Cross-Currency Interest Rate Swap Application in the Long-Term Currency Risk Management

Effective currency risk management using various derivatives is particularly important under increased market volatility. The risk is relatively higher for longer than shorter time frames. This study highlights the implementation of selected instruments for long-term hedging. It presents the application of cross-currency interest rate swap as a currency risk hedging tool used by Polish exporters, mainly manufacturers generating their revenues mostly abroad (in euro area), exposed to negative exchange rate fluctuations. The paper covers issues related to the pricing, market risk estimation and collateral required in the OTC market, as well as undertakes a sensitivity analysis in search for exchange rates at which margin call occurs. There is a comparative analysis and back test simulation conducted using market data from exchange and money markets. The study emphasized that the analyzed instrument meets the expectations in terms of hedging the company cash flows, as well as may generate additional benefits due to the still existing interest rate differential.Effective currency risk management using various derivatives is particularly important under increased market volatility. The risk is relatively higher for longer than shorter time frames. This study highlights the implementation of selected instruments for long-term hedging. It presents the application of cross-currency interest rate swap as a currency risk hedging tool used by Polish exporters, mainly manufacturers generating their revenues mostly abroad (in euro area), exposed to negative exchange rate fluctuations. The paper covers issues related to the pricing, market risk estimation and collateral required in the OTC market, as well as undertakes a sensitivity analysis in search for exchange rates at which margin call occurs. There is a comparative analysis and back test simulation conducted using market data from exchange and money markets. The study emphasized that the analyzed instrument meets the expectations in terms of hedging the company cash flows, as well as may generate additional benefits due to the still existing interest rate differential

Pre-Settlement Risk Limits for Non-Financial Counterparty in the Polish Over-the-Counter Derivatives Market

Theoretical background: The 2008/2009 financial crisis, the COVID-19 pandemic outbreak in 2020 or the Russian invasion of Ukraine in February 2022, all these affected market volatility causing greater interest in counterparty credit risk (CCR) management especially in the OTC derivatives market. This study investigates selected method to mitigate the CCR, namely the application of various risk limits. The research is focused particularly on the pre-settlement risk that financial institutions face after transaction conclusion until the contract’s final settlement. Instead of one single limit there may be a wide range of different treasury limits (a multiple treasury limit setup) applied not only to cover the credit exposure but also to support and enhance the entire market risk management process and day-to-day operations in the financial institutions.Purpose of the article: The paper examines treasury limits employed to manage pre-settlement risk in the Polish OTC derivatives market in the relation between financial institution and non-financial institution. The current literature on this subject includes works on various risk limits, especially in the Polish inter-bank market, however, there is still no broader view on this topic from the analysed perspective. The study indicates different pre-settlement risk limits to be applied in practice both for daily and credit-related transactions considering multiple determinants, such as counterparty and financial instrument type, asset class or collateral form.Research methods: Research methods comprise the analysis of guidelines and recommendations of the Polish Financial Supervision Authority as well as reports, documents and market risk management principles of selected financial institutions. Particular attention is paid to the analysis of legal backgrounds on treasury limits in Poland and bank’s sources, such as master agreements, general conditions of cooperation in the field of treasury products, regulations, information brochures, etc. Selected data from the 2022 Triennial Central Bank Survey of Foreign Exchange and OTC Derivatives Market Activity in Poland is used in the context analysis.Main findings: Different determinants of pre-settlement risk limit setup are identified and on this basis a directory of pre-settlement treasury limits is developed. The paper indicates also some challenges related to their practical application, concerning, for instance, the breaches of contractual terms (events of default), timely renewal of treasury limit or issues regarding the market risk estimation

Regional Fund Guarantee as a Legal Collateral for Treasury Limit in the OTC Market

The study highlights a selected aspect related to the financial risk management with the use of OTC derivatives, namely the issue of pre-settlement limits set by commercial banks for their counterparties, namely non-financial enterprises. The discussed situation assumes that the creditworthiness is sufficient in the opinion of the financial institution but the value of the legal collaterals proposed by the counterparty is insufficient. In this case, the use of guarantees of business support institutions such as regional funds may be particularly helpful. The formal and legal grounds for applying treasury limits were indicated and the way of their use was discussed, as well as a case study on the implementation of the mentioned guarantee for selected commercial bank. The article emphasizes the crucial role of scientific institutes in creating solutions to deal with real economic challenges.W opracowaniu zwrócono uwagę na wybrany aspekt związany z problematyką zarządzania ryzykiem finansowym z wykorzystaniem instrumentów pochodnych na rynku pozagiełdowym, a mianowicie kwestią prawnego zabezpieczenia do ustanowionych przez banki komercyjne dla swoich kontrahentów – przedsiębiorstw niefinansowych limitów skarbowych. Omawiana jest sytuacja zakładająca wystarczającą w ocenie instytucji finansowej zdolność kredytową kontrahenta, ale niewystarczającą wartość proponowanych przez niego prawnych zabezpieczeń wierzytelności bankowych. W tym przypadku zastosowanie poręczeń cywilnych okołobiznesowych instytucji wspierających tj. regionalne fundusze może być szczególnie pomocne. Wskazano na formalno-prawne przesłanki stosowania limitów skarbowych oraz omówiono sposób ich wykorzystania, jak również przedstawiono studium przypadku dotyczące wdrożenia omawianego poręczenia dla wybranego oddziału banku komercyjnego. W artykule podkreślono szczególnie istotną rolę instytutów naukowych w kreowaniu rozwiązań dla rzeczywistych wyzwań gospodarczych

Korytarz walutowy jako elastyczna strategia zabezpieczająca przed transakcyjnym ryzykiem kursowym przedsiębiorstw niefinansowych na rynku OTC

The article covers the chosen issues related to currency risk management process within non-financial companies in the OTC market. The analysis of selected flexible hedging strategy is presented taking into account the participation degree in positive market developments, the effective exchange rates, risk profiles and treasury limit utilization, as well as the amount of currency exposure hedged and margin call scenarios in which the additional collateral is required. It is shown that especially in the highly volatile markets flexible products may become an interesting solution compared to fixed ones. W opracowaniu skoncentrowano się na problematyce mitygowania transakcyjnego ryzyka kursowego w przedsiębiorstwach niefinansowych z wykorzystaniem walutowych instrumentów pochodnych na rynku pozagiełdowym. W tym kontekście dokonano porównania wybranego produktu o charakterze elastycznym, umożliwiającym w określonym zakresie partycypację w pozytywnych zmianach na rynku w relacji do klasycznego kontraktu forward pod kątem poziomu efektywnego kursu zabezpieczenia, profilu ryzyka, stopnia wykorzystania limitu skarbowego, jak również maksymalnej kwoty ekspozycji w osłonie oraz poziomów kursów granicznych, przy których transakcja może być awaryjnie zamknięta. Wskazano, iż zastosowanie instrumentów o charakterze elastycznym jest szczególnie interesującą alternatywą w okresach kryzysowych, cechujących się podwyższoną zmiennością rynkową

Influence of commercial formulation on leaching of four pesticides through soil

Studies with small soil columns (2 cm i.d. x 5.4 cm depth) compared leaching of four pesticides added either as technical material or as commercial formulations. Pesticides were selected to give a gradient of solubility in water between 7 and 93 mg L-1, comprising azoxystrobin (emulsifiable concentrate, EC, and suspension concentrate, SC), cyproconazole (SC), propyzamide (SC) and triadimenol (EC). Columns of sandy loam soil were leached with 6 pore volumes of 0.01M CaCl2 either 1 or 7 days after treatment. Separate experiments evaluated leaching of triadimenol to full breakthrough following addition of 18 pore volumes of 0.01M CaCl2. The mass of pesticide leached from columns treated with commercial formulation was significantly larger than that from columns treated with technical material for all compounds studied and for both leaching intervals (two-sided t-tests, p<0.001). This difference was conserved when triadimenol was leached to full breakthrough with 79 ± 1.2 and 61 ± 3.1% of applied triadimenol leached from columns treated with formulated and technical material, respectively. There were highly significant effects of formulation for all pesticides (two-way ANOVA, p<0.001), whereas leaching interval was only significant for azoxystrobin EC formulation and cyproconazole (p <0.001 and 0.021, respectively) with greater leaching when irrigation commenced 1 day after treatment. Leaching of azoxystrobin increased in the order technical material (6.0% of applied pesticide) < SC formulation (8.5-9.1% of applied) < EC formulation (15.8-21.0% of applied). The relative difference between leaching of formulated and technical pesticide increased with pesticide solubility in water, increasing from a factor of 1.4 for the SC formulation of azoystrobin to 4.3 for the SC formulation of triadimenol. Experimental systems differ markedly from field conditions (small columns with intense irrigation). Nevertheless, results indicate the need to consider further the influence of co-formulants in pesticide formulations on behaviour of the active ingredient in soil

The effects of pesticide mixtures on degradation of pendimethalin in soils

Most agronomic situations involve a sequence of herbicide, fungicide, and insecticide application. On the other hand, use of pesticidal combinations has become a standard practice in the production of many agricultural crops. One of the most important processes influencing the behavior of a pesticide in the environment is its degradation in soil. It is known that due to several pesticide applications in one vegetation season, the pesticide may be present in mixtures with other pesticides or xenobiotics in soil. This study examines the role which a mixture of chemicals plays in pesticide degradation. The influence of other pesticides on the rate of pendimethalin (PDM) degradation in soil was measured in controlled conditions. Mixtures of PDM with mancozeb or mancozeb and thiamethoxam significantly influenced the degradation of pendimethalin under controlled conditions. The second type of mixtures, with metribuzin or thiamethoxam, did not affect the behavior of pendimethalin in soil. Also, we determined the influence of water content on the rate of pendimethalin degradation alone in two soils and compared it to the rate in three pesticide mixtures. We compared two equations to evaluate the predictors of the rate of herbicide dissipation in soil: the first-order kinetic and the non-linear empirical models. We used the non-linear empirical model assuming that the degradation rate of a herbicide in soil is proportional to the difference of the observed concentration of herbicide in soil at time and concentration of herbicide in the last day of measurement

Pre-Settlement Risk Limits for Non-Financial Counterparty in the Polish Over-the-Counter Derivatives Market

Theoretical background: The 2008/2009 financial crisis, the COVID-19 pandemic outbreak in 2020 or the Russian invasion of Ukraine in February 2022, all these affected market volatility causing greater interest in counterparty credit risk (CCR) management especially in the OTC derivatives market. This study investigates selected method to mitigate the CCR, namely the application of various risk limits. The research is focused particularly on the pre-settlement risk that financial institutions face after transaction conclusion until the contract’s final settlement. Instead of one single limit there may be a wide range of different treasury limits (a multiple treasury limit setup) applied not only to cover the credit exposure but also to support and enhance the entire market risk management process and day-to-day operations in the financial institutions. Purpose of the article: The paper examines treasury limits employed to manage pre-settlement risk in the Polish OTC derivatives market in the relation between financial institution and non-financial institution. The current literature on this subject includes works on various risk limits, especially in the Polish inter-bank market, however, there is still no broader view on this topic from the analysed perspective. The study indicates different pre-settlement risk limits to be applied in practice both for daily and credit-related transactions considering multiple determinants, such as counterparty and financial instrument type, asset class or collateral form. Research methods: Research methods comprise the analysis of guidelines and recommendations of the Polish Financial Supervision Authority as well as reports, documents and market risk management principles of selected financial institutions. Particular attention is paid to the analysis of legal backgrounds on treasury limits in Poland and bank’s sources, such as master agreements, general conditions of cooperation in the field of treasury products, regulations, information brochures, etc. Selected data from the 2022 Triennial Central Bank Survey of Foreign Exchange and OTC Derivatives Market Activity in Poland is used in the context analysis. Main findings: Different determinants of pre-settlement risk limit setup are identified and on this basis a directory of pre-settlement treasury limits is developed. The paper indicates also some challenges related to their practical application, concerning, for instance, the breaches of contractual terms (events of default), timely renewal of treasury limit or issues regarding the market risk estimation

Comments on Industrial Design in Poland in the 1970s

Wojciech Wybieralski, Uwagi na temat wzornictwa przemysłowego w Polsce w latach 70. [Comments on Industrial Design in Poland in the 1970s], edited by W. Bryl-Roman, „Człowiek i Społeczeństwo” vol. XLIII: Projektowanie w latach 70. [Designing in the 1970s], Poznań 2017, pp. 13-30, Adam Mickiewicz University. Faculty of Social Sciences Press. ISSN 0239-3271.The paper discusses issues concerning the Polish industrial design of the‘70s in regard to social and economical situation of a country belonging by the time to the ‘Eastern Bloc’. The author argues the design industry had been strictly dependent on the social and political matters of that time. His judgement results not only from the review and analysis of the accessible information but most of all from his personal experiences of participation in several design teams operating in Polish industry of that time. The emphasis is laid on the specific area of design which is performed in various branches and capacities that produces objects of everyday use, machines, appliances and other constituents of human ambience. The author remarks also the organisational and legal issues of the profession and the design education in academies by the time. Industrial design, in his opinion, was strictly connected with visual arts, different technical disciplines, humanities and social sciences. The most distinctive features of design are its multidisciplinarity, the activity in the realms of usability and the formal (visual and aesthetic) matters. The profession balances questions of function, form, technology and economy. Even though the ‘70s as many other periods in Polish politics and economy did not result in expected successes, the discipline of design managed to survive the severe time of the 80s and create the base for operating in the market economy after the 1989

Zmiany zawartości związków biogennych i chlorofilu a w wodach rzeki Płoni

W pracy przeprowadzono ocenę stanu troficznego środkowego odcinka rzeki Płoni, w latach hydrologicznych 1992-1994 i 2000-2002. Odnotowano obniżenie średnich rocznych zawartości wszystkich badanych form związków biogennych, 25% spadek stężeń azotu ogólnego i 40% spadek fosforu ogólnego ograniczyły średnio o 30% rozwój fitoplanktonu w rzece Płoni. Porównanie średnich rocznych zawartości związków biogennych i chlorofilu a z ich granicznymi wartościami dla poszczególnych kategorii trofii, zakwalifikowało wody Płoni do wód hipertroficznych. Najwyższe stężenia nieorganicznych form azotu odnotowano wiosną w przekroju powyżej jeziora Miedwie, co potwierdza obszarowe pochodzenie części ładunku tego składnika w rzece. Najwyższe stężenia fosforu odnotowano latem. Wiosenny wzrost biomasy fitoplanktonu ograniczał fosfor, natomiast zakwit letni ograniczało wyczerpywanie ładunków azotu.This study concerns the evaluation of the trophic status of the middle part of the Płonią river, in the hydrological years 1992-1994 and 2000-2002. In the course of the study the average yearly contents of the assessed forms of nutrients decreased. The average growth of phytoplankton was limited by 30% by the 25% reduction of the concentration of total nitrogen and by the 30% reduction of the concentration of total phosphorus. Comparison of the mean yearly contents of the nutrients and chlorophyll a with the borderline levels of the trophic categories, qualified the Płonią water as hypertrophic.The highest concentrations of inorganic nitrogen in the water was observed in spring, it showed the non-point sources of a part of a nitrogen load in the river. In the Płonią river in spring the growth of algae was limited by phosphorus, whereas in summer the limiting factor was nitrogen

Pierwiastki sladowe w roslinach z terenu zakola ujscia Radwi do Parsety w Karlinie

W pracy podjęto badania nad określeniem stopnia zanieczyszczenia miedzią, cynkiem, żelazem, manganem i strontem niektórych gatunków roślin łąkowych z rodziny traw, motylkowatych, turzycowatych i chwastów. Wybrano do badań: wiechlinę łąkową (Poa pratensis), koniczynę białą (Trifolium repens), turzycę owłosioną (Carex hirta) i mniszka pospolitego (Taraxacum officinale) rosnące w zakolu ujścia rzeki Radwi do Parsęty, a także w okolicach najbardziej ruchliwych dróg komunikacyjnych, firm i zakładów przemysłowych w Karlinie. Badania prowadzono w latach 2000 - 2001 w sezonie wegetacyjnym. Wytypowano 8 obiektów badawczych, gdzie spodziewano się dużego zróżnicowania zawartości metali w roślinach. Poziom pierwiastków w materiale oznaczano metodą ASA, po mineralizacji roślin w mieszaninie stężonych kwasów HNO₃ i HC1O₄. Wyniki analiz chemicznych wykazały, że rośliny w różny sposób reagowały na sąsiedztwo uciążliwych dla środowiska czynników. Akumulacja miedzi i cynku najsilniej uwidoczniła się w turzycy owłosionej zebranej z rejonów sąsiadujących z zakładami przemysłowymi i szlakami komunikacyjnymi. Żelazo i mangan w najmniejszych ilościach zawierały rośliny zebrane z parków miejskich, zaś na pozostałych stanowiskach można już było zauważyć bardzo wysoką zawartość obydwu pierwiastków w środowisku.This study concerned the pollution of some meadow plants of the grasses legumes, sedges and weeds, with Cu, Zn, Fe, Mn, Sr. Following plants were chosen to be tested: meadow bluegrass (Poa pratensis), white clover (Trifolium repens), hairy sedge (Carex hirta) and dandelion (Taraxacum officinale), growing within the meander of Radew River confluence to Parsęta, at sites close to the roads of heavy traffic, and industrial sites in Karlino. Sampling was done during vegetation seasons of 2000 - 2001. Eight sites were chosen, considering the probability of great differentiation of metal contents in plants. Plant samples were mineralized in concentrated HNO₃ and HC1O₄, and metal contents determined by AAS method. The results of chemical analyses showed differentiated plants response to the proximity of hazardous factors. The acumulation of copper and zinc was found to be the highest in Carex hirta sampled from the areas close to industrial sites and roads. Iron and manganese content were low in plants from city parks, whereas the plants from all other sites indicated the high content of both metals in the environment