Kredyty waloryzowane do franka szwajcarskiego a ryzyko systemowe w polskim sektorze bankowym

Tomasz Jura

Published : 2021-10-03

Vol. 83 No. 2 (2021)

Loans denominated and indexed to the Swiss franc and systemic risk in the Polish banking sector

Tomasz Jura

https://orcid.org/0000-0001-7707-4700

Abstract

Loans denominated and indexed to the Swiss franc were introduced to the banks’ offer and granted on a massive scale in the years 2004–2008. This was mainly due to the dynamic development of the real estate market and insufficient domestic capital to finance its development, as well as the favourable interest rate disparity and appreciation of the Polish currency zloty from 2004 to July 2008. From August 2008, there was a sharp appreciation of the Helvetic currency, which, combined with the collapse of the swap market, resulted in the materialization of a market risk. Moreover, the appreciation of the zloty contributed to an increase in the LTV ratio as compared to zloty loans, which means that loans indexed to the CHF exchange rate may be characterized by increased credit risk. In 2019, after the high judgment of the Court of Justice of the European Union was issued, the likelihood of legal risk materialization increased. It should be emphasized that the conducted analysis proved that despite the above-mentioned risks related to loans indexed to CHF, the stability of the Polish banking sector is not directly threatened, inter alia due to higher capital requirements than in other EU countries. However, the author proposes actions that should be taken by safety net institutions to alleviate the problem.

Keywords:

mortgage loans, Swiss franc, exchange rate, risk, safety net institution

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Jura, T. (2021). Loans denominated and indexed to the Swiss franc and systemic risk in the Polish banking sector. Safe Bank, 83(2), 121–149. Retrieved from https://ojs.bfg.pl/index.php/bb/article/view/7

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Tomasz Jura

lipjura@gmail.com
https://orcid.org/0000-0001-7707-4700

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absolwent pierwszego stopnia Szkoły Głównej Handlowej w Warszawie na kierunku Finanse i Rachunkowość, student czwartego roku Prawa na WPiA UW. Laureat nagrody Prezesa Zarządu BFG w konkursie na najlepsze prace licencjackie, magisterskie i doktorskie z zakresu problematyki stabilności systemu finansowego w kategorii prac licencjackich