove uobičajenog kreditiranja preduzeća, one takođe stimulišu krat-koročne investicije. Povećanje rasta depozita takođe odražava promjenu u pogledu preferencija investitora u mnogim zeml-jama. U slučaju Belgije, sve manje povjerenje u strukturne pro-izvode (koje uglavnom prodaju banke) zbog finansijske krize i nedostatka interesovanja za dionice je oživjelo interesovanje za klasične proizvode bilansa stanja.

Rasprostranjena posljedica previranja ogleda se u tome da su u sastavu bankarskih kreditnih portfolija sve manje prisutna maloprodajna i građevinska preduzeća. U Njemačkoj se, u okviru ekonomije koja je još uvijek u porastu, bankarski kredi-ti i dalje u velikom obimu daju preduzećima, posebno u oblasti proizvodnje, dok je obim hipotekarnih i potrošačkih kredita opao u velikoj mjeri zbog nedostatka potražnje za kreditima, što je uglavnom posljedica dugog perioda niskog dohotka i relativ-no visoke nezaposlenosti, a ne rezultat sveprisutne krize. Slično ovome, u Italiji je ukupni kreditni rast više ili manje stabilan i dostiže otprilike visoke nivoe iz 2007. godine, ali ovo je posljedi-ca reorganizovanja poslovanja u smislu prelaska sa maloprodaj-nog sektora na sektor preduzeća. Znaci usporavanja segmenata hipotekarnog i potrošačkog kreditiranja su sada očigledni iako su ovo i dalje značajne oblasti poslovanja. U Austriji je izražena potražnja preduzeća za kreditima i potražnja za hipotekarnim kreditima, dok je potražnja za potrošačkim kreditima stagnirala. Tekući računi i depoziti su porasli za dvocifrene stope. Ponovo se očekuje nastavak izrazitog rasta depozita u predstojećim mje-secima, pošto će stope štednje ostati na visokom nivou (iznad 10%). U Francuskoj je početkom 2008. godine tempo kreditnog rasta i dalje bio izražen i iznosio je oko 9% godišnje (kako za

domaćinstva, tako i za preduzeća). Protok novog hipotekarnog kreditiranja polako počinje da se smanjuje – prije zbog niže po-tražnje za stambenim prostorom, nego li zbog strožijih uslova kreditiranja – i očekuje se uspostavljanje strožijih uslova krediti-ranja za preduzeća. U Španiji se usporava kreditiranje posebno u slučaju kreditiranja domaćinstava (od februara rast kreditiranja privatnog sektora je oslabio za 7% i sveden je na 14%). Strožiji finansijski uslovi i slabljenje povjerenja potrošača su glavni raz-lozi za ovakav učinak. Rast depozita pokazuje stabilniji ukupni model u nefinansijskim sektorima. Očekuje se da će se nastaviti usporeni tempo kreditiranja i da će kreditiranje rasti za jednocif-renu stopu do kraja godine. Depoziti će imati bolji učinak pošto su banke glavni finansijski posrednik i svoju poslovnu politiku usmjeravaju ka dobijanju depozita umjesto finansijskih sred-stava. U Grčkoj se očekuje da će doći do značajnog usporavan-ja rasta hipotekarnih kredita u odnosu na prošlogodišnji trend i do usporavanja kreditnog poslovanja zbog toga što su porasle kamatne stope i ekonomska aktivnost se usporava. Slični tren-dovi se mogu uočiti i u novoj euro članici Sloveniji gdje se uspo-stavljaju strožiji kreditni standardi za preduzeća i domaćinstva i gdje se očekuje značajno usporavanje stopa kreditnog rasta tokom ove godine, ali se ne očekuje značajan pad rasta depozi-ta. U Sloveniji su banke sprovele novu direktivu za adekvatnost kapitala i uz uslov za rigoroznijim kreditnim standardima, kao i neke poteškoće u vezi sa dostupnošću dugoročnog finansiranja i relativno visoke stope rasta u posljednje vrijeme porašće potreba za dodatnim kapitalom. Očekuje se da će profitabilnost bankar-skog poslovanja trpjeti posljedice ove godine.

Uglavnom je pojačana konkurencija u okviru bankarskog siste-ma euro zone, uz agresivni marketing ne samo u pogledu štednje i računa sa oročenim novcem, nego i proizvoda, kao što su potro-šački krediti, berzanske transakcije i plaćanja. Na nekim tržištima pritisak na veće banke dovodi do toga da one revidiraju svoj model distribucije za bankarstvo sa stanovništvom, stavljajući veći akcenat na internet bankarstvo i samo-bankarstvo, u nadi da će iskoristi-ti veću otvorenost klijenata prema tehnološkim mogućnostima;

TABELA 1 2006 2007 2008 pRogNozeeMAc KoNseNzus eMAc coM pRogNozA

2008prosjek

2008obim

kraj 2007

sredina2007

proljeće2008

jesen2007

1. Proizvodna i ukupna potražnja (god. % promjene):Bruto domaći proizvod

Privatna potrošnjaJavna potrošnja

Bruto investiranje (GFCF)IzvozUvoz

2.81.82.05.07.97.7

2.61.52.34.36.15.2

1.61.31.52.53.83.9

1.30.91.11.92.72.9

1.92.22.03.55.05.4

2.02.01.72.74.85.2

2.22.01.63.05.55.7

1.71.41.92.04.44.3

2.22.12.12.95.35.5

2. Tržište rada i cijene (god. % promjene):Stopa nezaposlenosti (%)

Plate (jedinica cijene rada)Cijene (HCPI)Osnovni HCPI

8.21.02.2

7.41.52.1

7.12.53.12.3

7.02.02.71.8

7.43.13.52.6

7.02.62.22.0

7.12.52.02.0

7.22.43.2

7.11.82.1

3. Javne finansije (% BDP):Opšti javni bilans

Opšti javni dug-1.3

68.5-0.6

66.4-1.0

65.5-1.2

65.0-0.6

66.5-1.0

66.6-1.0

65.6-1.0

65.2-0.9

65.04. Spoljni sektor (% BDP):

Trgovinski bilansBilans tekućeg računa

(p.m.) ekonomski rast SAD(p.m.) cijena nafte (Brent) (US $/mil)

0.7-0.22.9

66.2

0.90.02.2

72.5

2.40.81.1

105.6

-0.1-0.50.7

95.0

20.04.01.5

120.0

0.60.12.2

80.0

1.70.72.7

64.6

0.8-0.10.9

101.2

0.80.01.7

78.85. Monetarni i finansijski indikatori:

Kamatna stopa na glavne poslove refinansiranja ECB-a

JUN-08DEC-08 3.50 4.00 3.99

3.813.753.50

4.004.00

3.983.96

4.294.31

Tromjesečna kamatna stopa(EURIBOR)

JUN-08DEC-08 3.08 4.28 4.56

4.194.303.70

4.804.60

4.184.20

4.434.42

Prihod od desetogodišnje državneobveznice (Bund)

JUN-08DEC-08 3.86 4.33 4.14

4.203.703.90

4.604.60

4.414.54

4.524.52

M3 rast JUN-08DEC-08 9.8 11.5 9.55

8.648.007.00

12.0012.00

8.608.22

8.507.47

Krediti za privatni sektor (god. % promjene, M3 definicija)

JUN-08DEC-08 11.5 12.6 10.40

9.449.007.25

12.0012.00

8.507.33

9.008.75

Devizni kurs USD/EUR JUN-08DEC-08 1.32 1.47 1.58

1.511.501.40

1.621.41

1.451.41

1.341.34


TABLE 1 2006 2007 2008 foRecAsteMAc coNseNsus eMAc coM foRecAst

2008mean

2008range

End- 2007

Mid-2007

Spring2008

Autumn2007

1. Output and Aggregate Demand (Ann. % change):Gross domestic product

Private consumptionPublic consumption

Gross investment (GFCF)ExportsImports

2.81.82.05.07.97.7

2.61.52.34.36.15.2

1.61.31.52.53.83.9

1.30.91.11.92.72.9

1.92.22.03.55.05.4

2.02.01.72.74.85.2

2.22.01.63.05.55.7

1.71.41.92.04.44.3

2.22.12.12.95.35.5

2. Labour market and prices (Ann. % change):Unemployment rate (%)

Wages (Unit Labour Cost)Prices (HCPI)

Core HCPI

8.21.02.2

7.41.52.1

7.12.53.12.3

7.02.02.71.8

7.43.13.52.6

7.02.62.22.0

7.12.52.02.0

7.22.43.2

7.11.82.1

3. Public Finances (% GDP):General Government Balance

General Government Debt-1.3

68.5-0.6

66.4-1.0

65.5-1.2

65.0-0.6

66.5-1.0

66.6-1.0

65.6-1.0

65.2-0.9

65.04. External sector (% GDP):

Trade BalanceCurrent Account Balance

(p.m.) US growth (Ann.% change)(p.m.) Oil price (Brent) (US$/bl)

0.7-0.22.9

66.2

0.90.02.2

72.5

2.40.81.1

105.6

-0.1-0.50.7

95.0

20.04.01.5

120.0

0.60.12.2

80.0

1.70.72.7

64.6

0.8-0.10.9

101.2

0.80.01.7

78.85. Monetary and Financial Indicators:

Interest rate on ECB’s mainrefinancing operations

JUN-08DEC-08 3.50 4.00 3.99

3.813.753.50

4.004.00

3.983.96

4.294.31

3 month interest rate(EURIBOR)

JUN-08DEC-08 3.08 4.28 4.56

4.194.303.70

4.804.60

4.184.20

4.434.42

10 year government bondyield (Bund)

JUN-08DEC-08 3.86 4.33 4.14

4.203.703.90

4.604.60

4.414.54

4.524.52

M3 growth JUN-08DEC-08 9.8 11.5 9.55

8.648.007.00

12.0012.00

8.608.22

8.507.47

Credit to private sector(Ann.% change, M3 definition)

JUN-08DEC-08 11.5 12.6 10.40

9.449.007.25

12.0012.00

8.507.33

9.008.75

Exchange rate USD/EUR JUN-08DEC-08 1.32 1.47 1.58

1.511.501.40

1.621.41

1.451.41

1.341.34

levels of lending to non-bank customers, albeit with higher base funding costs. A tightening of standards has also been generally observed, not necessarily an overall tightening but possibly the result of a greater differentiation of risks. While higher short term interest rates (due to the financial crisis) are increasing the cost of normal corporate loans, they are also stimulating short term investments. The increase in deposit growth also reflects a shift in investor preferences in many countries. In the case of Belgium, for example, the declining confidence in structured products (largely sold by banks) due to the financial crisis and the lack of interest in equities has revived interest in classical balance sheet products.

One widespread result of the turmoil has been a shift in the composition of bank lending portfolios away from retail and residential business. In Germany, the still buoyant eco-nomy is keeping bank lending to corporates, particularly in manufacturing, expansive, while mortgage and consumer lending volumes have declined largely owing to a lack of loan demand, which is mainly due to the long period of low inco-me and relative high unemployment and not a result of the subprime crisis. Similarly, in Italy total credit growth is more or less stable around the high levels of 2007, but this is the re-sult of a reshuffling of activity, away from retail to corporate sectors. Signs of deceleration in the mortgage and consumer credit segments are now evident, although these continue to be important areas of activity. In Austria, loan demand has been strong from corporates and in mortgage lending, while demand for consumer loans has stagnated. Current accounts and deposits have risen with double-digit rates. Here again, deposits are expected to continue growing strongly in the months ahead, as the savings rate will remain at a high level (above 10 per cent). In France, the pace of credit growth has remained quite strong in early 2008, at around 9% year-on-year (both for households and for corporates). Flows of new mortgage lending are beginning to decrease slightly - due to lower housing demand however, rather than a credit tighte-

ning - and some tightening of credit conditions for corporates is expected. In Spain, bank lending is decelerating, sharply in the case of household lending (as of February, credit growth to the private sector had moderated by seven percentage points to 14%). Tighter financial conditions and a decrease in con-sumer confidence are the main reasons for this performan-ce. Deposit growth shows a more stable pattern overall in the non-financial sectors. Bank lending is expected to continue its deceleration and to grow at a single digit level by the end of the year. Deposits will perform better, as banks are the main financial intermediary and are focussing their commercial policy on obtaining deposits rather than investment funds. In Greece, growth in mortgage loans is expected to decelerate noticeably from the previous years’ trend, and lending acti-vity is expected to slow because interest rates have increased and economic activity is slowing. Similar trends are obser-vable in a new euro member, Slovenia, where credit standards for loans to enterprises and to households are tightening and credit growth rates are expected to slow down significantly in the course of this year, but a significant decline in deposit growth is not expected. Here, banks have implemented the new capital adequacy directive and with the requirement for more rigorous credit standards, some difficulties with the availability of long term funding, and relatively high recent growth rates, further capital will be needed. The profitability of banking operations is expected to suffer this year.

Competition within the euro area banking industry gene-rally has intensified, with aggressive marketing not only for savings and term accounts, but also for products such as con-sumer loans, stock exchange transactions and payments. In some markets, the pressure on the share of the bigger banks is causing them to review their distribution model for retail banking, putting more focus on internet and self-banking, ho-ping to take advantage of increased client openness to techno-logical opportunities; in the meantime additional efforts are being made to reduce costs. Such trends are likely to persist

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Tabela 2: Anketa o ekonomskim

izgledima za euro zonu za period 2008 - 2009

jul 2008 | :Bankar

�2u međuvremenu se čine dodatni napori da se smanje troškovi.

Takvi trendovi će vjerovatno opstati tokom izvjesnog vre-menskog perioda jer previranja prisiljavaju banke da redefinišu svoje strategije. Ali očekivanja su da je najgore vjerovatno proš-lo. Ukoliko dođe do pada kratkoročnih kamatnih stopa, kao što se očekuje u drugoj polovini 2008.g., možda će doći do prelas-ka sa računa sa oročenim novcem na druge vrste investiranja. Međutim, sveukupno, slabljenje ekonomije euro zone će dovesti do usporavanja ukupnog rasta kreditiranja.

ecB nije spremna da snizi stopeProcjenjuje se da je pristup ECB-e kratkoročnim problemima likvidnosti tržišta bio pun razumijevanja i adekvatan. Uporne tenzije na finansijskim tržištima mogu pružiti argument za olak-šavanje monetarnih uslova, ali će dominantna briga ECB-e biti kontrola pritisaka cijena i iako je cilj monetarne politike ECB-e kontrola kratkoročne inflacije, ona se bori protiv finansijskih previranja drugim mjerama kao što su kratkoročna ubrizga-vanja likvidnosti.

Iako će politika ECB-e zavisiti od stope inflacije, opšte stanje ekonomije mora predstavljati polazište u njenim odlukama. S obzirom da je glavni akcenat politike centralne banke kontrola pritisaka cijena, visoki nivo inflacije ograničava njen prostor za manevrisanje. Ipak, opšti ekonomski tokovi će uticati na izglede u pogledu inflacije, doprinoseći tome da centralna banka mora da prati promjene u pogledu ekonomskog rasta. Iznad svega, ona se nastojati da objavljena inflacija padne ispod 3% što se ne očeku-je do trećeg kvartala 2008. godine. Sa takvom izuzetno visokom inflacijom, ECB je zabrinuta zbog rizika od propratnih efekata.

Ekonomisti očekuju da će doći do pada kamatnih stopa, ali da ECB neće žuriti sa tim. Gotovo polovina ispitanika u anketi EBF-a očekuje da će stope da se smanje za 25-50 osnovnih po-ena do kraja ove godine.

Nedavni inflatorni pritisci doveli su do toga da tržišta pripišu izvjestan stepen vjerovatnoće porastu zvaničnih stopa refinansi-

ranja prije kraja godine (refi). Ali zbog tenzija na monetarnim tržištima i izuzetno velikog raspona između stopa refinansiranja i Euribor stopa, monetarni uslovi su restriktivni uprkos stvarnom nivou stope refinansiranja. ECB ne mora da povećava stope da bi uspostavila restriktivne monetarne uslove. Osim kad su u pi-tanju dešavanja koja se ne mogu predvidjeti ove godine, članice EMAC-a se uglavnom slažu u predviđanju da će glavna stopa finansiranja ECB-a opasti na 3,5% do kraja prve polovine 2009.g. i ostati na ovom nivou ili ispod tog nivoa do kraja godine. Manjinsko je mišljenje da će ova stopa biti stabilna na nivou od 4% do kraja prognoziranog perioda.

rizici po glavni scEnario Emac-aVisoki stepen zabrinutosti i neraspoloženja među ekonomskim analitičarima širom svijeta znači da ima mjesta za lijepa izne-nađenja. Među ovim “pozitivnim rizicima” je i mogućnost da je usporeni ekonomski rast u Americi kratkoročne prirode i da će jačanje dolara pomoći da se cijene nafte i drugih roba povrate na podnošljivije nivoe. Rast svjetske trgovine može biti postojaniji nego što se očekuje, naročito ukoliko na zemlje u razvoju koje se brže razvijaju ne utiče ekonomska slabost SAD-a i ukoliko one nastave i dalje da se razvijaju ubrzanim tempom. Domaća po-tražnja u euro zoni, podstaknuta niskim nivoom nezaposlenosti, bi mogla da izazove iznenađenje zbog uzlaznog trenda.

Ipak, neizvjesnost u vezi sa efektima finansijskih previranja ostavlja mnoga otvorena pitanja posebno u vezi sa mogućim nivoom ekonomskog rasta SAD-a i tražnje SAD-a za robama i uslugama iz Evrope i zemalja u razvoju. Teška i dugotrajna recesija u SAD-u, pretjerani rast €/$ deviznog kursa i/ili produbljivanje finansijske krize bi mogli negativno da se odraze na izglede za ekonomski rast u euro zoni. Ostali negativni rizici uključuju mo-gućnost da se Kina razvija sporije nego što je to očekivano i da se cijene nafte i roba značajno stabilizuju. Jedan broj ekonomija u razvoju se suočava sa izazovom rastuće inflacije koja bi mogla da postane ozbiljna prijetnja njihovom ekonomskom razvoju ■

TABELA 2 2006 2007 2008 pRogNozeeMAc KoNseNzus eMAc coM pRogNozA

2008prosjek

2008obim

kraj2007

proljeće2008

jesen2007

1. Proizvodna i ukupna potražnja (god. % promjene):Bruto domaći proizvod

Privatna potrošnjaJavna potrošnja

Bruto investiranje (GFCF)IzvozUvoz

2.81.82.05.07.97.7

2.61.52.34.36.15.2

1.61.51.62.23.94.3

1.01.01.10.53.23.4

2.42.22.04.35.15.4

1.51.51.71.24.03.9

2.11.92.02.65.45.3

2. Tržište rada i cijene (god. % promjene):Stopa nezaposlenosti (%)

Plate (jedinica cijene rada)Cijene (HCPI)Osnovni HCPI

8.21.02.2

7.41.52.1

7.22.12.12.0

6.81.81.81.7

8.02.82.72.2

7.31.92.2

7.11.52.0

3. Javne finansije (% BDP):Opšti javni bilans

Opšti javni dug-1.3

68.5-0.6

66.4-1.0

64.8-1.2

63.5-0.867.0

-1.164.3

-0.863.4

4. Spoljni sektor (% BDP):Trgovinski bilans

Bilans tekućeg računa(p.m.) ekonomski rast SAD

(p.m.) cijena nafte (Brent) (US $/mil)

0.7-0.22.9

66.2

0.90.02.2

72.5

0.5-0.61.5

99.4

-0.1-0.50.6

90.0

0.80.22.0

110.0

0.8-0.10.7

100.0

0.90.12.6

76.05. Monetarni i finansijski indikatori:

Kamatna stopa na glavne poslove refinansiranja ECB-a

JUN-08DEC-08 3.50 4.00 3.49

3.443.253.00

3.754.00

Tromjesečna kamatna stopa(EURIBOR)

JUN-08DEC-08 3.08 4.28 3.74

3.713.403.15

4.004.30

Prihod od desetogodišnje državneobveznice (Bund)

JUN-08DEC-08 3.86 4.33 4.14

4.273.803.90

4.604.80

M3 rast JUN-08DEC-08 9.8 11.5 8.41

8.076.806.00

11.0011.00

Krediti za privatni sektor (god. % promjene, M3 definicija)

JUN-08DEC-08 11.5 12.6 9.50

8.888.007.50

11.5011.50

Devizni kurs USD/EUR JUN-08DEC-08 1.32 1.47 1.44

1.371.351.25

1.501.50


TABLE 2 2006 2007 2008 foRecAsteMAc coNseNsus eMAc coM foRecAst

2008mean

2008range

End-2007

Spring2008

Autumn2007

1. Output and Aggregate Demand (Ann. % change):Gross domestic product

Private consumptionPublic consumption

Gross investment (GFCF)ExportsImports

2.81.82.05.07.97.7

2.61.52.34.36.15.2

1.61.51.62.23.94.3

1.01.01.10.53.23.4

2.42.22.04.35.15.4

1.51.51.71.24.03.9

2.11.92.02.65.45.3

2. Labour market and prices (Ann. % change):Unemployment rate (%)

Wages (Unit Labour Cost)Prices (HCPI)

Core HCPI

8.21.02.2

7.41.52.1

7.22.12.12.0

6.81.81.81.7

8.02.82.72.2

7.31.92.2

7.11.52.0

3. Public Finances (% GDP):General Government Balance

General Government Debt-1.3

68.5-0.6

66.4-1.0

64.8-1.2

63.5-0.867.0

-1.164.3

-0.863.4

4. External sector (% GDP):Trade Balance

Current Account Balance(p.m.) US growth (Ann.% change)

(p.m.) Oil price (Brent) (US$/bl)

0.7-0.22.9

66.2

0.90.02.2

72.5

0.5-0.61.5

99.4

-0.1-0.50.6

90.0

0.80.22.0

110.0

0.8-0.10.7

100.0

0.90.12.6

76.05. Monetary and Financial Indicators:

Interest rate on ECB’s mainrefinancing operations

JUN-08DEC-08 3.50 4.00 3.49

3.443.253.00

3.754.00

3 month interest rate(EURIBOR)

JUN-08DEC-08 3.08 4.28 3.74

3.713.403.15

4.004.30

10 year government bondyield (Bund)

JUN-08DEC-08 3.86 4.33 4.14

4.273.803.90

4.604.80

M3 growth JUN-08DEC-08 9.8 11.5 8.41

8.076.806.00

11.0011.00

Credit to private sector(Ann.% change, M3 definition)

JUN-08DEC-08 11.5 12.6 9.50

8.888.007.50

11.5011.50

Exchange rate USD/EUR JUN-08DEC-08 1.32 1.47 1.44

1.371.351.25

1.501.50

for a certain period because the turbulence is leading banks to reshuffle their strategies. But the expectations are that the worst has probably passed. If short term interest rates decline as expected in the second half of 2008, there may be a shift from term accounts into other types of investment. Overall, however, the weakening of the euro area economy will cause aggregate lending growth to slow.

ecB reluctant to cut ratesThe ECB’s approach to the markets’ short term liquidity problems is judged to have been sensitive and appropriate. Persisting tensions on financial markets may provide an ar-gument for an easing of monetary conditions, but the over-riding concern for the ECB will be the control of price pre-ssures, and while the objective of the monetary policy of the ECB is anchoring medium term inflation, it is fighting against the financial turmoil with other measures, such as short term liquidity injections.

While ECB policy will hinge on the inflation numbers, the general state of the economy must be a background element in its decisions. Given that the central focus of ECB policy is the control of price pressures, a high level of inflation constrains its margin of manoeuvre. Yet general economic developments will influence the inflation outlook, making it necessary for the central bank to monitor changes in the growth environ-ment. Above all, it will be looking for headline inflation to fall below 3%, which is not expected to be realised until well into the third quarter of 2008. With such unusually high inflation, the ECB is worried about the risk of second round effects.

The economists expect that the next move in interest ra-tes will be downwards, but that the ECB will be in no hurry to make this move. Over half of the respondents to the EBF survey expect rates to have been cut by 25 to 50 basis points by the end of this year.

Recent inflationary pressures have led the markets to assign some probability to an increase in official refinancing (refi)

rates before year-end. But because of the tension in money markets, and the abnormally high spread between refi rates and Euribor rates, monetary conditions are in fact restricti-ve in spite of the actual level of the refi rate. So the ECB does not need to raise rates to establish restrictive monetary con-ditions. Beyond the uncertainties of this year, EMAC mem-bers mostly agree in projecting that the ECB’s main refi rate will have fallen to 3.5% by the end of the first half of 2009, and remain at this level or below for the rest of the year. A minority view sees this rate stable at 4% through to the end of the forecast period.

risks to Emac’s main scEnarioThe high level of gloom and anxiety among economic fore-casters around the world means that there is room for good surprises. Among these “positive risks” is the possibility that the slowdown in the US is short-lived, and that strengthe-ning of the dollar will help to carry oil and other commodity prices back down to more bearable levels. Growth in world trade may be sturdier than expected, particularly if the faster-growing developing countries are relatively unaffected by US economic weakness and continue to power ahead. Domestic demand in the euro area could surprise on the up-side, bu-oyed up by the low level of unemployment.

Nevertheless, uncertainty about the impact of the finan-cial turmoil leaves many open questions, in particular about the likely level of US growth and US demand for goods and services from Europe and the developing world. A deep and long US recession, an overshooting of the €/$ exchange rate and/or a deepening of the financial crisis could not fail to hurt euro area growth prospects. Other negative risks inclu-de the possibility that China grows slower than expected, and that oil and goods prices stabilise at a high level. A number of emerging economies are being confronted by a growing inflation challenge which could become a serious threat to their economic development ■

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kako je sve počelo – pohlepa banaka!Indeksi na berzama širom svijeta su „u crvenom“. Gubici se mjere hiljadama milijardi dolara. Dok neki analitičari tvrde da se krizi nazire kraj, drugi pak prognoziraju početak nove recesije. Ono što je sigurno jeste da su previranja na globalnim tržištima koja su odjeknula prošle godine usled sve većeg broja zabilježenih slučajeva nemogućnosti otplate američkih drugorazrednih hipotekarnih kredita, „uvukla“ svjetsku ekonomiju u „debelu“ krizu

Ivana Gogić

Američke banke odobrile su prevelik broj visokori-zičnih kredita, kao i veliki broj samo hipotekama

garantovanih stambenih kredita kupcima bez „kreditne istorije“. Ovakvi krediti, ili tzv. „sabprajm“ krediti, kako se popularno nazivaju u Americi, zbog visokog rizika, odobravaju se uz mnogo veće kamate od uobičajenih na bankarskom tržištu.

Kako su ovi krediti predstavljali dobar posao za ban-ke, one su tokom prethodnih godina stalno snižavale kriterijume za davanje kredita i podizale kamate, pa je konačan saldo skoro devet miliona odobrenih kredita, dok se njihova ukupna vrijednost procjenjuje na 1.400 milijardi dolara ili više nego četvrtinu svih stambenih kredita. Problem koji je „načeo“ globalnu ekonomsku krizu nastao je kada istovremeno veliki broj dužnika više nije bio u stanju da vraća kredite, jer su pored viso-ke kamate morali početi plaćati i glavnicu.

Banke su tada brže bolje počele prodavati nekretni-ne, pa kako je odjednom njihova ponuda bila ogromna, a vrijednost naglo počela da pada, banke više nisu bile u stanju da njihovom prodajom nadoknade sumu odo-brenu za kredit. Veliki problemi nastali su ne samo za kreditore, već i za one koji su kreditirali kreditore, velike „hedž fondove“ i vodeće svjetske banke koje su na razne načine kreditorima pozajmljivali novac koji su onda oni plasirali kao „sabprajm“ stambene kredite.

Cijene hartija od vrijednosti sa hipotekarnog tržišta su naglo pale nakon izbijanja velike krize, u avgustu proš-le godine, na američkom tržištu drugorazrednih stam-benih kredita. Od tada se na globalnom tržištu bilježi nagli pad tražnje za tim hartijama, a banke su se našle pod pritiskom da njihovim vlasnicima isplate naznače-ne sume, što je izazvalo veliku krizu likvidnosti koja se, prema svemu sudeći, sve više pojačava.

Pojedini hedž fondovi, koji su previše novca uložili u tržište stambenih kredita u SAD-u, izgubili su goto-vo sav novac koji im je povjeren na investiranje sa raz-nih strana svijeta, uglavnom otpisujući vrijednost svih drugorazrednih obveznica izdatih putem strukturiranih hartija od vrijednosti.

Novac koji su američke banke odobravale kao loše stambene kredite je uglavnom prethodno „kupovan“ u Francuskoj, Njemačkoj, Kanadi, Australiji, Hongkongu ili Singapuru u sklopu komplikovanih aranžmana, pro-izvoda tzv. „novog finansijskog inženjeringa“, za koje ne postoje odgovarajuće mjere za procjenu rizika, a koje su, da bude još gore, američke banke tretirale kao niskori-zičnu „robu“. Tako su finansirani neotplativi hipotekar-ni krediti u SAD, pa se kriza sistemom spojenih sudova prelila van SAD-a.

Prema podacima Instituta za međunarodne finansije, od 387 milijardi dolara gubitaka koje su svjetske banke pre-ma vlastitim izvještajima zabilježile na tržištima kredita od početka 2007. godine, na evropske bankarske grupa-cije odnosi 200 milijardi, a na američke 166 milijardi do-lara. Ovakvo prelivanje problema razlikuje ovu krizu od prethodnih, kada su većinu gubitaka bilježile lokalne banke. Posljednjih godina investicione banke su postale vrlo vješte u prepakivanju rizika u vrijednosne papire koji se potom mogu prodavati investitorima širom svijeta.

Jedna od najizloženijih banaka riskantnim hipote-karnim kreditima i prva velika banka kojoj je zaprije-tio kolaps zbog te krize bila je Bear Sttearns. Kako bi se spriječio njen bankrot i gubitak povjerenja investitora u američki finansijski sistem, ova banka je preuzeta od strane JP Morgan-a po cijeni akcije od samo dva dola-ra, što predstavlja preko 90 % diskonta u odnosu na tr-žišnu kapitalizaciju i knjigovodstvenu vrijednost banke.


But, how did it all begin – by banks’ being greedy!Stock exchange indexes around the world are ’’on red alert”’. Losses of thousands of billions of dollars are reported. While some analysts claim the end of the crisis can be discerned, others predict the beginning of another recession. What is certain is that last year’s global market turmoils caused by a growing number of registered cases of deafult on US subprime mortgage loans, has “dragged” global economy into a ’’major” crisis

Ivana Gogić

US banks approved too many high-risk loans as well as a large number of mortgage-backed housing loans to

buyers with no “credit history”. Due to the high risk, such ’’subprime’’ loans, as they are popularly referred to in the US, are approved with much higher interest rates than the usual ones on the banking market. Since these loans me-ant a good deal, banks kept lowering the criteria for loan approval and raising the interest rates; this resulted in close to nine million approved loans of total estimated value of 1.400 billion USD, that is more than a quarter of total hou-sing loans. The problem that ”triggered” global economic crisis emerged when a large number of borrowers were no longer able to repay loans, given that they needed to start repaying the principal along with the high interest.

Banks then started a hurried sale of property, and sin-ce suddenly there was huge supply available and a sharp decline in value, banks were no longer able to cover the loan amount approved by the sale of property. Big prob-lems arose not only for the creditors, but for their cre-ditors, large hedge funds and leading global banks that used various means to lend money to creditors, which was then placed as subprime housing loans.

Prices of mortgage market securities dropped after the onset of a large crisis in the US subprime housing loan market in August last year. Since then, global market has recorded a sudden drop in demand for these secu-rities, and banks faced the pressure of paying the given amounts to their owners, which caused a large liquidi-ty crisis that seems to be escalating. Some hedge funds that invested too much money in US housing loans market lost almost all of the money entrusted to them from all around the world, mainly by writing down the value of all subprime bonds issued by means of struc-tured securities.

The money that US banks used for bad housing lo-ans had mainly been “purchased” in France, Germany, Canada, Australia, Hong Kong or Singapore as part of complicated arrangements, products of the “new fnan-cial engineering” that do not include appropriate risk assessment measures and, to make things worse, were treated by the US banks as low-risk ”goods”. This was the way non-repayable US mortgage loans were finan-ced, so that, according to the principle of communica-ting vessels, the crisis spilled over.

According to the information of the Institute for International Finance, out of 387 billion dollar loss re-corded by the global banks on loan markets since early 2007, 200 billion pertains to European banking groups and 166 billion to the US ones. This spillover is what differentiates this crisis from the ones in the past, when local banks suffered most loss. In the recent years, inves-tment banks have become very resourceful in repacking risk into securities that then may be sold on to investors around the world.

One of the banks most exposed to risky mortgage loans and the first major bank that faced the danger of collapse due to the crisis was Bear Sttearns. In or-der to prevent bankruptcy and loss of trust in the US finance system, the bank was taken over by JP Morgan at only two dollars per share, which is more than 90 % discount compared to market capitalization and book value of the bank.

Swiss UBS Bank suffered the biggest loss in Europe - it announced 19 billion new losses due to property write-down just in the first quarter of this year and will need to let go almost 8000 employees. US Citigroup was the only one that recorded a bigger write-down than UBS - so far they have written down 41 billion worth of property.

MORTGAGE CRISIS

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HIPOTEKARNA KRIZA

Najveće gubitke u Evropi zabilježila je švajcarska UBS banka koja je samo u prvom kvartalu ove godine obja-vila nove gubitke od otpisa imovine vrijedne 19 milijar-di eura, dok će morati da otpusti skoro 8000 zapos-lenih. Veći otpis od švajcarskog UBS-a zabilježila je u finansijskoj krizi samo američka Citigroup koja je do sada otpisala 41 milijardu dolara vrijednu imovinu.

Druga po veličini švajcarska banka, Credit Suisse Group, objavila je u in-ternom dokumentu kako će otkrive-ne greške kod određivanja cijena obveznica smanjiti dobit banke u prvom kvartalu za oko mili-jardu dolara. Deutsche Bank, najveća njemačka banka, je samo u prvom ovogodišnjem kvartalu otpisala dodatnih 2,5 milijarde eura.

Analitičari procjenjuju da će banke i dalje u narednih 12 - 18 mjeseci umjesto nov-ca masovno dobijati bezvrijedne kuće stavljene pod hipoteku.

Kako se u periodu rasta nekretnina i do 25% godišnje činilo da u tom poslu niko ne može da izgubi, i najiskusniji investitori, zaslijepljeni zaradom, nisu bili svjesni ne samo koliko je veliki rizik ulaganja u „sabprajm“ kredite, već i koliko mogu biti duboki i dugotrajni efekti sloma u jednom tako malom segmentu svjetskog finansijskog tržišta. Posledica ovog šoka, činjenice da bankrot jednog relativno malog tržišta u samo jednoj zemlji može imati tako velike negativne efekte širom svijeta, jeste da veliki investitori više nisu sigurni ni u stepen rizika koji prati njihova ulaganja na drugim tržištima.

Potresi na tržištu američkih drugorazrednih hipote-karnih zajmova rezultirali su od oktobra prošle godine globalnim gubicima na tržišnoj vrijednosti akcija u iz-nosu 7.700 milijardi američkih dolara, kako se navodi u izvještaju Bank of America.

Mnogo značajnija od velikih gubitaka na berzama je pojava straha i gubitak povjerenja kod velikih igrača, koji su odlučili do daljnjeg ne ulagati, što će dodatno usporiti oporavak.

U izvještaju Bank of America se još navodi da su ovak-ve razmjere gubitaka nadmašile sve koje se pamte u po-sljednjih nekoliko decenija, uključujući Crni ponedjeljak na Wall Streetu, azijsku krizu 1997. godine i krizu nakon septembarskih terorističkih napada 2001.

U pokušaju da što prije riješi kreditnu krizu, kao i sve veći pad ekonomske aktivnosti, Federalne rezerve SAD (Fed) su u proteklih pola godine drastično snizile baznu kamatnu stopu, na 2 %, sa prethodnih 5,25 %, a i Banka Engleske (BoE) je takođe počela da snižava vlastitu glavnu interesnu stopu.

Fed je, osim toga, ubrizgao na američko kreditno tr-žište ogromna finansijska sredstva, a vašingtonska ad-ministracija je odobrila paket stimulativnih ekonomskih mjera, u vrijednosti od približno 156 milijardi dolara.

Rukovodstvo Evropske Centralne banke odbija, među-tim, da slijedi Fed i BoE u akciji snižavanja kamatnih stopa, kako ne bi uticala na rast inflacije.

Najveća kritika za nastalu krizu upućuje se američ-kim državnim institucijama jer se državno mešanje u SAD uglavnom svelo samo na periodično usklađi-vanje kamatne stope od strane Federalnih rezervi američke centralne banke, dok se već duže vrijeme ne pokazuje interes za kontrolu i određivanje pravila na raznim tržištima, koja su u SAD postajala sve ne-transparentnija. Zato predstavnici EU ili, na primer, Singapura, traže da institucije stranih država budu uključene u nadzor i formulisanje regulativnih me-hanizama u SAD.

Ono što ohrabruje i donekle ublažava zabrinutost nad globalnom ekonomijom je činjenica da je svjetska ekonomija i dalje snažna i da je većina ključnih para-metara stabilna. Zato će se na kraju možda ispostaviti da je ova kriza bila samo jedan neizbježan korak nazad, preskupa, ali vjerovatno neophodna lekcija o opasnosti-ma koje nose globalizacija i deregulacija tržišta i moćna neoliberalna mašinerija ■


Second largest Swiss bank, Credit Suisse Group, disclo-sed in an internal document that the errors identified in setting prices of bonds will diminish bank profit in the first quarter by approximately one billion dollars. Deutsche Bank, the largest German bank, has written down additional 2.5 billion euros in the first quarter.

Analysts estimate that in the forthcoming 12-18 mont-hs banks will mainly continue to get worthless mortga-ged houses instead of money.

Since it seemed that during the period of real estate increase by as much as 25% p.a. nobody could suffer any loss, even the most experienced investors, blinded by the profits, were unaware of not only the degree of risk in investing in subprime loans, but also of the se-vere and long impact of collapse of such a small seg-ment of global financial market. The consequence of this shock, the fact that bankruptcy of a relatively small market in a single country may incur such proportion of negative effects on the global level, is that big inves-tors are no longer sure about the degree of risk implied in other investemnts in other markets.

Since October last year, shocks in the US subprime mortgage loans resulted in global losses in the market value of shares amounting to 7.700 billion US dollars, as stated in the Bank of America report.

Much more important than the huge stock exchan-ge losses is rise of fear and loss of trust among big

players, who have decided to discontinue inves-tment until further notice, which will additi-

onally slow down the recovery. In its report, Bank of America also states that this size of loss exceeds all those re-

corded in the past few decades, inclu-ding the Black Monday on Wall Street,

the 1997 Asian crisis and the crisis after the September 2001 terro-

rist attacks. In an attempt to resolve the

credit crunch and the decline in economic activity as soon as possible, US Federal Reserves (Fed) cut base interest rate in the recent six months, from 5.25 % to 2%, while the Bank of England (BoE) also started to cut its main interest rate. In addition, Fed in-

jected huge funds in the US loan market, while Washington admini-

stration approved the economic stimulus package worth approximately 156 billion

dollars. Mangaement of European Central Bank, however, refuses to follow Fed and BoE on the action to lower interest rates in order not to cause a rise in inflation.

Most criticism concerning the crisis is addressed to US state institutions, since state intervention in the US mainly was limited to periodical adjustment of the in-terest rate by the US Central Bank Federal Reserves; for a while, no interest has been shown in control and setting the rules in various markets growing less trans-parent in the US. This is why representatives of the EU or Singapore, for example, call for involving other countries’ institutions in supervision and formulation of regulatory mechanisms in the US.

An encouraging fact that to an extent mitigates the concern for global economy is that global economy re-mains strong and that most key parameters are stable. This is why it may turn out in the end that this crisis was just an inevitable step back, a too costly but pro-bably necessary lesson on the dangers implied by glo-balization and market deregulation and powerful ne-oliberal machinery ■

MORTGAGE CRISIS

jul 2008 | :Bankar

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INFORMACIJE I BANKARSTVO

temelj izgradnje odnosa na relaciji banka klijent

Povjerljivost informacija koje neka banka ima o svojim klijentima daje toj banci ekskluzivitet u poslovanju sa njima. Povjerljive informacije su rezultat skrininga i monitoringa banke kroz multiplikativnu interakciju sa klijentima banke. Budući da se skrining i monitoring obavlja kroz komercijalnu aktivnost banaka, ne čudi izuzetan razvoj komercijalne djelatnosti banaka u svijetu

mr Marko Miročević

Tradicionalno, komercijalne banke u svojim kreditnim portfolijima posjedu-

ju neutržive i nelikvidne kredite. Njihova neutrživost i nelikvidnost je upravo po-sledica njihove informacione osjetljivosti. Naime, banke prilikom odobravanja kre-dita svojim klijentima prikupljaju brojne informacije o njima, kreirajući na taj na-čin set povjerljivih informacija koji nije dostupan široj javnosti.. Povjerljivost in-formacija koje neka banka ima o svojim klijentima daje toj banci ekskluzivitet u poslovanju s njima, što naravno ima multiplikativan efekat na poslovni re-zultat banke.

Imajući to u vidu, evidentno je da pri-kupljanje takvih informacija čini osnov bankarskog poslovanja. Pored toga, usu-dićemo se da ustvrdimo da kapitalizova-na vrijednost tih informacija čini najveći dio dodate vrijednosti koje banka stvara, te da upravo ona čini najznačajniju imo-vinu banke.

Treba naglasiti da suština povjerlji-vih informacija leži u njihovoj pouzda-nosti i kvalitetu i ne treba je vezivati za jedan trenutak u vremenu. Povjerljive informacije su rezultat skrininga i mo-nitoringa banke kroz multiplikativnu interakciju sa klijentima banke. Dakle, suština je u izgradnji kvalitetnog odnosa na relaciji banka klijent, što je moguće jedino kroz njihovu kontinuiranu ko-munikaciju. Upravo kao rezultat tako izgrađenog odnosa dolazi do vezivanja klijenata za banku. Stoga, ne čudi izu-zetan razvoj komercijalne djelatnosti banaka u svijetu.

Međutim, kakva je situacija u Crnoj Gori? Da li su banke u Crnoj Gori svjesne značaja uspostavljanja što prisnijeg od-nosa sa svojim klijentima i da li postoji svijest o značaju koji posjedovanje pov-jerljivih informacija ima na poslovanje banaka? Naše duboko uvjerenje je da je odgovor potvrdan. Pokušaćemo da po-jasnimo naš stav.

U komercijalnim bankama koje po-sluju na teritoriji Crne Gore, prisutna je praksa osnovne podjele u organizaciji na front office i beck office. Front office, kako i samo ime ukazuje, se odnosi na onaj dio banke koji je vidljiv klijentima. Najbitniji dio front office-a je komercija-la, koja ostvaruje neposredne kontakte i komunikaciju sa klijentima. U kontekstu već objašnjenog značaja koje prikupljan-je informacija o klijentima banke ima za poslovanje banke, nije potrebno posebno naglašavati značaj ovog organizacionog dijela. Back office čini onaj dio banke

koji predstavlja podršku front office-u, i to je dio u okviru koga se vrše brojne analize i utvrđuju brojni limiti u poslo-vanju banke.

Iako je beck office bazično podrška front office-u, nije mali broj situacija u kojima dolazi i do međusobnog sukoba u stavovima između ova dva dijela banke. To je razumljivo budući da je komercijala, kao glavni dio front office-a, prevashod-no orjentisana na potrebe klijenata, a dio banke koji se bavi analizama na brojne limite određene od strane regulatornih institucija i politika poslovanja same banke. Veoma često određene „meke“ informacije do kojih je došla komerci-jala sugerišu da se radi o interesantnom klijentu za banku, ali limiti u poslovanju i fundamentalni pokazatelji klijenta go-vore suprotno.

Imajući sve ovo u vidu, postavlje se sledeće pitanje: Da li banke u Crnoj Gori veću pažnju posvećuju komercijalnom aspektu poslovanja i prilagođavaju svoje poslovanje njemu, ili pak fokus stavljaju na politike i procedure poslovanja, i svoje poslovanje prilagođavaju njima?

Nije lako dati odgovor na to pitanje, ali budući da uglavnom sve banke imaju

Kapitalizovana vrijednost priku- pljenih informacija o klijentima čini najveći dio dodate vrijednosti koje banka stvara, te upravo ona čini najznačajniju imovinu banke.

Veoma često određene „meke“ informacije do kojih je došla komercijala sugerišu da se radi o interesantnom klijentu za banku, ali limiti u poslovanju i fundamentalni pokazatelji klijenta govore suprotno.


Confidentiality of client information in its possession gives the bank an exclusive position in manipulating such information. Confidential information results from the bank’s screening and monitoring through multiplying interactions with the client. Since screening and monitoring are performed through the bank’s commercial activity, the remarkable development of global banks’ commercial activity is no surprise

M.Sc. Marko Miročević

a Foundation for developing Bank-client relationship

Traditionally, commercial banks hold non-marketable and illiquid credits in

their portfolios. The two given characteris-tics result precisely from their information sensitivity. Namely, when lending to their clients, banks collect various information, thus creating a set of confidential infor-mation that is not available to the public. Confidentiality of client information in its possession gives the bank an exclusive po-sition in manipulating such information, which naturally has a multiplying effect on the bank’s performance results.

Bearing this in mind, it is evident that collecting such information is the basis of banking. Furthermore, we will venture to claim that capitalized value of this infor-mation makes the biggest part of the ad-ded value created by the bank and actually constitutes the bank’s most important asset.

It should be noted that the essence of confidential information lies in its reliability and quality and should not be associated with a single moment in time. Confidential information results from the bank’s scree-ning and monitoring through multiplying interactions with the client. Therefore, the essence is in building a quality bank-client relationship, feasible only through conti-

nued communication. A client becomes attached to a bank precisely as a result of a relationship developed in this manner. For this reason, the remarkable develop-ment of global banks’ commercial activity is no surprise.

But what is the situation in Montenegro? Are banks in Montenegro aware of the im-portance of establishing a close relations-hip with their clients; is there awareness of the importance of possession of confiden-tial information for banking? It is our firm belief that the answer is affirmative. Let us try to elaborate on this statement.

The commercial banks present in Montenegro apply the basic organizati-onal division into front office and back office. Front office, as the title implies, re-fers to the bank’s segment that is visible to clients. Its most important segment is commercial department, which has direct contact and communication with clients. In the context of the already explained im-portance of collecting client information for banks, it is not necessary to particularly highlight the importance of this organiza-tional segment. Back office is the segment that supports front office, the place where numerous analyses are conducted and li-mits for bank’s operations defined..

Although back office is basic support to front office, there is a number of situations when the positions of the two clash. This is understandable, since the commercial de-partment, as the main segment of the front office, focuses primarily on client’s needs, while the segment in charge of analyses focuses on numerous limits defined by

regulatory institutions and the bank’s po-licies. Quite often some “soft” information obtained by the commercial department suggests that a client is interesting for the bank, but business limits and fundamen-tal indicators pertaining to the client state the opposite.

Bearing all this in mind, the question arises whether banks in Montenegro pay more attention to the commercial aspect and adjust their activty to it, or focus on the business policies and procedures and adjust their activity to those.

This is not easy to answer, since practi-cally all banks have extensive business ne-tworks and a much larger share of person-nel in the commercial department, but we could state that eventually the commercial side prevails, naturally along with adheren-ce to the business policis and procedures. This is understandable, since it is aligned with the main principles of banking and the nature of the market where the banks operate.

Namely, Montenegrin market is small, which results in a relatively low demand for credits. This is additionally highlighted corporate segment is considered, given the

Capitalized value of collected client information makes the biggest part of the added valkue created by the bank and thus actually constitutes the bank’s most important asset.

Quite often some “soft” information obtained by the commercial department suggest that a client is interesting for the bank, but business limits and fundamental indicators pertaining to the client state the opposite.

INFORMATION AND BANKING

jul 2008 | :Bankar

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INFORMACIJE I BANKARSTVO

razgranate poslovne mreže i mnogo veći udio u kadrovskoj strukturi na strani ko-mercijale, mogli bismo konstatovati da je prevaga ipak na komercijalnoj strani po-slovanja, naravno uz poštovanje politika i procedura poslovanja. To je i razumljivo, jer je u saglasnosti sa osnovnim načelima bankarskog poslovanja, a i u saglasnosti je sa prirodom tržišta na kome posluju.

Naime, crnogorsko tržište je malo tr-žište, te je i tražnja za kreditima relativ-no mala. Ovo tim prije ako posmatramo segment poslovanja sa pravnim licima, budući da je malo velikih kompanija koje su interesantne bankama. S druge strane, broj banaka je relativno velik u odnosu na veličinu tržišta, te je očigledno pre-vaga na strani ponude. Nadalje, ukoliko izuzmemo kamatne stope, konkurencija

između banaka se odvija na temelju kre-iranja novih proizvoda što prilagođenijih potrebama klijenata, a njihove potrebe je moguće sagledati samo poznavanjem klijenata. Zbog toga i ne čudi sve veća razvijenost komercijalne djelatnosti cr-nogorskih banaka.

Dakle, banke u Crnoj Gori su svjesne značaja uspostavljanja što prisnijeg odnosa sa svojim klijentima, kao i da posjedovan-je povjerljivih informacija o poslovanju klijenata banke ima veliki uticaj na po-slovanje banaka. Ovo tim prije, imajući u vidu da je crnogorsko tržište nedovoljno transparentno u pogledu fundamentalnih pokazatelja poslovanja firmi, tako da čak i finansijski izvještaji klijenata u određe-nim slučajevima postaju poslovna tajna banaka, nedostupna široj javnosti.

Svijest o značaju koji posjedovanje po-vjerljivih informacija o klijentima ima na poslovanje banaka postoji i u Crnoj Gori. Ovo tim prije, imajući u vidu da je crno-gorsko tržište nedovoljno transparetno u pogledu fundamentalnih pokazatelja po-slovanja firmi, tako da čak i finansijski izv-ještaji klijenata u određenim slučajevima postaju poslovna tajna banaka, nedostup-na široj javnosti.

Upravo zbog toga banke u Crnoj Gori preduzimaju brojne aktivnosti kako bi što bolje upoznale svoje klijente i izgradile što bolje poslovne odnose sa njima. Ta praksa će sigurno biti nastavljena i u budućnosti, pri čemu će se sa postepenim razvojem crno-gorskog bankarskog sektora mijenjati instru-menti koje će banke u tom cilju koristiti, i to u pravcu njihove rastuće sofisticiranosti ■

BANKARSKE PERSPEKTIVE

Biometrija stupa na scenuBiometrija je nauka koja identifikuje osobu na osnovu jedinstvenih fizičkih karakteristika poput otiska prsta, snimka mrežnjače, glasa… Stare biometrijske tehnike korišćene su još u 14-om vijeku u Kini. Tamošnji trgovci su mastilom označavali dječije dlanove i otiske stopala na papiru da bi mogli da razlikuju jednu bebu od druge. Razvoj doživljava tokom 70-tih godina prošlog vijeka, a širu primjenu tek pošto vojne i bezbjedonosne službe usavršaju proces. Sve do nedavno, biometrija i nije bila privlačna za bankarski sektor. Novi standardi, sigurnost transakcija, prilagođavanje eri tehnološkog progresa… – čine biometriju vrlo značajnim dijelom budućnosti finansijskih usluga

Marko Nikolić

Uprkos trudu banaka da poboljšaju sigurnost transakcija, to nije dovoljno. Revizorsko-konsultantska kompanija

Deloitte je prezentovala izvještaj po kome, iako se izdaci za sigurnost informacionih sistema svake godine uvećavaju, veliki broj čelnih ljudi u finansijskom sektoru smatra da ne odgovaraju realnim potrebama. Druga istraživanja pokazu-ju da značajan broj korisnika ne koristi neke vrste bankar-skih usluga (elektronsko bankarstvo, njegov noviji podsis-tem mobilno bankarstvo…) upravo zbog brige o sigurnosti, što bankama umanjuje profit. Tradicionalni sistem lozinki je kompromitovan, u sisteme se upada putem elektronske pošte, virusi i kompjuterski crvi su „doživjeli procvat“, phis-hing/pharming, odnosno korišćenje lažnih e-mailova i inter-net stranica je svakodnevni problem… Ne manja prijetnja

sigurnosti su namjerni upadi zaposlenih, slučajni upadi u sigurnosnu strukturu, kao i problemi izazvani gubljenjem privatnih podataka o klijentima. Među najugroženijima na sajber prostoru smatraju se on-line bankarstvo, on-line tr-govina, e-mail... Posmatranjem se došlo do zaključka da je jedinstveni faktor u formi šifre relativno slab, posebno ako se uzme u obzir da mnogi ljudi koriste iste šifre za mnogo servisa i da je čak zapisuju na parčetu papira. Po FFIEC-u (Federal Financial Institutions Examination Council), dalja smjernica za finansijske institucije je veća primjena biometrije svih vrsta da bi zadovoljili potrebu za višefaktorskom iden-tifikacijom. Pored istraživanja, naglašene potrebe za većom sigurnošću, smjernica ka daljem radu i odnosu prema kli-jentima, ima još jedan, vrlo bitan faktor, koji će doprinijeti


small number of large companies of inte-rest to the banks. On the other hand, the number of banks is relatively large com-pared to the size of the market, therefore supply side evidently prevails. Furthermore, interest rates excluded, the competition between banks is based on designing new products in order to best suit clients’ needs, which can be analyzed only if they know the clients. This is why expansion of com-mercial activity among Montenegrin banks is not a surprise.

Thus, banks in Montenegro are aware of the importance of establishing closest possible relationship with their clients, as well as the impact of possession of con-fidential information concerning client’s business on the bank’s business. This is additionally highlighted if we consider

that Montenegrin market is not sufficien-tly transparent with regard to fundamen-tal indicators of company performance, so that in some cases even client’s financial reports become bank’s business secret, unavailable to the public.

Awareness of the importance of possessi-on of confidential client information for the banks’ business is present in Montenegro. This is highlighted, if we consider that Montenegrin market is not sufficiently transparent with regard to fundamental indicators of company performance, so that in some cases even client’s financial reports become bank’s business secret, unavailable to the public

This is why banks in Montenegro under-take a number of activities to get to know their clients and establish the best possib-

le business relationships with them. This practice will surely continue in the future, with the instruments used by the banks for this purpose changing and gaining in sop-histication with the gradual development of Montenegrin banking sector.

INFORMATION AND BANKING

BANKING PERSPECTIVES

Biometrics takes center stageBiometrics is the science of identifying a person based on unique physical characteristics such as fingerprint, iris screening, voice etc. Ancient biometrics techniques date back as far as 14th century China, where tradesmen took ink prints of children’s palms and feet in order to be able to identify them. Biometrics developed in the 70s; its widespread application followed only after military and security services upgraded the process. Until recently, biometrics was not so atractive for the banking sector. New standards, transaction security, adjusting to the era of technological progress make biometrics a very important part of the future of financial services

Marko Nikolić

Although banks are making efforts to improve trans-action security, this is not enough. Deloitte audit

and consulting company presented a report stating that, although expenditures for IT systems keep growing each year, a large number of top people in the financial sector do not believe that this suits actual needs. Other studies show that a considerable number of clients do not use some types of banking services (e-banking, recent sub-system - mobile banking etc) precisely due to being con-cerned about security, which in turn affects banks’ profits. The traditional password system has been compromi-sed, systems are invaded by e-mail, viruses and compu-ter worms are “flourishing”, phishing/pharming i.e. use of false e-mail accounts and Internet pages are daily en-

countered problems. Deliberate hacking by employees, accidental breaking into security structures and problems caused by losing private client information present a no lesser threat to security. On-line banking, on-line trade and e-mail are considered among the most threatened forms in cyber space. Observation resulted in the finding that the unique factor in the password form is relatively weak, especially if taken into account that many people use same passwords for a number of services and even write it down. According to FFIEC (Federal Financial Institutions Examination Council), further guideline for financial institutions is enhanced application of all forms of biometrics in order to meet the need for multi-factor identification. In addition to research, prominent

jul 2008 | :Bankar

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BANKARSKE PERSPEKTIVE

većem korišćenju biometrije u finansijskim institucijama. Naime, Internacionalna organizacija za standardizaciju (ISO) je uvela novi sigurnosni standard, ISO 19092:2008, za upotrebu biometrijske identifikacije u sektoru finansijskih usluga. Ovaj standard sadrži i upustva u vezi implementa-

cije, kao i preporuke za upotrebu. Po ISO-u, ovaj standard je kreiran zbog potrebe za savršenim au-tentifikacionim sistemom. Trenutno, samo oko 20 odsto finansijskih ins-titucija koristi bilo koji tip biometrijske identi-fikacije. Opšte je pozna-to da neka tehnologija kad postane norma po-jeftini, pa se očekuje se da će procenat upotrebe narasti na 35 odsto do kraja 2009.

Sa rapidnim poveća- njem broja prevara i krađa u komercijalnim trans-akcijama, veoma je bitno

za finansijske institucije da koriste biometriju kao ključni instrument za eliminisanje prevara i mana tradicional-nog bezbjednosnog pristupa. I institucije, kao i klijenti, žele veću sigurnost. Biometrijska tehnologija je sve više pouzdana i dostupna, a pitanje legalne primjenljivosti elektronskih ugovora je riješeno. U svoj toj priči, posto-ji jedan „mali“ problem. Iako klijenti prepoznaju koristi od biometrijske provjere autentičnosti, oni se opiru da u potpunosti prihvate tehnologiju bez adekvatnih garanci-ja da će finansijske institucije čuvati njihove biometrijske

podatke kao povjerljive. Nije ni čudo, prisjetimo se samo 2005. godine, kada su hakeri provalili u sistem kompanije za procesiranje transakcija CardSystems Solutions i došli u posjed informacija o preko 40 miliona kreditnih kartica! Samo godinu dana je trajao taj rekord, kad je kompanija TJX Companies iz Masačusetsa saopštila da su iz njene baze podataka ukradeni brojevi 45 miliona kartica. Vrlo

je bitan i zakonski okvir koji će obezbijediti odgovarajuće mjere zaštite. Sa novim standardima, tehnologijom i za-konskim rješenjima, biometrija će igrati vitalnu ulogu u novoj generaciji automatskih sistema identifikacije. Htjeli mi to ili ne, razvoj tehnologije će dovesti do toga da bio-metrija postane nadmoćna u svakodnevnim aktivnostima gdje se zahtijeva odgovarajuća identifikacija. Budućnost ove tehnologije je u kreiranju biometrijske sigurnosne in-frastrukture koja će omogućiti privatnom i javnom sek-toru da zadovolji potrebe bezbjednosti. Najzad, takva in-frastruktura bi omogućila ljudima da se kreću na raznim lokacijama širom svijeta a da zadržavaju svoje bezbjedo-nosne pristupe koji su definisani jedinstvenim fizičkim ka-rakteristikama. Povjerenje klijenata u online transakcije će donijeti boljitak kako njima, tako i bankama ■

Iako su čitači otisaka i elektronski potpisi već godinama u upotrebi, po prvi put se pojavila kartica čiji se elektronski potpis „otključava“ otiskom prsta. Sistem funkcioniše na taj način što se kartica sa elektronskim potpisom ubaci u čitač pametnih kartica (smart card reader), a zatim korisnik pređe prstom preko biometrijskog senzora. Koristi se za provjeru potpisa za slanje podataka preko interneta i za elektronsko plaćanje.ING Direct, online banka iz Kanade, svojim klijentima nudi proizvod kompanija Secugen i Safelink. Riječ je o (ne)običnom kompjuterskom mišu, koji u sebi sadrži visokorezoluntni sistem za prepoznavanje otisaka. Specijalni softver šalje klijentov zahtjev za autentikaciju putem sigurnog internet linka bančinom serveru, gdje će se centralizovana baza otisaka „pobrinuti“ da samo klijent koji prođe tu vrstu provjere može pristupiti. Mp3.com i Cash Tech. su razvili sistem kojim jeftina kamera snimi korisnikovu zjenicu oka, šalje sliku ka MP3, a on prosleđuje Cash Tech-u, koji autentifikuje korisnika i procesuira transakciju putem ATM mreže. Iako djeluje komplikovano, proces neće trajati duže od uobičajenog za takve vrste transakcija.

pionirŠvajcarska banka Pictet se prva u svijetu oslo-nila u potpunosti na biometriju da kontroliše pristup osoblja i imaoca računa. Sistem, na-pravljen od strane kompanije Bioscrypt, radi na taj način što pravi brz snimak lica da kreira trodimenzionalnu „mrežu“ lica, sa 40 hiljada prepoznatljivih tačaka, koje se čuvaju u bazi. Sastoji se iz 110 skenera lica i magnetno-zakl-jučavajućih vrata za dozvolu pristupa. Čitava procedura traje manje od sekunde… U ovom slučaju, tehnologija ne teži samo većoj sigurnos-ti, oslobođenoj lozinki i raznoraznih kartica, već se očekuje da smanji i troškove HR odjel-jenja. Naime, preko ovog sistema će se ima-ti uvid u prisustvo zaposlenih i tzv. timesheet kalkulaciju.

BANKAR €

Većina [zmija] je bezopasna. Ali većina

ljudi ne zna koje su bezopasne, tako da

jednostavno ni jednu ne uzimaju u ruke.

Tim KalanVP Mountain View


need for better security, guidelines for future work and relationship with clients, there is another important fac-tor that will contribute to enhanced application of bio-metrics in financial institutions. Namely, International Standardisation Organisation (ISO) has introduced a new security standard, ISO 19092:2008, for use of biometric identification in financial services sector. This standard contains instructions and recommendations for imple-mentation. According to ISO, the standard was develo-ped due to the need for a perfect authentication system. Currently, only some 20% of financial institutions use some type of biometric identification. It is well-known that a technology becomes cheaper once it is established

as a norm, so the given percentage is expected to rise to 35% by the end of 2009.

With the rapid increase in the number of instances of fraud and theft in commercial transactions, it is very important for financial institutions to use biometrics as a key instrument to eliminate fraud and defi-ciencies of the traditonal security approach. Like institutions, clients want more security as well. Biometric technology is getting more and more accessible and reliable, and the issue of legal ap-plicability of electronic agreements has been sol-ved. The overall picture contains a “slight” prob-lem. Although clients recognize the benefits from biometric authen-tication, they resist to fully embrace the tech-nology without adequate guarantees that financial institutions will keep their biometric data confidential. It is no surpirse – let us recall 2005, when hackers broke into the system of the transaction processing company CardSystems Solutions and accessed information on more than 40 milli-on credit cards! The record lasted only a year and then TJX Companies, Massachussets reported theft of 45 million card numbers from its database. Legal framework that will provide adequate measure of protection is very important. With new standards, technology and legislation, biometrics will play a vital part in the new generation of automatic identification systems. Whether we want it or not, technology development will lead to predominance of biometrics in everyday activities that require adequate identification. The future of this techno-logy lies in the creation of a biometric security infrastructu-re that will enable both private and public sector to meet the needs for security. Lastly, such infrastructure would enable people to change locations around the world and keep the-ir security access defined by unique physical characteristics. Client trust in online transactions will bring benefit both to them and the banks ■

pionEErSwiss bank Pictet is the first one in the world to rely entirely on biometrics in controlling access by staff and account owners. The system, designed by Bioscrypt, works so that a face snapshot is taken in order to create a three-dimensional grid of the face, with 40 thousand identifiable points kept in the database. It comprises 110 face scanners and magnetic-lock access doors. The entire procedure takes less than a second… In this case, technology does not only strive for more security, free of passwords and various cards, but is also expected to cut HR department expenses. Namely, this system will provide insight into staff attendance and timesheet calculation.

Although print readers and electronic signatures have been in use for years, for the first time now there is a card that uses fingerprint to “unlock” the electronic signature. A card with an electronic signature is inserted into a smart card reader and then the owner slides a finger along a biometric sensor. It is only used for checking signatures for data transfer via Internet and for electronic payment.ING Direct, an online bank from Canada, offers to its clients a product of Secugen and Safelink: an (un)usual computer mouse that contains high-resolution print identification system. Special software sends a client’s request for authentication via a safe Internet link to the bank’s server, where a centralized print database will ‘‘make sure” that only the client who passes the check is granted access. Mp3.com and Cash Tech. have developed a system where a cheap camera records a client’s pupil, sends the picture to an MP3, which forwards it to Cash Tech, which then authenticates the client and processes the transaction through the ATM network. Though it sounds complicated, the process will not take more time than the usual procedure for this type of transactions

BANKAR €

Most [snakes] are harmless. But most people don’t know

which ones are safe, so they just don’t

pick up any snakes.

Tim CallanVP of Mountain View

BANKING PERSPECTIVES

Bulevar Sv Petra Cetinjskog 115, 81 000 PodgoricaTel: +382 (0)20 407 900

Investiciono bankarstvoKastodi poslovi i VIP bankarstvoUpravljanje sredstvimaKomercijalno BankarstvoE-tradingE-banking

www.invest-banka.com, www.atlas.co.yu

jul 2008 | :Bankar

��

SAOPŠTENJA

deveti interbalkanski forum udruženja banaka

Na Forumu je učestvovala predstavnica Evropske ban-karske federacije, kao i generalni sekretari, člano-

vi izvršnih odbora i drugi visoki predstavnici udruženja banaka Albanije, Bugarske, Bosne i Hercegovine, Kipra, Grčke, Crne Gore, Rumunije i Srbije.

Deveti Forum je otvoren dobrodošlicom g. Mirka Radonjića, generalnog sekretara Udruženja banaka Crne Gore. Zbog opravdanog odsustva predsjedavajućeg Foruma, profesora Kristosa Gortsosa, generalnog skeretara Udruženja banaka Grčke, sastankom je predsjedavao dr. Mihael Kamas, generalni direktor Udruženja poslovnih banaka Kipra. Sastanak je nastavljen prezentacijama na sljedeće teme: Pregled crnogorskog sektora ekonomije i bankar-stva (g. Nebojše Đokovića, savjetnika u UBCG), Uloga i značaj nadzora kroz iskustvo Centralne banke Crne Gore (g. Velibor Milošević, zamjenik generalnog direktora za superviziju banaka) i Zaštita depozita u Crnoj Gori (g. Predrag Marković, predsjednik Upravnog odbora Fonda za zaštitu depozita).

Povodom Foruma, guverner Centralne banke Crne Gore, g. Ljubiša Krgović, održao je govor posvećen crnogorskom bankarskom sektoru.

U toku druge sesije, gostujući govornik, gđa Viktorija Proskurovska, savjetnica u Evropskoj bankarskoj fede-raciji, održala je prezntaciju na temu Aktuelni izazovi u bankarskom sektoru EU. Sesija je završena prezentacijama na temu Sprečavanje pranja novca i finansiranja terorizma (gđa Jovanka Krunić, direktorica odjeljenja za analitiku) i Aktuelna dešavanja u regulatornom okviru evropskog bankarskog sistema (g. Vasilis Panagiotidis, specijalni savjetnik Udruženja banaka Grčke).

Usvajajući Zapisnik sa osmog zasijedanja Foruma, učes-nici su informisani da je Priručnik Interbalkanskog Foruma spreman za objavljivanje, te da se zahtjev za prijem novih članica ne može prihvatiti, zbog toga što je Udruženje bana-ka Bivše jugoslovenske republike Makedonije dio Privredne komore ove države i nije nezavistan subjekat.

Završna sesija bila je posvećena predlozima u pogledu procedura i tema za razmatranje na budućim sastancima Foruma. Predloženo je da se uputi zvanični pisani zahtjev g. Gvidu Ravoetu, generalnom sekretaru EBF-a, kako bi se obezbijedilo redovno prisustvo EBF-a budućim sastanci-ma. Udruženje banaka Srbije predložilo je razmjenu infor-macija između članica Foruma na sljedeće teme: Krediti, bankarski krediti koje se ne otplaćuju u rokovim dospi-jeća, potrošački krediti, krediti za preduzeća, Sastanak o poslovanju sa stanovništvom (predloženo da se održi u Srbiji u novembru 2008), kao i razvijanje programa naci-onalne bankovne kartice.

u vezi sa projeKtom sepa: Predsjedavajući je postavio pitanje da li bi članice Foruma željele da pozovu g. Ponsleta iz EBF da predstavi napredo-vanje projekta SEPA, te da na sljedeći sastanak pridruženih članica EBF-a u Albaniji treba pozvati g. G. Hartsinka, pred-sjedavajućeg EPC-a, da predstavi napredovanje projekta SEPA i glavnu ulogu EPC-a u tome.Tretirana su i pitanja u vezi praktične primjene aktivnosti na sprečavanju pranja novca i borbi protiv finansiranja terorizma. Dogovoreno je da prezentacija na temu finansijskih previranja pripremi predsjedavajući Foruma dr Kristos Gortsos.

Sljedeći sastanak Foruma održaće se u Sarajevu, u Bosni i Hercegovini, početkom oktobra 2008.

Interbalkanski forum je institucija koja planira da pro-moviše bankarsko poslovanje u regionu Balkana. Osnovan je 2004. godine, na inicijativu Udruženja banaka Grčke.Danas Forum broji deset članica – udruženja banaka Albanije, Bosne i Hercegovine, Bugarske, Kipra, Grčke, Crne Gore, Rumunije, Srbije, Slovenije i Turske. Forum se sastaje dvaput godišnje u različitim balkanskim grado-vima (po principu rotacije), a njegovi predstavnici imaju priliku da detaljno razmatraju veliki broj pitanja od zajed-ničkog interesa koja se tiču važnih parametara bankarskih aktivnosti, kao i da razmijene ideje i mišljenja o razvoju i podršci zajedničkim edukativnim programima ■

Deveti Interbalkanski forum udruženja banaka održan je u Podgorici, u Crnoj Gori, u petak, 9. maja 2008.


ANNOUNCEMENTS

ninth interbalkan Forum of Banking associationsThe 9th Interbalkan Forum of Banking Associations (IFBA) was held in Podgorica, Montenegro, on Friday, 9th May, 2008

The Forum was attended by a European Banking Federation representative as well as Secretaries General, members of

Executive Boards and other senior representatives of Banking Associations of Albania, Bulgaria, Bosnia and Herzegovina, Cyprus, Greece, Montenegro, Romania and Serbia.

The 9th IFBA meeting started with a welcome address by Mr. Mirko Radonjic, Secretary General of the Association of Montenegrin Banks (AMB). Due to the excused absence of IFBA Chairman, Professor Christos Gortsos, Secretary General of Hellenic Bank Association, the meeting was chaired by Dr. Michael Kammas, Director General of the Association of Cyprus Commercial Banks. The meeting conti-nued with presentations on the following topics: Overview of the Economy and the Banking Sector in Montenegro (by Mr. Nebojsa Djokovic, Advisor at AMB), Role and Significance of Supervision through the Experience of the Central Bank of Montenegro (by Mr. Velibor Milosevic, Deputy General Director for Bank Supervision) and Deposit Insurance in Montenegro (by Mr. Predrag Markovic, Board Chairman of the Deposit Protection Fund).

On the occasion of the Forum, Governor of the Central Bank of Montenegro, Mr. Ljubisa Krgovic, delivered a spe-ech on the Montenegrin banking sector.

During the second session, guest speaker, Mrs. Viktorija Proskurovska, Adviser of the European Banking Federation, presented the Current Challenges of the EU Banking Sector.

The session concluded with presentations on Prevention of Money Laundering and Terrorist Financing (by Ms. Jovanka Krunic, Head of Analytics Department) and Current Developments in the Regulatory Framework of the European Banking System (by Mr. Vasilis Panagiotidis, Special Advisor of the Hellenic Bank Association).

In the course of the procedure to endorse Minutes from the 8th Forum, members were informed that the IBF Handbook was ready for publication and that the request for members-hip could not be granted, due to the Banking Association of FYR Macedonia being a part of the Economic Chamber of FYROM, rather than an independent entity.

The final session focused on proposals concerning the procedures and issues to be considered in future IFBA me-etings. A suggestion was made that an official written requ-est be sent to Mr. Guido Ravoet, Secretary General of EBF to ensure regular EBF representation in future meetings. The Association of Serbian Banks proposed exchange of in-

formation between IFBA members concerning: loans, non-performing bank loans, consumer credit, corporate loans, meeting on retail banking issues (suggested to be hosted by Serbia in November 2008) and development of a national bank card scheme.

on sepa:The Chairman inquired whether IFBA members would like to invite Mr. Poncelet from EBF to present the prog-ress of SEPA. At the next EBF Associated Members’ mee-ting in Albania, Mr. G. Hartsink, EPC Chairman, should be invited to present the progress report on SEPA and the EPC’s main role in this. Practical implementation issues in relation to anti-money laundering and combating terrorist financing were considered. It was agreed that a presentati-on regarding recent financial turmoil would be prepared by IFBA Chairman, Dr. Christos Gortsos.

The next Forum meeting will take place in Sarajevo, Bosnia and Herzegovina, in early October 2008.

IFBA is an institution that intends to promote the banking business in the Balkan region. It was established in 2004, following the initiative of the Hellenic Bank Association. Today, the Forum has 10 members - Banking Associations of Albania, Bosnia and Herzegovina, Bulgaria, Cyprus, Greece, Montenegro, Romania, Serbia, Slovenia and Turkey. The Forum convenes twice a year in different Balkan cities (on a rotation basis) and its representatives have the opportunity to discuss extensively a large number of issues of common interest, related to important parameters of banking activi-ties as well as to exchange ideas and views on development of and support to joint educational programs ■

BANKARSKI POJMOVNIK(a prema Zakonu o bankama)

jul 2008 | :Bankar

��

banka je pravno lice koje obavlja bankarske poslove na osnovu dozvole ili odobrenja Centralne banke.

bankarski poslovi su poslovi primanja novčanih depozita i odobravanja kredita za sopstveni račun.

kreditno - garantni poslovi su poslovi iz-davanja garancija za uredno izmirivanje obaveza korisnika kredita.

depozit je novčani iznos uplaćen na račun kod banke, po osnovu ugovora ili drugog pravnog posla iz koga nastaje obaveza banke na povraćaj tog iznosa, na zahtjev depone-nata ili po isteku ugovorenog roka, isklju-čujući sredstva koja predstavljaju dopunski element sopstvenih sredstava banke.

filijala je dio banke koji nema svojstvo pravnog lica, a obavlja sve ili samo dio poslova te banke.

osnivački kapital je kapital koji osnivači obezbjeđuju prilikom osnivanja banke i koji može biti u novcu i stvarima i pravima koje procjenjuje ovlašćeni procjenjivač.

kvalifikovano učešće:� - je samostalno ili, zajedničko sa dru-gim povezanim licem, direktno ili indi-rektno, učešće u kapitalu ili glasačkim pravima u pravnom licu od najmanje 5% - je mogućnost vršenja značajnog utica-ja na upravljanje, odnosno politiku nekog pravnog lica, na osnovu dogovora ili spo-razuma sa drugim licem ili na bilo koji drugi način, bez obzira na visinu učešća u kapitalu ili glasačkim pravima u banci.

povezana lica su dva ili više lica iz-među kojih postoji najmanje jedan oblik povezanosti.

indirektno učešće je učešće u kapitalu ili glasačkim pravima u pravnom licu preko trećeg lica. Značajan uticaj su činjenice koje upućuju na to da neko lice : - može ostvariti pravo na jednog pred-stavnika u odboru direktora ili u sličnom organu tog pravnog lica, bilo kroz vlasni-štvo nad akcijama, na osnovu saglasnosti vlasnika akcija, punomoćja, ili na bilo koji drugi način, - učestvuje u donošenju odluka u tom pravnom licu, nezavisno od toga da li to lice može preovlađuje uticati na donošenje tih odluka, iliu može vršiti uticaj nad tim pravnim licem.

kontrola:� - je samostalno ili, zajednički sa drugim povezanim licem, direktno ili indirektno učešće u kapitalu ili glasačkim pravima u pravnom licu od najmanje 50%, - je mogućnost ostvarivanja preovlađujućeg uticaja na odlučivanje, poslovnu politiku, odnosno strategiju rada pravnog lica, sa-mostalno ili u saradnji sa drugim licima, bez obzira na visinu učešća u kapitalu.

lica povezana sa bankom:� - su članovi organa banke, akcionari, za-posleni u banci, kao i članovi njihove uže porodice (bračni drug i djeca), - je pravno lice u kojem lice koje ima kva-lifikovano učešće u banci takođe ima kva-lifikovano učešće, - je pravno lice u kojem jedno od lica iz al. 1 i 2 ove tačke ima značajan uticaj ili je lice iz al. 1 ove tačke direktor ili član od-bora direktora ili drugog odgovarajućeg organa tog pravnog lica, - je lice koje ima učešće u kapitalu ili gla-sačkim pravima od najmanje 50% u prav-nom licu koje ima kvalifikovano učešće u banci.

insolventnost je finansijsko stanje kada su obaveze, prema bilansu stanja banke, veće od njene imovine

nelikvidnost je stanje kada banka nema novčanih sredstava da izvrši svoje do-spjele obaveze u trenutku kada to zaht-jeva povjerilac.

bankarska grupa je skup povezanih lica u kojem su jedna banka ili finansijski holding sa sjedištem u Crnoj Gori nad-ređeni u odnosu na jednu ili više bana-ka, finansijskih institucija i / ili drugih lica koja se bave pružanjem finansijskih usluga a čije je poslovanje uređeno dru-gim zakonima.

nadređena banka u bankarskoj grupi je banka koja : - kontroliše ostale članove grupe, i/ili - ima učešće u kapitalu ili glasačkim pravima od najmanje 20 % pojedinačno kod ostalih članova bankarske grupe

finansijski holding je akcionarsko dru-štvo ili društvo sa ograničenom odgo-vornošću koje ima učešće u kapitalu ili glasačkim pravima kod banaka ili drugih lica koje se bave pružanjem fi-nansijskih usluga, ukuliko kontroliše najmanje jednu banku.

nadređenu finansijski holding u bankar-skoj grupi je finansijski holding koji: - kontroliše najmanje jednu banku sa sjedištem u Crnoj Gori, - kontroliše ili ima učešće u kapitalu ili glasačkim pravima od najmanje 20% u ostalim članovima bankarske grupe, - nije istovremeno kontrolisan od ban-ke ili finansijskog holdinga sa sjedištem u Crnoj Gori - nije istovremeno kontrolisan od ban-ke koja ima dozvolu za obavljanje ban-karskoh usluga u drugoj državi

mješoviti holding� je akcionarsko dru-štvo ili društvo sa ograničenom odgo-vornošću, koje ima učešće u kapita-lu ili glasačkim pravima kod lica koja se bave finansijskim, kao i lica koja se bave nefinansijskim poslovnim aktiv-nostima, ukoliko kontroliše najmanje jednu banku.

§

GLOSSARY OF BANKING TERMS(according to the Law on banks)


bank is a legal entity that conducts banking operations according to the license or ap-proval obtained from the Central Bank.

banking operations are operations of ac-cepting money deposits and granting lo-ans for own account.

credit - guarantee operations are operati-ons of providing guarantee for regular pa-yment of liabilities by loan users.

deposit is the amount of money paid to a bank account, based on a contract or another legal act, that generates the bank’s obligation to reimburse the given amount following depositor’s request or expiry of the agreed term, excluding the funds that represent an additional element of bank’s own funds.

branch office is a part of a bank which does not have the status of a legal entity and performs all or just some of the acti-vities of that bank.

initial capital is the founding capital that may be expressed in money, commodi-ties or rights appraised by an authorized appraiser.

qualified interest:��- Is direct or indirect share of at least 5% in capital or voting rights in a legal entity, held individually or with another related person; - Is ability to exercise significant influence on management of policy of a legal entity, based on agreement or accord with anot-her entity or in any other way, regardless of share in capital or voting rights in the bank.

related persons are two or more persons with at least one form of relationship bet-ween them.

indirect interest is a share in capital or voting rights in a legal entity through a third person. Significant influence means facts that in-dicate that a certain person: - May obtain the right to one seat in the Board of Directors or a similar body of the given legal entity, whether through

shareholding, based on the shareholder’s consent, power of attorney or in any other way; - Participates in decision-making in the given legal entity, regardless of whether the person may exert decisive influence in the decision-making or may exert influence on the given legal entity.

control:� - Is direct or indirect share of at least 50% in capital or voting rights in a legal entity, held individually or together with another related person; - Is ability to exert decisive influence on decision-making, business policy, i.e. stra-tegy or operation of a legal entity, indivi-dually or together with other persons, re-gardless of the degree of share in capital.

bank related parties:� - Are members of bank’s bodies, share-holders, bank employees, as well as mem-bers of their immediate family (spouse and children); - Are legal entities where a party that has qualified stake in the bank also has quali-fied stake; - Are legal entities where one of the par-ties from lines 1 and 2 of this item has sig-nificant stake, or a party referred to in line 1 of this item is a director or a member of the Board of Directors or another relevant body of the legal entity; -� Is a person with a share of at least 50% in capital or voting rights of the legal en-tity that has qualified stake in the bank.

insolvency� is a situation when a bank does not have the funds to pay its due liabilities at the time this is requested by the creditor.

bank group is a group of related persons where one bank or financial holding com-

pany with headquarters in Montenegro is superior to one or more banks, finan-cial institutions and/or other entities that provide financial services, their business regulated by other laws.

parent bank in a bank group is the bank that: - Controls other members of the bank group and/or - Participates in capital or voting rights in other members of the group with at least 20 % respectively.

financial holding company��is a joint-stock or limited liability com-pany that participates in capital or voting rights in banks or other entities that pro-vide financial services, provided that it has control over at least one bank.

parent financialholding company�in a bank group is a financial holding company that: - Controls at least one bank with hea-dquarters in Montenegro; - Controls or participates with at least 20% in capital or voting rights in other members of the group; - Is not at the same time controlled by a bank or a financial holding company with headquarters in Montenegro; - Is not at the same time controlled by a bank licensed for banking services in another state.

mixed holding company� is a joint-stock or limited liability com-pany that has a share in capital or vo-ting rights in entities performing finan-cial or non-financial business activities, provided that it has control over at le-ast one bank.

§

Izvor/Source: Bloomberg

jul 2008 | :Bankar

�0

Najvećesvjetskebankeprema tržišnoj kapitalizaciji

World’sbiggestbanks in terms of market cap

01] Industrial & Commercial Bank of China Limited - $277.5 mlrd/bn

02] Bank of America - $195.9 mlrd/bn

03] HSBC - $176.7 mlrd/bn

04] China Construction Bank Corp. - $165.2 mlrd/bn

05] Bank of China - $165.0 mlrd/bn

06] JPMorgan Chase - $159.6 mlrd/bn

07] Citi - $140.6 mlrd/bn

08] Wells Fargo - $112.3 mlrd/bn

09] Banco Santander - $109.8 mlrd/bn

10] Mitsubishi UFJ Financial - $105.4 mlrd/bn

11] ABN AMRO - $103.6 mlrd/bn

12] UniCredit - $97.5 mlrd/bn

13] Intesa SanPaolo - $89.8 mlrd/bn

14] BNP Paribas - $88.4 mlrd/bn

15] Goldman Sachs - $87.6 mlrd/bn

16] UBS - $84.8 mlrd/bn

17] BBVA - $78.3 mlrd/bn

18] Sberbank - $77.7 mlrd/bn

19] Royal Bank of Scotland - $76.0 mlrd/bn

20] Wachovia - $75.4 mlrd/bn

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