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Do contrato de swap de taxas de juro : uma análise retrospetiva e atualista
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A presente Dissertação tem por finalidade a análise de um tipo específico do contrato de swap: interessa-nos apenas a forma simples do contrato de swap, o swap de taxas de juro, também conhecido por plain vanilla swap. Os instrumentos financeiros, com especial acervo para os derivados, são vetores da economia. Com momentos mais ou menos felizes, como o que nos traz aqui este tema, estes instrumentos são, indubitavelmente, impulsionadores de negócio e gestores de risco indispensáveis ao mercado. Assistimos nas últimas décadas, a uma crescente generalização do recurso aos instrumentos financeiros derivados em setores, que se diria, estarem tradicionalmente alheios a estes. Assistimos ainda à celebração destes contratos com contrapartes pouco familiarizadas com a lógica complexa de negociação associada, desconhecendo os efeitos negativos que possam advir na gestão daquele risco. Atenta a complexidade que é o estudo dos instrumentos financeiros e, por concreto, do contrato de swap de taxas de juro, é nosso propósito a tentativa de execução de um estudo estrito e orientado sobre o mesmo, como infra delineamos. Propomo-nos realizar uma análise geral à figura do contrato de swap, compreendendo as suas origens, evolução, modalidades e funções, conhecendo de um modo transversal o instrumento financeiro derivado. Num segundo momento, ter-se-á por objetivo compreender o funcionamento do mecanismo contratual e económico subjacente à utilização do contrato de swap de taxas de juro e, ainda, conhecer a evolução deste contrato nas transações mundiais e a sua importância para a economia. Por tal, com especial apreço, releva na nossa análise, a concretização do risco – a função económica e social do risco – e a análise de eventos anormais, enquanto acontecimentos infelizes, nesse tipo de contratos. Tomamos fundamentalmente por observação que a crise económica e financeira de 2007-2014 modificou a realidade vivida pelos mercados financeiros e 12 consequentemente, produziu efeitos nos contratos financeiros, nomeadamente nos contratos de swap de taxas de juro. Não obstante, devemos aqui referir que o problema do desequilíbrio negocial verificado em determinados contratos de swap, em consequência da crise económica e financeira, será apenas uma face mais visível e insurgente das perturbações a que estão expostos os instrumentos financeiros derivados. Face à especulação havida nos últimos anos em torno do contrato de swap, tornase necessário atender às características do contrato, sendo necessário a essa análise a compreensão do risco, como já referido, sendo, aliás este o seu objeto contratual e elemento essencial. Ora, em virtude da crise económica e financeira suscitar uma especial apetência e discussão da aplicação do instituto da alteração das circunstâncias a este tipo contratual, propomo-nos à análise do mencionado instituto, equacionado a sua aplicação ao contrato de swap de taxas de juro, compreendendo-se, designadamente, se a crise económica e financeira, e as consequências que da mesma advieram, permitem a aplicação desse instituto. Importa ainda realçar que o contrato de swap se caracteriza por, na sua relação contratual, existirem deveres acrescidos de informação e de lealdade por parte do intermediário financeiro, tanto na fase pré-contratual como durante a execução do contrato. Porém, não tomamos, em qualquer ponto do nosso estudo, considerações quanto aos comportamentos exigíveis às partes na celebração e execução do contrato. Devemos ainda esclarecer que por pragmatismo e sistematização, nos abstemos da discussão que se reporta à classificação do contrato de swap como contrato de jogo e aposta, centrando-se a nossa análise tão-só ao supra referido. Este trabalho não consubstancia um exercício meramente analítico e expositivo sobre a questão enunciada, mas, antes, uma brevíssima reflexão crítica sobre o tratamento dado ao contrato de swap de taxas de juro e, consequentemente, à aplicação do instituto da alteração das circunstâncias, pretendendo-se que este possibilite um melhor 13 conhecimento pessoal desta problemática e que possa ser um singelo contributo para quem, como nós, se interesse por estas questões.
The purpose of this dissertation is to analyse a specific type of swap agreement: we are interested only in the simple form of the swap, the interest rate swap, also known as plain vanilla swap. Financial instruments, notably derivatives, are vectors of the economy. These instruments are undoubtedly business drivers and risk managers indispensable in the market even in negative economical moments such as the one that we are analysing. Over the last few decades we have witnessed a growing generalization of the use of derivative financial instruments in sectors, which are said to be traditionally unrelated to them. We are also witnessing the execution of these agreements with counterparties unfamiliar with the negotiation complexity inherent to derivatives, ignoring the negative effects that may arise in the management of the risk to which they are subject. Considering the complexity of the study of financial instruments, and specifically the interest rate swap, it is our intention to attempt a strict and oriented study, as described below. We propose to carry out a general analysis of the interest rate swap, including its origins, evolution, modalities and functions, developing a comprehensive knowledge of this derivative financial instrument. Secondly, our objective is to understand the operation of the contractual and economic mechanism underlying the use of the interest rate swap and also to know the evolution of this agreement in global transactions and its importance to the economy. Therefore, with particular importance to our analysis, is the materialization of risk - the economic and social function of risk - and the analysis of abnormal events, as unfortunate events, in this type of agreement. We note, in particular, that the economic and financial crisis of 2007-2014 has changed the reality of the financial markets and has had an impact on financial agreements, particularly on interest rate swap. However, we should note that the problem 15 of the trade imbalance in swap agreements generated by the economic and financial crisis is only a more visible and insurmountable aspect of the disruptions that derivative financial instruments are exposed to. Following the speculation in recent years around the swap agreement, as already mentioned, it is necessary to take into account the characteristics of the agreement and this analysis requires an understanding of the risk underlying, which is its contractual object and essential element. The economic and financial crisis created a special aptness to discuss the application of the institute of the change of circumstances to this type of agreement. We propose to analyse the above mentioned institute, considering its application to the interest rate swap agreement, analysing whether the economic and financial crisis and the consequences which it entails make it possible to implement that institute. It should also be noted that the swap agreement is characterized by an increased duty of information and loyalty on the part of the financial intermediary, both at the precontractual stage and during the performance of the agreement. However, we do not, at any point in our study, take into account any behaviour that is required of the parties in the execution and performance of the agreement. We must also clarify that, by pragmatism and systematization, we abstain from the discussion that refers to the classification of the swap agreement as a game and a bet contract, focusing our analysis only on the above mentioned. This work does not constitute a purely analytical and expository exercise on the issue, but rather a very brief critical reflection on the approach given to the interest rate swap and, consequently, the application of the institute for changing circumstances, and we hope this work allows a better personal knowledge of this subject and also can be a simple contribution for those who, like us, are interested in these issues.
The purpose of this dissertation is to analyse a specific type of swap agreement: we are interested only in the simple form of the swap, the interest rate swap, also known as plain vanilla swap. Financial instruments, notably derivatives, are vectors of the economy. These instruments are undoubtedly business drivers and risk managers indispensable in the market even in negative economical moments such as the one that we are analysing. Over the last few decades we have witnessed a growing generalization of the use of derivative financial instruments in sectors, which are said to be traditionally unrelated to them. We are also witnessing the execution of these agreements with counterparties unfamiliar with the negotiation complexity inherent to derivatives, ignoring the negative effects that may arise in the management of the risk to which they are subject. Considering the complexity of the study of financial instruments, and specifically the interest rate swap, it is our intention to attempt a strict and oriented study, as described below. We propose to carry out a general analysis of the interest rate swap, including its origins, evolution, modalities and functions, developing a comprehensive knowledge of this derivative financial instrument. Secondly, our objective is to understand the operation of the contractual and economic mechanism underlying the use of the interest rate swap and also to know the evolution of this agreement in global transactions and its importance to the economy. Therefore, with particular importance to our analysis, is the materialization of risk - the economic and social function of risk - and the analysis of abnormal events, as unfortunate events, in this type of agreement. We note, in particular, that the economic and financial crisis of 2007-2014 has changed the reality of the financial markets and has had an impact on financial agreements, particularly on interest rate swap. However, we should note that the problem 15 of the trade imbalance in swap agreements generated by the economic and financial crisis is only a more visible and insurmountable aspect of the disruptions that derivative financial instruments are exposed to. Following the speculation in recent years around the swap agreement, as already mentioned, it is necessary to take into account the characteristics of the agreement and this analysis requires an understanding of the risk underlying, which is its contractual object and essential element. The economic and financial crisis created a special aptness to discuss the application of the institute of the change of circumstances to this type of agreement. We propose to analyse the above mentioned institute, considering its application to the interest rate swap agreement, analysing whether the economic and financial crisis and the consequences which it entails make it possible to implement that institute. It should also be noted that the swap agreement is characterized by an increased duty of information and loyalty on the part of the financial intermediary, both at the precontractual stage and during the performance of the agreement. However, we do not, at any point in our study, take into account any behaviour that is required of the parties in the execution and performance of the agreement. We must also clarify that, by pragmatism and systematization, we abstain from the discussion that refers to the classification of the swap agreement as a game and a bet contract, focusing our analysis only on the above mentioned. This work does not constitute a purely analytical and expository exercise on the issue, but rather a very brief critical reflection on the approach given to the interest rate swap and, consequently, the application of the institute for changing circumstances, and we hope this work allows a better personal knowledge of this subject and also can be a simple contribution for those who, like us, are interested in these issues.
Description
Keywords
Instrumentos financeiros Derivados Swap Swap de taxas de
juro Plain vanilla swap Crise Crise económica e financeira Alteração das circunstâncias Artigo 437.º do Código Civil Financial instruments Derivatives Interest rate swap Plain
vanilla swap Crisis Economic and financial crisis Changing circumstances