중앙은행의 OTC 통화옵션시장을 활용한 외환시장 개입 전략에 관한 연구

박재관 한국무역학회 2022 貿易學會誌 Vol.47 No.2

This paper studies the possibility of options as an instrument for central bank to intervene foreign exchange market. As opposed to spot transaction or forward transaction, which impacts spot exchange rate only once, currency options can continuously resist a directional speculative pressure on spot market due to the dynamic delta hedging of OTC currency options market maker. This research also analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that short position rather than long position in options will result in market makers dynamically hedging their long option exposure in a stabilizing manner, consistent with the first objective. Selling a “Strangle" allows a central bank to increase the credibility of its commitment to a target zone, and could have a lower expected cost than spot market interventions. However, this strategy also exposes the central bank to an unlimited loss potential. Therefore these kinds of intervention strategies must be used in the short run and temporarily.

논문 : 글로벌 금융위기와 원/달러 장외통화옵션시장의 질적 변화

강병진 ( Byung Jin Kang ),이효섭 ( Hyo Seob Lee ) 명지대학교 금융지식연구소 2011 금융지식연구 Vol.9 No.3

본 연구는 원/달러 장외통화옵션시장이 글로벌 금융위기를 전후로 어떠한 질적 변화를 겪었는지를 투자자들의 위험회피성향(risk preferences; degree of risk aversion)의 측면에서 분석하였다. 글로벌 금융위기가 원/달러 외환시장에 본격적으로 영향을 미치기 시작한 2008년 2월~3월을 기점으로 원/달러 장외통화옵션시장에서는 내재변동성(implied volatility)과 실현변동성(realized volatility) 간의 관계에 있어서 급격한 변화가 나타나기 시작하였는데, 이는 Bakshi and Madan(2006)의 이론에 따라 투자자들의 위험회피성향에 질적 변화가 발생하였을 가능성을 함의하는 것으로 해석될 수 있다. 2006~2010년까지 시장에서 관찰된 옵션자료를 바탕으로 분석한 결과 우리는 다음과 같은 실증분석 결과를 확인하였다. 첫째, 글로벌 금융위기 이전에는 원/달러 장외옵션 투자자들이 위험중립적(risk neutral)이거나 혹은 심지어 위험선호적(risk seeking)인 성향을 나타낸 반면, 금융위기 이후에는 극도의 위험회피적(risk averse)인 성향을 나타내는 것을 발견하였다. 둘째, 이러한 현상은 투자기간에 관계없이 공통적으로 나타나는 일관된 결과임을 확인하였다. 이러한 실증분석 결과는 글로벌 금융위기 이전에는 주로 수출 중소기업들의 환 위험 헤지(hedge)를 위한 옵션거래가 시장을 형성하였던 반면, 그 이후에는 옵션거래의 주요 목적이 완전히 달려졌다는 사실을 감안할 때 중요한 시사점을 가진다. This paper investigated the qualitative change in risk preferences of KRW/USD OTC currency option investors with the global financial crisis. The differences between implied volatilities and realized volatilities in KRW/USD currency option markets dramatically change before and after the global financial crisis of 2008. From the theory of volatility spreads by Bakshi and Madan(2006), the aforementioned change can be resulted from the change in risk preferences of market participants. Using the KRW/USD currency option data from 2006 through 2010, we cannot reject the hypothesis that investors are risk neutral before the global financial crisis of 2008 with any statistical significance. However, on the contrary to this, we find that investors are no longer risk neutral, but risk averse after the global financial crisis of 2008. One explanation for this phenomenon can be that the purposes of option transactions radically change before and after the crisis. That is, the option transactions before the crisis are mostly for hedging the exchange rate risk of exporting companies, but these hedging demands in KRW/USD currency options are almost vanished after the crisis.

Supreme Court Decisions on KIKO Cases

( Soong Hee Lee ) 고려대학교 법학연구원 2014 The Asian Business Lawyer Vol.14 No.-

As foreign exchange rates soared in the wake of the 2008 financial crisis, exporters filed for injunctions to suspend the effectiveness of knock-in/knock-out currency option contracts (“KIKO Contracts”) and instituted a number of lawsuits to seek the return of unjust gains and damages against banks. The KIKO disputes, which started to arise in the second half of 2008, came to a turning point when the Supreme Court of Korea rendered en banc decisions on four KIKO cases in September 2013. A summary of themajor legal principles in the above decisions of the Supreme Court is as follows: The mere fact that the KIKO Contracts provide only a limited range of exchange rate hedge, not the entire range of it, does not necessarily mean that such KIKO Contracts were structurally unsuitable for currency hedging. KIKO Contracts, of which key conditions including the knock-in and knock-out conditions, leverage structure, and exercise price are determined upon individual negotiations between the parties to such contracts, do not constitute standardized contracts. Absent special circumstances, the banks cannot be viewed as having had the obligation to notify the theoretical value of the options and related fees included in the structure of the KIKO products and the negative market value which potentially results. The mere fact that such information was not notified to the exporters cannot be viewed as fraudulent conduct or the cause of the customer’s misunderstanding. The banks should have ascertained the customer’s business circumstances, including expected inflow amount of foreign currency, status of assets, necessity of currency hedging, purpose of transactions, experience in transactions, knowledge or degree of understanding of the KIKO Contract, whether the customer has entered into other currency hedging contracts, among others, and the bank should not have recommended the execution of the KIKO Contract which was unsuitable for the customer given such circumstances. When banks recommend the trading of over-thecounter (OTC) derivative products with large risk, their duty to protect customers is higher than those of other financial institutions. The banks were obligated to explain material transaction information at the time of entering into the KIKO Contracts, including structure and major terms of the contract, specific details on the potential benefits and losses from the transactions, and in particular, the risk factors which may lead to losses. Further, the banks should have explained it in such way that the customer could properly understand the material transaction information. The above decisions of the Supreme Court are generally recognized as consistent with the traditional positions of the Supreme Court. Some of KIKO cases have been closed in the Supreme Court, and there are also a large number of KIKO cases still pending before the Supreme Court,appellate courts, or trial courts. Following the above en banc decisions on the KIKO Cases, it is expected that such disputes regarding the validity of KIKO contracts will be resolved, and deliberations and determinations by lower courts on whether the suitability rules and obligation to explain have been violated will be made consistently with such en banc Supreme Court decisions.

주제별 논단 : 키코 제2라운드 ; 외국의 장외파생상품 피해 관련 사례와 우리나라에 대한 시사점

윤성승 ( Sung Seung Yun ) 한국금융법학회 2011 金融法硏究 Vol.8 No.1

KIKOs are OTC currency option derivatives actively sold after 2007 in Korea. The loss of KIKO buyers was focused again by the public in November 2010, when the Seoul Central District Court decided 118 decisions on KIKO cases. Unfortunately, among the 118 cases, 99 plaintiffs lost in the first instance court. It was shocked to the plaintiffs since they were small and medium size corporations which, as they asserted, did not have enough knowledge and skill to understand and analyze the underlying risk of the KIKO financial derivatives. To decide the legal liability on KIKO derivatives, the characteristics of the structured financial derivatives must be considered. The designers and sellers of the derivatives have sufficient knowledge and skill to understand the inherent risk. However, the buyers are usually do not have such skill. Between seller and buyer, there is information asymmetry. In this article, I reviewed five cases related to OTC derivatives investment loss, including two Korean offshore funds` cases litigated in the U.S. (Diamond Fund case and Morning Glory Fund case), two U.S. cases (BT Securities(Gibson) case and P&G case), and one recent German Supreme Court case in March 2011. From the cases reviewed, I suggest some implications to consider to decide KIKO cases in higher courts in Korea. My suggestions are especially related to the fraud, misrepresentation, duty to explain, and suitability duty. First, since the buyer usually relies on the information and analysis provided by the seller to decide the purchase of the financial derivatives, the seller must clearly prove that the buyer has enough independent competence and skill to evaluate the relevant risk of the derivatives, if the seller asserts that the buyer decided independently or there was no reliance on the seller`s explanation on the risk. When there is information asymmetry between the parties of derivatives, it is usual for buyer to rely on the seller. It is exceptional that buyer does not rely on the seller when derivatives are purchased. Thus seller must prove for the exceptional circumstance. Second, the seller of derivatives has the duty to inform to the buyer on the value of the derivatives they sell. If the seller misinformed or omitted material information needed to decide the value, it can be a fraud or misrepresentation. Such duty can be an implied contactual obligation, even though it is not explicitly mentioned on the derivatives contract. Third, regarding the duty to explain and suitability duty, it is not enough for seller to explain theoretically the contents of the derivatives contract. The purpose of explanation and suitability is to make the buyer to understand the risk and product. To implement the principle of self decision to the buyer, it needs for buyer to have the same level of understanding on risk through the explanation of the seller. The seller must consider whether there is a gap of understanding to the buyer when the seller gives material information to the buyer or explain materiel factors on the risk. Such active duty to explain or suitability duty is based on the good faith and fair dealing. If the seller did not achieved such level of the buyer`s understanding by his explanation of the derivatives, it can be the breach of duty to explain or suitability duty.

계약의 구조에 대한 설명의무 -KIKO(키코) 사건에 관한 대법원 전원합의체 판결을 소재로 하여-

최문희 한국상사판례학회 2014 상사판례연구 Vol.27 No.1

The Korean Supreme Court(“KSC”) rendered important decisions on Korean OTC Derivatives, structured currency derivatives with Knock-In and Knock-Out(KIKO Contract) in 2013. The author reviews the Cases (2011da 53683·2011da53690; 2012da1146·2012da1153; 2012da13637; 2013da 26746). The KSC has confirmed its precedents that banks must disclose the relevant information on the financial instruments so that the customer could decide whether to buy or not the instruments. The KSC stated that banks have to disclose the structure and detailed information on financial instruments. On the other hand, the KSC held that banks need not specifically disclose the detailed financial engineering formular in the KIKO contract. This paper deals with one of the most important and hotly-debated issues regarding the duty of disclose on the financial instrument. The main point is as follows: In 2009 the Korean Capital Market Act(the KCMA) adopted a section for the duty to disclose the information on the financial instrument. It is debatable whether the structure of the OTC derivatives has to be disclosed to the customerunder the KCMA. This paper concludes that the basic information on the structure of the contract has to be disclosed, whereas the detailed financial engineering formular need not be disclosed. In that sense, the author agrees on the KSC`s judgment.

추계적 변동성-점프 확산 모형에 기초한 원달러 현물환율 및 통화옵션시장의 동적 행태 분석

백인석 ( In Seok Baek ),강병진 ( Byung Jin Kang ) 한국파생상품학회(구 한국선물학회) 2011 선물연구 Vol.19 No.1

본 연구는 원달러 현물환율 및 원달러 장외통화옵션시장을 대상으로 Hestom(l993)의 추계적 변동성(stochastic volatility) 모형과 Bates(1996)의 추계적 변동성-점프(stochastic volatility with jumps) 모형의 성과를 분석하였다. 1997년 11월부터 2009년 7월 기간 동안의 일별 원달러 수익률 시계열 자료에 대해 EMM 방법을 적용한 결과, 수익률 모형으로서의 두 모형의 주요 특성은 다음과 같다. 첫째, 원달러 환율의 다이내믹스를 설명함에 있어 Heston 모형은 극히 저조한 성과를 보이는 것으로 나타난 반면, Bates 모형은 관측된 수익률의 주요 특성을 적정하게 적합할 수 있는 것으로 나타났다. 둘째, 원달러 수익률이 가지는 두터운 꼬리분포는 점프 요인에 의해서만 설명될 수 있는 반면, 분포의 비대칭성온 점프 요인 보다는 추계적 변동성 요인에 의해 모형화 되는 것이 보다 효율적인 것으로 나타났다. 다음으로, 2006년 l월부터 2010년 3월까지의 원달러 장외통화옵션의 일별 횡단면 자료를 이용해 옵션 가치평가에 대한 성과를 분석한 결과, 원달러 장외통화옵션시장에서 관찰되는 내재변동성 미소(implied volatility smile) 및 조소(smirk) 현상을 설명함에 있어 Heston 모형에 비해 Bates 모형이 현저히 우수한 성과를 가지는 것으로 나타났다. This paper assesses the empirical performances of the continuous-time models, including constant volatility (Black and Scholes. 1973), stochastic volatility (Heston, 1993). and stochastic volatility with jumps (Bates, 1996). in FX spot and option markets. To analyze the spot market, we used the EMM (Efficient Method of Moments) methods with daily KRW/USD spot exchange rates from November 1997 through July 2009. First, the empirical results find that the Bates model highly outperforms the other modelsin explaining the dynamic behavior of KRW/USD spot exchange rates. Second, we also find that the jump components carry out an important role in generating leptokurtic properties of KRW/USD spot exchange rates, on the other hand, stochastic volatilities perform a critical role in generating skewed properties of them. To analyze the option market, we examined the daily cross-sectional prices of the KRW/USD OTC options from January 2006 through March 2010. The empirical results from the option markets confirm that the Bates model clearly outperforms the other modelsin explaining the observed patterns of implied-volatility smile or smirk.

파생상품거래에서 계약의 해지와 재구조화

최문희(Choi, Moon Hee) 한국증권법학회 2014 증권법연구 Vol.15 No.1

대법원은 2013년 9월 26일 키코(KIKO) 사건에 관하여 전원합의체 판결을 선고하였다. 이 판결의 쟁점은 실로 다양하지만, 이 중 계약의 해지에 관하여 판시한 부분은 주목할 만하다. 대법원은 “계약은 준수되어야 한다”라는 고전의 법격언을 충실하게 따라서 KIKO계약의 해지도 원칙적으로 합의가 없는 한 가능하지 않으므로, 중도해지 가부와 정산금은 설명의무의 대상이 아니라고 보았다. 이것은 타당하다고 생각된다. 한편 자본시장법 및 동법 시행령에서는 계약의 해지는 설명대상으로 규정되어 있는데, 이에 의하면 계약의 해지 관련 사항을 어느 정도 설명하여야 하는지 분명하지 않다. 모범규준에 의하면 “계약기간 중 위험회피 대상의 변동에 대한 대응 또는 손실단절을 위한 중도해지 내지 반대거래가 불가능하거나 사실상 곤란할 수 있다”는 점을 설명하면 된다고 본다. 먼저 체결된 계약을 해지하고 중도청산하면서 그 중도청산금 상당액을 새로 체결하는 계약의 옵션 프리미엄에 반영하는 방식의 이른바 재구조화계약은 금융감독원의 파생상품 모범규준에서 금지하고 있다. 이러한 모범규준에 위반하였다고 해서 재구조화 계약 자체가 효력이 없는 것은 아니다. 재구조화계약은 손실이전거래이지만, 재구조화계약의 권유 자체가 적합성 원칙을 위반하였다거나 불법행위를 구성하는 것은 아니고, 적합성 원칙 위반 여부나 불법행위의 성립 여부는 고객의 재산상태, 거래목적, 거래 경험, 당해 계약에 대한 지식 또는 이해 정도 등 제반사정을 고려해서 판단되어야 할 것이다. This paper deals with one of the most hotly-debated issues regarding the Korean OTC Currency Option Product, Knock-in Knock-Out(“KIKO”) Contract. “Pacta sunt servanda,” which is Latin for “Agreements must be kept.,” is a basic principle of civil law. In its most common sense, the principle refers to private contracts, stressing that contained clauses are law between the parties, and implies that non-fulfilment of respective obligations is a breach of the pact. Needless to say, this rule should be applied to the financial contract, e.g. Korean Currency Option Contract, the KIKO Contract. The Korean Supreme Court(“KSC”) has recently decided the same rule in the 2011Da53683?2011Da53690 and three other cases. The KSC has confirmed its precedents that banks are required to explain the relevant information on financial instruments so that the customer could decide whether to buy or not a certain instrument. The KSC, however, stated that banks don’t have to explain whether the plaintiffs, counter-parties of the banks, are capable of terminating the KIKO contract, and how early termination amount should be. On the other hand, in 2009 the Korean Capital Market Act(“KCMA”) adopted a section of the duty to explain the important information on the financial instruments including “termination of contract.” This paper argues that while whether “termination of the contract” is possible or not should be explained under the KCMA, it’s not the duty of banks to explain the early termination amount. The Korean FSS(Financial Supervisory Service) recommends that the restructuring of the financial derivative contracts not be done under the Korean Model Best Practice Code on derivatives. This paper argues, however, the Code is best practice, and non-compliance of the code does not mean the restructuring of the contract should be void. Even if the banks recommend that the KIKO contract be unwinded and restructured to compensate the loss of the plaintiffs, that recommendation does not always mean the breach of the suitability rule.

TRF계약과 KIKO계약의 차이점에 관한 연구

박선종 ( Sunjong Park ) 안암법학회 2018 안암 법학 Vol.0 No.57

2013년 9월 대법원의 전원합의체 판결 이후, 나머지 KIKO 판결은 예외 없이 상고기각되었다. 대법원이 4개의 대표사안을 유형화하여 판단한 이후, 100건이 넘는 KIKO판결을 상고기각으로 종결한 것이 과연 타당한 것이었는가에 대하여 의문이 있다. 더욱이 KIKO상품의 약관성에 대하여 각급 법원이 예외 없이 부인하였다는 점에서 보면, 수많은 상고기각의 타당성에 관한 의문은 더욱 커진다. 필자는 KIKO 사안은 사실관계가 천차만별이므로, 구체적 사실관계에 따라 달리 판단될 필요가 있다는 점을 주장한 바 있다. 문제는 KIKO판결의 상고기각이 지속되면서, 은행들은 훨씬 악성의 파생상품들을 출시하여 투자자들을 현혹시켜 왔고, 분쟁이 발생하면 자신들에게 유리한 KIKO판결의 원용을 구하고 있다는 점이다. 은행의 주장은 자신들이 판매한 상품이 이름은 달라도 사실상 KIKO계약이라는 것인데, TRF는 그 중 대표적인 예이다. 이 글의 주목적은, KIKO계약에 대한 법원의 판단을 TRF계약에 그대로 적용하는 것이 타당하지 않다는 점을 밝히는 것에 있다. II에서는 대상사안 계약서의 내용을 중심으로 TRF상품의 핵심적인 내용 및 문제점을 찾아본다. III에서는 4가지 측면에서 TRF계약과 KIKO계약의 차이점을 살펴본다. 그 첫째는 계약의 목적이 헷지를 위한 것인데, 특정월의 일정조건이 성취되면 전체만기월의 헷지계약이 일괄적으로 해지되는 문제점에 관한 것이다. 둘째는 헷지계약의 목적은 환율변동의 우연성에 따르는 위험을 회피하기 위한 것인데 비하여, TRF계약은 ① 편면누계 조건, ② 행사환율 변동 조건, ③ 첫 달 4배수 조건 등을 도입하여 위험회피 기능을 위축시킴으로써, 계약의 본래 목적에 위배되는 모순적 구조로 설계되었다는 점이다. 셋째는 KIKO계약의 KO조건으로 환산비교한 결과 기업의 위험회피 가능구간 마저도 사실상 미미하다는 점이다. 더욱이 넷째로는 기업의 경우 가격변동의 전체구간을 통틀어서도 이익확정구간(헷지확정구간)이 없다는 문제점과 과도한 델타이다. IV장은 결론으로서 TRF계약에 대하여, KIKO 계약에 대한 법원의 판단이 수정 없이 적용되는 것은 타당하지 않다는 점을 주장한다. The Korean Supreme Court unanimously ruled the KIKO cases in favor of the defendants who are several banks in Korea. Afterwards, several defendants who had other OTC derivatives contract than KIKO, have insisted that their contract was KIKO, even though the name and the real contents were different. TRF(Target Redemption Forward) contract is the one of them. The main purpose of this paper is to prove that TRF contract has many differences compared to KIKO contract. In order to justify those, this paper scrutinizes several aspects of differences between KIKO and TRF in terms of structure and hedge function etc. Although, TRF contract and KIKO contract are the same in terms of OTC derivatives and 1 : 2 structured currency options, they are not identical contract in terms of several aspects. First, TRF has all months cancel clause whereas KIKO has each month cancel clause. Second, in terms of profit calculation, TRF uses one side sum, whereas KIKO uses both side sum. Third, TRF adopted variable strike price whereas KIKO adopted constant strike price. Fourth, TRF has redemption clause whereas KIKO has KO clause. In terms of triggering power of cancelling the contract, there are big differences. Sixth, TRF has the clause which triggers over hedge position, whereas KIKO has not. Therefore, in conclusion, this paper justifies each of those contract must not be regarded as the same one, in order to keep principles on financial consumer protection sound as well as appropriate.

키코판결과 설명의무

윤태영 한국민사법학회 2014 民事法學 Vol.66 No.-

The duty of explanation between contracting parties has been accepted in the academic circles in order to guarantee actual liberty of contract, although the Korean Civil Code does not have statutes that govern it. Nevertheless, there is few work providing an implication for defining the extent to which a duty of explanation can be applied. This shows how it is hard to find characteristics and circumstances of each individual contract cases that affect a scope of the explanation duty. As decided by the Korean Supreme Courts in November 2013, The KIKO(Knock-in Knock-out) case can be exemplified to shed light on definition of the explanation duty. KIKO’s contracts are the currency options designed to help companies hedge exchange rate risk associated with the appreciation of the Korean Won beginning in the middle of the 2000's. However, when the Korean Won depreciated precipitously against the dollar during the global financial crisis in 2008, companies that have signed the KIKO’s contracts filed lawsuits against the banks, claiming that the KIKO’s contracts are invalidated. In these cases, the duty of explanation was a big issue which involves difficult problems. For example, the issue about why business operators rather than consumers should be subject to explanation, and to what range should the bank explain about financial instrument. This study attempts to set a specific standard of explanation duty with recent four KIKO’s cases of the Korean Supreme Court. The Supreme Court recognized that the banks have high explanation obligation about KIKO because of complicated OTC derivative. According to the Supreme Court's decision, there is a finding that the plaintiff companies negotiated proper contract prices, had experience in forward exchange and foreign exchange risk insurance, and were actively involved in the negotiation of the execution time and contract terms with the banks; in this sense, thus, the banks did not violate the suitability rule or its explanation obligation. However, the question arises as to why the Supreme Court did not judge whether the banks explain the imbalanced risk of foreign exchange reserves and put-option or not. A financial instrument seller should not only provide information for the buyer, but also explain important factors on the risk in buyer’s view; and a key of explanation obligation in KIKO cases is the imbalanced risk of foreign exchange reserves between put-option.