IMPORTANT: This article analyzes interest rate swaps in accordance with the regulatory and case law framework applicable at the time of its publication. Currently, any claim regarding swaps, derivatives, disclosure obligations, suitability tests, appropriateness tests, or potential errors in consent must be reviewed on a case-by-case basis, taking into account the specific circumstances, the contractual documentation, current regulations governing securities markets and investment services, and applicable case law.
Interest Rate Swap
Interest Rate Swaps (IRS) are among the most complex financial products, generating a high level of litigation with financial institutions. We recommend that all our clients, whether businesses or individuals, review the terms of their contracted swaps and, subsequently, consider renegotiating or litigating with the banking entity.
Swap: Financial Derivatives. Prerequisites
A swap is a type of financial derivative of English origin, also known in Spain as a financial swap.
To understand this financial instrument, we must first examine what financial derivatives are.
A derivative is a financial product whose value is based on the price of another asset, which can be of a very different nature—such as interest rates, inflation, stocks, indices, commodities, etc. Therefore, these products are always linked to another asset known as the underlying asset.
This fact allows for a wide variety of possibilities, but to be brief, we will focus on a specific type of derivative: interest rate swaps.
Interest Rate Swap (IRS)
The interest rate swap is commonly known as an Interest Rate Swap (IRS), and it consists of exchanging interest payments accrued on a specific underlying asset, without the transfer of a principal amount. Therefore, within financial derivatives, we find swaps, and within these, IRS.
These instruments are defined by fulfilling the following three characteristics:
- Their value changes in response to changes in a specific interest rate, the price of a financial instrument, the price of listed commodities, the exchange rate, a price or interest rate index, a credit rating or index, or based on another variable, assuming, in the case of a non-financial variable, that it is not specific to one of the parties to the contract (often referred to as the underlying).
- They do not require a net initial investment, or they require an investment that is smaller than what would be required for other types of contracts, where a similar response to changes in market conditions could be expected.
- They will be settled on a future date (International Accounting Standard No. 39, para. 9).
A swap is an atypical but lawful contract under Article 1255 of the Civil Code and Article 50 of the Commercial Code, imported from the Anglo-Saxon legal system, characterized by doctrine as consensual, bilateral (i.e., generating reciprocal obligations), synallagmatic (with independent performances, each acting as the cause of the other), of continuous duration, and involving the exchange of reciprocal obligations.
In its interest rate swap form, the agreement consists of exchanging, based on a reference principal amount that is not actual (notional), the amounts resulting from applying a different coefficient for each contracting party — referred to as interest rates (although they are not, strictly speaking, since there is, in fact, no capital loan agreement). The contracting parties are limited, in accordance with the respective terms and agreed-upon rates, to exchanging partial payments during the term of the contract or, simply put, to periodically settling such exchanges through netting, resulting in a debit balance in favor of one contracting party or, conversely, a credit balance in favor of the other.
Each swap must be analyzed individually, as they can be more or less complex, but in Article 79 bis.8 of the Securities Market Law (LMV), we can see that swaps are complex products…
Swaps can be used as hedging instruments (to protect against market volatility) or as speculative products. In the business world, using swaps as hedging instruments helps protect companies’ financial statements from potential financial losses. One of the many effects of globalization and new technologies has been an increase in these financial risks. The risks to be hedged are of a wide variety; among them are changes in interest rates, exchange rates, commodity prices, and the prices of publicly traded stocks, etc.
Given the risks discussed, there are two possible options: one is to avoid addressing them, thereby maintaining potential profits at the cost of assuming high risk; the other is to manage these risks, which entails a reduction in potential profits. Therefore, the use of swaps allows for the limitation of financial risks in exchange for a reduction in potential profits, but with the desired effect of achieving greater financial stability for the company. The problem is that the complexity of these products has led to serious irregularities in the conduct of several banks, as we are currently seeing in the courts.
Swaps have a key characteristic that explains their large number of market transactions: the ability to limit financial risks without the need for a prior and real exchange of monetary flows. For example, if a company wants to cover debt assumed in an expansion process, it can do so without paying any initial amount.
These products are highly complex, so they must be properly structured to produce the desired effects. One of the key aspects is that they are entered into at market value and without imbalances. In other words, the initial value of the swap must be 0 for both parties, and it is only after the first settlement that amounts favorable or unfavorable to one party or the other begin to accrue. The controversy arises when most customers are unable to verify the value of the swap they have entered into due to its high complexity, and this circumstance can be exploited by the bank, which is in a privileged position.
If banks had limited themselves to acting as intermediaries between large, properly advised companies, the vast majority of lawsuits could have been avoided. Instead, in most cases, because the bank acted as the counterparty, these swaps became widespread among non-expert clients, compounded by the existence of a conflict of interest: if the client loses, the bank wins.
On the other hand, swaps are financial instruments without an official organized market in which they can be traded and transferred, but this does not prevent them from being transferred. This characteristic means they are traded on the over-the-counter (OTC) market. The fact that swaps are traded OTC is another feature that makes them complex and difficult to value for those who are not experts in the field. Only the most experienced market participants have access to the OTC market and the forward yield curves necessary to value swaps and their early termination. We must bear in mind that these curves are used to forecast the evolution of interest rates, which, as we have already seen, form the basis for calculating spreads.¹¹ Even large companies classified as professionals are at a disadvantage compared to banks when it comes to valuing forward rates.
Within interest rate swaps (IRS), such as the one we are discussing, we can distinguish between plain vanilla or coupon swaps and basis swaps. In coupon swaps, one variable interest rate and one fixed interest rate are used—as specified in the clause signed in the mortgage contract—while in basis swaps, only variable rates are used.
Another important aspect concerns the notional amount, also known as the nominal amount or principal. In practice, many swaps are signed with a fixed principal when the client actually needed a swap with a variable principal (amortizing swap). In other words, when a client enters into a swap to hedge a debt that is being repaid over time, the swap cannot always be calculated based on the same amount, as it should decrease in tandem with the amount being hedged. Therefore, in these cases, the principal must be variable, decreasing as the maturity date approaches. If this is the case and the bank does not offer a variable principal, the contract could be challenged on the grounds that the product is unsuitable.
Author: Casimiro Galán Garrido
Preguntas frecuentes sobre swaps de tipo de interés
¿Qué es un swap de tipo de interés?
Un swap de tipo de interés, también conocido como IRS o permuta financiera, es un producto financiero derivado mediante el cual las partes intercambian pagos calculados sobre un capital de referencia y en función de distintos tipos de interés.
¿Qué es un producto financiero derivado?
Un derivado financiero es un producto cuyo valor depende de otro activo o variable, como los tipos de interés, índices, divisas, materias primas o acciones. En el caso del swap de tipo de interés, el subyacente suele estar vinculado a la evolución de los tipos de interés.
¿Los swaps son productos complejos?
Sí. Los swaps son productos financieros complejos, especialmente por su forma de cálculo, su valoración, su posible coste de cancelación anticipada y la dificultad que puede tener un cliente no experto para comprender todos sus riesgos económicos.
¿Para qué se utiliza un swap de tipo de interés?
Puede utilizarse como instrumento de cobertura frente a variaciones de tipos de interés o como producto con finalidad especulativa. En el ámbito empresarial, puede servir para limitar determinados riesgos financieros, aunque también puede generar costes importantes si no está correctamente estructurado.
¿Qué significa que el swap tenga un capital nocional?
El capital nocional es una cantidad de referencia sobre la que se calculan las liquidaciones del swap. No implica necesariamente que exista un préstamo real de esa cantidad, sino que sirve como base para determinar los importes que una parte debe abonar a la otra.
¿Qué riesgos puede tener contratar un swap?
Entre los principales riesgos se encuentran liquidaciones negativas para el cliente, costes elevados de cancelación anticipada, falta de adecuación al préstamo que pretendía cubrirse, desequilibrios en el valor inicial del contrato y posibles conflictos de intereses si la entidad bancaria actúa como contraparte.
¿Qué ocurre si el banco no explicó correctamente el producto?
Si la entidad bancaria no informó de forma clara, suficiente y comprensible sobre la naturaleza, funcionamiento y riesgos del swap, puede existir base para analizar una posible reclamación. La viabilidad dependerá de la documentación contractual, el perfil del cliente y las circunstancias de la contratación.
¿Puede impugnarse un swap por falta de idoneidad?
Sí, en determinados supuestos puede cuestionarse la contratación si el producto no era adecuado para la finalidad perseguida, por ejemplo, cuando se ofreció como cobertura de una deuda pero el capital nocional, la duración o la estructura del swap no se correspondían con el préstamo que pretendía cubrirse.
¿Qué diferencia hay entre un swap plain vanilla y un basis swap?
En un swap plain vanilla o coupon swap se intercambian pagos calculados normalmente con un tipo fijo y otro variable. En un basis swap, en cambio, se utilizan dos tipos variables distintos. La complejidad y los riesgos pueden variar según la estructura concreta pactada.
¿Qué importancia tiene el valor inicial del swap?
El valor inicial del swap debería analizarse para comprobar si fue contratado en condiciones de mercado y sin desequilibrios relevantes. Si el cliente no pudo conocer o verificar ese valor por la complejidad del producto, puede existir un problema de transparencia o información.
¿Qué es el mercado OTC en relación con los swaps?
El mercado OTC es un mercado no organizado en el que se negocian productos financieros de forma bilateral. Esta característica dificulta la valoración del swap para clientes no expertos, especialmente en relación con su precio, evolución y coste de cancelación anticipada.
¿Por qué conviene revisar un swap contratado con una entidad bancaria?
Porque cada swap debe analizarse individualmente para comprobar si fue correctamente explicado, si respondía a una finalidad real de cobertura, si era adecuado al perfil del cliente y si las condiciones económicas pactadas eran equilibradas. Una revisión jurídica y financiera puede ayudar a valorar una posible renegociación o reclamación.
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