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6–12 Mėn. Vilibor-Euribor Skirtumo Veiksnių Apžvalga (2006 01–2010 04)

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6–12 Mėn. Vilibor-Euribor Skirtumo Veiksnių Apžvalga (2006 01–2010 04) RINKOS OPERACIJŲ DEPARTAMENTAS 6–12 MĖN. VILIBOR-EURIBOR SKIRTUMO VEIKSNIŲ APŽVALGA (2006 01–2010 04) Parengė Pinigų politikos operacijų skyrius 2010 m. balandžio 22 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) TARPBANKINIŲ PALŪKANŲ NORMŲ RODIKLIŲ APIBRĖŽIMAI ............... 4 Vilibor, Rigibor, Talibor ............................................................... 4 Libor, Euribor ............................................................................... 7 ĮDOMESNĖS PUBLIKACIJOS VILIBOR TEMATIKA ........................................ 9 2009 01 30: S.Kropas (delfi.lt) ................................................... 11 2009 05 19: N.Mačiulis, Š.Skyrius (Lietuvos rytas) .................. 11 2009 10 22: T.Ramanauskas (asmeninis interneto puslapis) ..... 12 2009 11 04: P.Kudaras (asmeninis interneto puslapis) .............. 15 2009 11 30: Ekonomikos studentė (Verslo žinios) .................... 17 2009 04 05: S.Jakeliūnas (Veidas, etc.) ..................................... 18 2010 04 14: A.Matuliauskas (IQ. The Economist) .................... 19 VILIBOR IR RINKŲ POŽIŪRIO Į INVESTICIJŲ LIETUVOJE RIZIKĄ RAIDA 2005–2010 ............................................................................................................... 20 2005 11–2007 02: minimalaus Vilibor–Euribor skirtumų laikotarpis 22 2007m.: Vilibor–Euribor skirtumų augimo I etapas .................. 25 2 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) 2008 01–09: Vilibor–Euribor skirtumai sumažėjo, bet palūkanų kreivė liko statesnė ........................................................................................ 27 2008 10–12: Vilibor–Euribor skirtumų šuolis ........................... 28 2008 12–2009 07: Vilibor–Euribor skirtumų lėtas augimas ...... 31 2009 06: trumpalaikis Vilibor–Euribor skirtumų šuolis ............ 32 2009 07–10: Vilibor–Euribor skirtumų vangus mažėjimas ....... 35 2009 11–2010 03: intensyvus Vilibor–Euribor skirtumų kritimas38 2009 03 vid. – [?] : Vilibor–Euribor skirtumų mažėjimas sulėtėjo43 VILIBOR DINAMIKOS VEIKSNIAI IŠ ARČIAU ............................................... 44 Tarpbankinės litų rinkos struktūra .............................................. 44 Euribor ir Vilibor: skirtingas tarpbankinių rinkų ir CB vaidmuo52 Vilibor ir realių tarpbankinių sandorių palūkanų normos .......... 55 Vilibor ir indėlių bei paskolų nefinansiniam sektoriui palūkanų normos 57 Vilibor–Euribor bei VVP litais ir eurais pelningumų skirtumai 64 Bankų turto ir įsipareigojimų valiutinė struktūra ....................... 66 IŠVADOS ................................................................................................................ 71 3 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) TARPBANKINIŲ PALŪKANŲ NORMŲ RODIKLIŲ APIBRĖŽIMAI Vilibor, Rigibor, Talibor Baltijos šalyse CB inicijavo tarpbankinių palūkanų normų rodiklių skaičiavimą: Estijos bankas Talibor pradėjo skelbti nuo 1996 pr., Latvijos bankas Rigibor – nuo 1997 12, Lietuvos bankas Vilibor – nuo 1999 pr. VILIBOR (Vilnius Interbank Offered Rate) – LB nustatyta tvarka apskaičiuojamos vidutinės tarpbankinės palūkanų normos, už kurias bankai pageidauja (pasiruošę) paskolinti lėšų litais kitiems bankams. RIGIBID and RIGIBOR shall reflect the lats money market interest rates that are determined by the banks included in the quotation list and that are 4 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) the lats money market instrument offering rates to other banks. <> The highest and the lowest lats money market interest rates shall be discarded. RIGIBOR: Only those banks that are active participants in the lats money market <> shall be included in the quotation list. TALIBOR and TALIBID represent the best assessment of quoting banks on the price of funds incorporated from the financial market. <> The highest and the lowest quotation are deducted from the published quotations and then the arithmetic mean of the quotations is calculated. LB detaliau, nei Estijos ir Latvijos bankai, apibrėžia, kada jis gali išbraukti banką iš sąrašo: „11. Lietuvos banko Rinkos operacijų departamentas bankų sąrašą peržiūri kartą per ketvirtį. Sąrašas taip pat peržiūrimas, jeigu: 11.1. kurio nors sąraše esančio banko veikla apribojama arba sustabdoma; 11.2. bankas nustojo teikti palūkanų normas, nors kiti į sąrašą įtraukti bankai jas teikia; 5 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) 11.3. bankas teikia palūkanų normas, neatitinkančias bendrųjų tarpbankinės rinkos sąlygų ir tendencijų“. Eesti Pank „has the right to exclude a bank from the list of quoting banks if ... market situation calls for the exclusion of a bank from the list“. „If the Latvijas banka commission decides to strike a bank from the quotation list, it provides that bank with a written explanation as to why such a decision was adopted“. Latvijos ir Estijos CB nenustatė bankams 5% apyvartos „slenksčio“. RIGIBOR: „Only those banks whose percentage of transactions in the lats money market has been the greatest shall be included in the list. TALIBOR: the quoting banks are these Estonian and foreign banks actively operating on the Estonian financial market. 6 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) Libor, Euribor Libor (bbalibor) contributors (min 8– max 16) are asked to contribute the offer rate at which they believe they could borrow funds in a reasonable market size just prior to 11 am. Therefore, submissions are based upon the lowest perceived rate that a bank on a certain currency panel could go into the inter-bank money market and obtain sizable funding. Euribor: Euribor contributors (currently, 45) are asked to quote rates at which, to the best of their knowledge, euro interbank term deposits are being offered within the euro area by one (merely hypothetical) prime bank to another at 11 a.m. CET (“the best price between the best banks”). Jeigu anksčiau po lito susiejimo su euru LT bankai savo išteklių eurais kainą bei paskolų palūkanų normas siedavo su Euribor arba euro Libor, pastaraisiais metais paprastai. 7 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) Vilibor, Rigibor: praktikoje bankai skelbia savo kotiruotes kaip orientacinį lygį hipotetiniam patikimam bankui. Tačiau taisyklės nepabrėžia, kad bankas turi skelbti palankiausią kotiruotę (mažiausią skolinimo palūkanų normą). Ar dėl to Vilibor yra didesnis, nei galėtų būti? 2005–2006 m. Vilibor beveik nesiskyrė nuo Talibor (kuris remiasi „geriausiu įkainavimu“). Finansų rinkose pakilus įtampai, Vilibor ėmė viršyti Talibor praktiškai tada, kad LT CDS ėmė viršyti EE CDS. 8 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) ĮDOMESNĖS PUBLIKACIJOS VILIBOR TEMATIKA 2009 01 30: S.Kropas (delfi.lt) Paskolų palūkanų normas sudaro šalies ir kredito rizika: 12 mėn. Vilibor ir ilgalaikių VVP litais (2016) pelningumo kotiruočių antrinėje rinkoje augimas buvo panašus. (S.Kropas. Už išdaužytus Seimo langus mokėsime dar ir aukštesnėmis palūkanomis už paskolas, www.delfi.lt ) 2009 05 19: N.Mačiulis, Š.Skyrius (Lietuvos rytas) Žurnalisto Martyno Čerkausko straipsnis „Kol eurai pinga, palūkanos litais tampa nepakeliamos“, Lietuvos rytas, Vartai 2009-05-19: N.Mačiulis (ISM): „Bankai gali siūlyti nepagrįstai dideles arba nepagrįstai mažas palūkanų normas, atsižvelgdami į to laikotarpio poreikius. Vienam bankui gana sunku paveikti vidutinę VILIBOR normą, nes 11 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) didžiausios ir mažiausios palūkanos neįtraukiamos. Bet keli bankai, tarpusavyje pasitarę, gali nesunkai daryti įtaką didelės dalies skolininkų mokamų palūkanų dydžiui“. Š.Skyrius (Baltijos šalyse registruotas investicinis bankas „Gild bankers“): kai bankai apriboję tarpbankinį skolinimą, VILIBOR pagrindas yra terminuotųjų indėlių palūkanos. 2009 10 22: T.Ramanauskas (asmeninis interneto puslapis) Ramanauskas, Tomas. Ar pagrįstai paskolų palūkanų normos siejamos su VILIBOR? // 2009 10 22 versija buvo paskelbta asmeniniame interneto puslapyje http://finansai123.googlepages.com/ (šiuo metu straipsnis viešai neprieinamas, bet skelbiama, kad jis yra rengiamas) Padidėjusi šalies rizika, bankų skolinimo rizika ir atsargumas iš dalies paaiškina Vilibor tendencijas, bet ne lygį. Bankų už indėlius eurais mokamos žemos palūkanos ir devalvacijos rizika, išmatuota palyginti nedideliu VVP litais ir eurais pelningumų 12 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) skirtumu, nepateisina tokio aukšto Vilibor ir paskolų litais palūkanų lygio. (Pastebėkime, kad LRV ir bankų požiūris į devalvacijos rizika ir turto bei įsipareigojimų valiutos struktūros politika gali labai skirtis). T.Ramanauskas kritikuoja argumentą, kad aukštą Vilibor lygį pateisino panašios terminuotų indėlių litais palūkanų normos: visų indėlių litais svertinė pritraukimo kaina yra gerokai mažesnė, už Vilibor. (Pastebėkime, kad nefinansinio sektoriaus rezidentų bankuose laikytų vienadienių indėlių palūkanų normos mėnesio vidurkis nagrinėjamu 2006 01–2010 02 laikotarpiu buvo tik 0,22–0,48%, o jų dalis, palyginti su visais rezidentų indėliais litais, didelė: 65–41%. Tačiau tokie indėliai nėra stabilūs ištekliai ir gali labai greitai būti iškeisti į eurus arba pervesti į kitus vietos ar užsienio bankus). T.Ramanauskas: Ar bankai, skelbdami Vilibor, turi vienintelį tikslą realiai įvardinti savo finansinių išteklių ir prisiimamų normalių rizikų kainą, kad nustatytų teisingą paskolų kainą? Autoriaus nuomone, taip nėra, nes 13 of 75 6–12 mėn. Vilibor veiksnių apžvalga (2006 01–2010 04) bankai Vilibor lygį nustato
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