통화스왑 입찰 관련 부당한 공동행위

조윤정 ( Yune Jung Cho ) 연세대학교 법학연구원 2023 연세법현논총 Vol.2 No.1

In 2016, the KFTC announced the results of its investigation into collusion in the Foreign Exchange swap (FX swap) market and Interbank CD (certificate of deposit) rates, a benchmark interest rate. According to the KFTC's Annual Report 2002 - 2022, most of the cases in the Financial Sector were related to “Terms and Conditions”. In particular, the financial sector was dominated by cases involving Credit Card Companies and Insurance Companies. In the Banking, there were mainly cases related to Terms and Conditions and illegal Cartel conduct related to various types of banking fees, as well as a few cases of unfair support practices, abuse of market-dominant position and M&A cases. The two cases in FX swap and CD rates fixing, are the first investigation into more specific cases of collusion in FX and Interest Rate Products in the Financial Sector in Korea. In the investigation of the CD rate fixing case, technical economic analysis showed that there was a disparity in the movement of interest rates during the uptrend and downtrend, but the KFTC ultimately dismissed the charges due to the lack of clear evidence of collusive agreement. However, in the case of FX swap price-fixing, conversations between bank employees about the transactions were used as evidence, and led to the imposition of fines. The investigation was subsequently expanded to investigate bid-rigging across foreign exchange derivatives, from FX swap to Forward and Cross Currency Swap. While the penalties related to FX Swap and Forward were minimal and did not result in Administrative Litigations, four cases related to currency swap bid-rigging have been decided by the courts to date, and two of which are awaiting a decision by the Supreme Court. In this article, I review the three Cross Currency Swap bid-rigging cases, the KFTC's enforcements, and the court decisions to date, and revisit the cases to better understand the financial products, especially derivatives, from the perspective of Antitrust law in the financial sector. Contrary to the common perception that illegal Cartel conduct occurs primarily in the non-financial sector, there are ample incentives for the unfair collusion, even in Financial Institutions, where price volatility can be high, customers have little information about the interbank market prices, and price competition through bidding is common. Similar to non-financial sector, the existence of incentives for Cartel is significant. However, the unique characteristics of the financial sector make it more difficult to detect and understand antitrust violations than in other industries. By reviewing actual cases, I would like to improve the understanding of antitrust activity by financial institutions and point the way to the right judgment.

KTBSwap를 이용한 CDS 신용구조화

김영성(Young Sung Kim),김희정(Heui Jung Kim),최종범(Jong Bom Chay) 한국경영학회 2013 Korea Business Review Vol.17 No.4

외국계 IB가 한국 국고채를 매입하는 경우 북핵문제나 한국 국가신용등급 하락 등의 국가위험(Country Risk)에 노출되므로 그 위험을 상당부분 헤지 할 필요가 있다. 따라서 이들은 한국 국고채의 부도라는 극단적인 상황이 발생할 경우 채권의 원금을 보장받을 수 있는 수단인 신용부도스왑(CDS)을 활용한다. 외국계 IB가 CDS의 보장매입자가 되어 국내 금융기관에게 보장매도자가 되어달라고 요청하며 국내 금융기관에게 3개월마다 원화 고정금리를 지급 하기로 한다. 이에 대한 반대급부로 국내 금융기관은 한국 국고채의 부도 발생 시에만 채권원금을 외국계 IB에게 지급할 의무가 생긴다. KTB(Korea Treasury Bond) Swap이라고 불리는 이 구조화 스왑은 국내 금융기관의 입장에서 볼 때 거의 발생할 확률이 희박한 국가부도 시에만 원금보장을 해주는 대신, 3개월마다 고정금리 수입을 누릴 수 있기 때문에 매력적인 계약이 된다. KTB Swap은 국고채(KTB) 금리가 통화스왑(CRS) 금리보다 더 높다는 점을 활용한 금리스왑임과 동시에, 정부에 대한 신용 보장매도거래를 할 수 있는 차익거래 형태의 구조화 파생상품이다. 본 사례연구를 통하여 발행자의 입장에서 헤지구조를 살펴보고, 투자자의 입장에서 거래유인을 분석한다. When a foreign investment bank purchases Korea Treasury Bonds (KTBs), it is naturally exposed to country risk specific to Korea such as nuclear threats from North Korea or a downgrade in sovereign credit rating. Accordingly, the foreign investment bank needs to hedge such country risk. Credit default swap (CDS) contract is an efficient hedging device because the foreign investment bank can recover the par values of KTBs even in the event of sovereign default. Recently, some foreign investment banks operating in Korea asked Korean financial institutions to be protection sellers of Korean sovereign CDSs. In return for this credit protection, the foreign investment banks offered to pay a fixed interest rate denominated in Korean currency (KRW) every three months. This structured swap, commonly referred to KTB swap, is a means of riskless arbitrage from the viewpoint of Korean financial institutions because Korea Treasury Bonds will never default unless there is a risk of an all-out war. KTB swap exploits anomalous phenomenon in which KTB rates are higher than CRS rates. We examine the hedge structure from the viewpoint of issuers of KTB swap, and also analyze incentives of investments from the viewpoint of investors.

파생상품계약의 중도청산과 손익귀속시기

오종문 한국상업교육학회 2017 상업교육연구 Vol.31 No.1

본 연구에서는 파생상품계약의 중도청산손익의 귀속시기가 문제가 된 사례를 검토하고, 여기에 적용할 수 있는 미국의 세법규정을 세법조항과 관련 문헌을 통해 살펴보았다. 연구의 목적은 미국의 파생상품 과세제도와 비교하여 우리 세법의 미비점과 개선사항을 확인해 보기 위한 시도이다. 첫째 사례는, 외국은행 국내지점이 파생상품계약을 중도청산하여 손실을 실현하고 경제적 효과가 유사한 신규 파생상품계약을 체결한 거래이다. 과세당국은 해당 거래의 경제적 실질이 없다고 보고 실현된 손실의 손금을 부인하였으나, 조세심판원의 판단은 달랐다. 이 사건에 대해서는 미국 세법에 명문화되어 있는 위장매매(wash sale)규정의 적용가능성을 검토하였다. 해당 규정의 해석에 따르면 위장매매규정은 쉽게 벗어날 가능성이 높다. 그러나 미국 세법은, 딜러의 파생상품에 대해서는 이미 시가평가(mark-to-market)로 과세하고 있으므로, 이 사례의 납세자가 실현주의원칙을 남용하여 과세시기를 조절할 수 있는 가능성은 봉쇄되어 있다. 우리나라도 딜러인 금융기관의 파생상품에 대해서는 시가평가제도의 도입을 검토할 수 있을 것으로 본다. 둘째 사례에서는, 일반법인이 달러화를 차입하고 통화스왑을 이용한 헤지를 통해 원화 고정금리를 조달한 것과 동일한 효과를 보고 있다. 이 법인은 기존 통화스왑계약을 중도청산하고 신규 통화스왑계약을 체결함으로써 평가이익을 실현이익으로 전환하고, 실현이익만큼 자금을 조달하였다. 실현된 평가이익의 과세시기에 대해, 행정해석은 위험헤지가 계속 유지되는 만큼 해당이익을 청산된 계약의 당초 만기까지 이연하여 인식하도록 회신하고 있다. 이러한 해석이 우리나라 세법규정과 기존 판례에 비추어 타당한지는 의문이다. 미국 세법에는 헤지대상거래와 헤지거래를 하나의 거래로 통합(integration)하여 인식하는 규정이 있고, 이에 따라 헤지거래가 중도청산되면 원본거래도 간주처분됨으로써 헤지거래의 이익과 원본거래의 손실이 함께 인식된다. 우리 세법에 없는, 미국의 세무상 헤지회계규정이나 통합규정은 우리 세법의 정비에 많은 참고가 될 수 있을 것이다. 이 밖에, 일일정산되는 제도권 선물 등에 대한 시가평가과세 규정이나, 의무적으로 한국거래소를 통하여 청산하고 있는 이자율스왑계약의 개시수수료의 세무상 취급에 대해서도 미국의 제도를 참고할 수 있을 것으로 본다. This paper examined cases in which tax timing of gain or loss from early termination of derivatives became an issue, and discussed the provisions of the United States tax law that could be applied to them. This paper therefore attempts to find out the deficiencies and improvements of Korea's tax laws, compared to the US taxation of derivatives. In the first case, a domestic branch of a foreign bank terminated built-in-loss derivative contracts before maturity and entered into new contracts with similar economic effects. Tax authorities disallowed the deductions of the reported loss, asserting that the transactions were shams and had no economic substance. Tax Tribunal however, did not accept the claims of the tax authorities. For this case, we investigated the applicability of wash sale rule which is stipulated in the United States tax law. According to the applicable precedents and regulations, it is uncertain whether or not it is allowed as a deduction in the US. However, since a dealer in securities, including derivatives, must compute its income using the mark-to-market method of accounting, it is impossible in the US for the taxpayer of this case to abuse the normal realization-based taxation principles. It is recommended for Korea to consider the introduction of a mark-to-market system in the case of the dealer in financial derivatives. In the second case, a corporation managed foreign currency risk with respect to a US dollar borrowing by entering into an currency swap. Consequently this had the same effect as borrowing Korea won at a fixed interest rate. The taxpayer terminated the currency swap before maturity and on the same day, entered into a new swap contract with the same counterparty. As a result, the corporation realized the built-in gain on the hedging transaction which had the effect of raising cash from the swap bank. For the tax timing of the realized gain, administrative interpretation concluded that the realized gains were to be deferred until the original expiry of the hedging currency swap was reached. This interpretation is questionable in light of precedents of Korea tax law which have disregarded the hedging integration transaction in the past. Under tax integration rules of the US tax law, a qualifying hedged item and hedging transaction are integrated on a synthetic basis. In such a case, if a taxpayer disposes one or both of the components of the hedging transaction, the taxpayer is treated as having disposed of the synthetic instrument for its market value. The provisions of tax hedge and integration rules of the United States, which are not included in existing Korea tax law, will provide sufficient reference to the development of Korea's tax law. In addition, mark-to-market tax provision for regulated futures, and tax treatment of NPCs with upfront payment which are cleared by registered clearing house will be helpful to the improvement of our tax laws.

한국의 통화스왑협정이 교역 흐름에 미치는 영향에 관한 연구

강보경 ( Kang Bo Kyung ),정성욱 ( Chung Sung Wook ),박갑제 ( Park Kapje ) 경남대학교 산업경영연구소 2021 지역산업연구 Vol.44 No.2

지난 몇 년 전부터 진행된 경기침체와 최근의 코로나 팬데믹은 한국경제에 심각한 충격을 미치고 있다. 경제성장률은 작년 대비 0.32% 증가에 그쳐 1997년 동아시아 외환위기 이후 가장 낮은 상승률을 기록하였다. 국민소득 증가율도 2년 연속 하락하며 소비진작에 악영향을 주었다. 가계와 기업은 미래 불확실성으로 소비심리를 더욱 위축시켰고 정부는 경기부양을 위해 정부지출을 과도하게 늘였다. 성장 동반 없이 물가 상승과 부동산 버블을 초래하였고 계속되는 재정 확대와 조세부담 증가는 기업 투자와 가계 가처분소득 하락을 가져와 경제·금융위기 위험이 고조되고 있다. 이런 상황에서 한국은 통화스왑협정을 확대하여 미래 도래할 위기를 대비할 필요성이 요구된다. 이것은 국가 간 강건한 금융협력체계를 구축하여 유사시 상호 유동성을 신속히 공급받는 잠재적 통로를 확보하는 것으로 그 의의를 가질 수 있다. 본 논문은 1999년부터 2020년 까지 한국과 통화스왑협정 체결국의 패널데이터를 바탕으로 협정규모가 교역 흐름에 미치는 순효과를 임의효과모형과 고정효과모형으로 추정하였다. 한국은 통화스왑협정 체결국과 협정규모가 1% 증가할 경우 16.99~17.24% 순교역증대효과가 발생되는 것으로 분석되었다. The downturn and COVID-19 had a significant shock on the Korean economy over the last few years. The growth rate just grew 0.32 percent year on year which was the lowest increase since Asian financial crisis in 1997. The increase rate in national income fell two years in a row and then had a serious damage boosting spending as well. Both consumer confidence of households and companies shrank dramatically due to uncertainty about the future. The Korean government has gone on a government expenditure spree for economic revitalization. It has brought about an increase in prices and property bubble so that corporate investment and household disposable income has fallen because of sustained extra spending and the burden of high taxes. As a result, Korea is facing an economic crisis in this situation. It is necessary that Korea enters in bilateral and multilateral currency swap agreement with growing number of countries in order to be ready for a financial crisis. The reason for this is that currency swap agreement among countries build financial cooperation system which is able to offer mutual liquidity one another to manage a financial crisis. This paper empirically examines that the net trade effect of currency swap agreement of Korea using panel data analysis on fixed effect estimation and random effect estimation. Korea can capitalizes on increasing its net trade effect by 17.24 percent on average fixed effect estimation on account of currency swap agreement.

Market Structure, Bargaining, and Covered Interest Rate Parity

Byoung-Ki Kim(김병기) 한국무역학회 2009 國際學術大會 論文集 Vol.2009 No.12

이 논문은 기존 연구에서 시도되지 않았던 시장구조(Market Structure) 및 내쉬협상(Nash Bargaining)에 기반한 이익배분 모형을 구축하여 통화스왑(CRS) 및 국채 금리, 나아가 재정거래 차익의 결정요인을 이론적으로 분석하였다. 일반적인 무위험평형조건과 달리 동 모형하에서는 정책금리 인상, 해외금리 상승, 국내은행의 협상력(Bargaining Power) 증대 등에 대한 외자유입, 국채금리, CRS금리의 반응을 수리적으로 분석하는 것이 가능하다. 아울러 불완전경쟁시장에서 무위험금리평형 이탈이 장기간에 걸쳐 나타나는 이유를 이론적으로 제시할 수 있다. 본 논문의 주요결과를 살펴보면 다음과 같다. 우선 재정거래 유인이 존재하더라도 외국은행들은 시장지배력(Market Power)을 이용하여 양의 수익을 달성할 수 있도록 제한된 규모의 외자를 도입하는 것으로 분석되었다. 또한, 정책금리 등 외생변수(exogenous variable)가 변동할 경우 균형 외자유입액, 국고채금리 및 CRS금리는 다음과 같이 반응하는 것으로 나타났다. (ⅰ) 국내은행의 협상력이 증대되면 CRS금리가 상승 (ⅱ) 해외금리가 상승하면 외자유입액은 감소하고 국고채금리는 해외금리 변동폭보다 작게, CRS금리보다 작게 상승 (ⅲ) 정책금리가 상승하면 외자유입액은 증대되고 국고채금리는 정책금리 상승폭보다 작게, CRS금리보다 크게 상승 (ⅳ) 현물환율이 상승하면 외자유입액이 증대되고 선물환율이 상승하면 외자유입액이 감소 (ⅴ) CRS시장에 참여하고 있는 외국은행의 숫자가 증가할 경우 균형외자유입액은 증대되며 국고채금리와 CRS금리는 하락 특히 본 논문에서는 시장이 보다 경쟁적일수록 국고채금리와 CRS금리가 무위험금리평형조건에 접근하며, 정책금리 조정이 국고채금리에 미치는 영향의 크기가 점차 감소하면서 통화정책의 파급효과도 줄어드는 것으로 분석되었다. The validity of the covered interest rate parity is analyzed under an environment in which foreign banks exercise market power in the government bond and the cross-currency swap markets and bargain with domestic banks over the surplus. To do so, this paper presents a simple model that incorporates the market structure of government bond and cross-currency swap markets, and bargaining between domestic and foreign banks. The bargaining solution represents an equilibrium relationship between the government bond and cross-currency swap rates. Foreign banks' profit/surplus maximization, given the bargaining solution, generates equilibrium foreign inflows, government bond and cross-currency swap rates in the model. This paper proves that the covered interest rate parity does not hold in monopolistic or oligopolistic environments. Furthermore, this paper illustrates some comparative statics results, which may be interesting to policy makers, including the responses of equilibrium foreign inflows, government bond and cross-currency swap rates with respect to adjustments of the policy rate. This paper also traces out how these comparative statics change in magnitude as the markets are populated by more and more foreign banks so that the markets become more and more competitive. This paper shows that the equilibrium government bond and cross-currency swap rates approach the condition imposed by covered interest rate parity as the markets get more competitive, and indeed in the limit, i.e, in perfect competition, the covered interest rate parity holds under some conditions.

Market Structure, Bargaining, and Covered Interest Rate Parity

Byoung-Ki Kim(김병기) 한국무역학회 2009 한국무역학회 국제학술대회 Vol.2009 No.12

이 논문은 기존 연구에서 시도되지 않았던 시장구조(Market Structure) 및 내쉬협상(Nash Bargaining)에 기반한 이익배분 모형을 구축하여 통화스왑(CRS) 및 국채 금리, 나아가 재정거래 차익의 결정요인을 이론적으로 분석하였다. 일반적인 무위험평형조건과 달리 동 모형하에서는 정책금리 인상, 해외금리 상승, 국내은행의 협상력(Bargaining Power) 증대 등에 대한 외자유입, 국채금리, CRS금리의 반응을 수리적으로 분석하는 것이 가능하다. 아울러 불완전경쟁시장에서 무위험금리평형 이탈이 장기간에 걸쳐 나타나는 이유를 이론적으로 제시할 수 있다. 본 논문의 주요결과를 살펴보면 다음과 같다. 우선 재정거래 유인이 존재하더라도 외국은행들은 시장지배력(Market Power)을 이용하여 양의 수익을 달성할 수 있도록 제한된 규모의 외자를 도입하는 것으로 분석되었다. 또한, 정책금리 등 외생변수(exogenous variable)가 변동할 경우 균형 외자유입액, 국고채금리 및 CRS금리는 다음과 같이 반응하는 것으로 나타났다. (ⅰ) 국내은행의 협상력이 증대되면 CRS금리가 상승 (ⅱ) 해외금리가 상승하면 외자유입액은 감소하고 국고채금리는 해외금리 변동폭보다 작게, CRS금리보다 작게 상승 (ⅲ) 정책금리가 상승하면 외자유입액은 증대되고 국고채금리는 정책금리 상승폭보다 작게, CRS금리보다 크게 상승 (ⅳ) 현물환율이 상승하면 외자유입액이 증대되고 선물환율이 상승하면 외자유입액이 감소 (ⅴ) CRS시장에 참여하고 있는 외국은행의 숫자가 증가할 경우 균형외자유입액은 증대되며 국고채금리와 CRS금리는 하락 특히 본 논문에서는 시장이 보다 경쟁적일수록 국고채금리와 CRS금리가 무위험금리평형조건에 접근하며, 정책금리 조정이 국고채금리에 미치는 영향의 크기가 점차 감소하면서 통화정책의 파급효과도 줄어드는 것으로 분석되었다. The validity of the covered interest rate parity is analyzed under an environment in which foreign banks exercise market power in the government bond and the cross-currency swap markets and bargain with domestic banks over the surplus. To do so, this paper presents a simple model that incorporates the market structure of government bond and cross-currency swap markets, and bargaining between domestic and foreign banks. The bargaining solution represents an equilibrium relationship between the government bond and cross-currency swap rates. Foreign banks' profit/surplus maximization, given the bargaining solution, generates equilibrium foreign inflows, government bond and cross-currency swap rates in the model. This paper proves that the covered interest rate parity does not hold in monopolistic or oligopolistic environments. Furthermore, this paper illustrates some comparative statics results, which may be interesting to policy makers, including the responses of equilibrium foreign inflows, government bond and cross-currency swap rates with respect to adjustments of the policy rate. This paper also traces out how these comparative statics change in magnitude as the markets are populated by more and more foreign banks so that the markets become more and more competitive. This paper shows that the equilibrium government bond and cross-currency swap rates approach the condition imposed by covered interest rate parity as the markets get more competitive, and indeed in the limit, i.e, in perfect competition, the covered interest rate parity holds under some conditions.

Extended Market Drivers of CIP Deviations In Korea’s Cross-Currency Swap Markets

Favour O. Olarewaju,Abdulmuttolib B. Salako 한국재무학회 2020 財務硏究 Vol.33 No.4

차익거래와 스왑 스프레드의 역전 현상

원승연 ( Seung Yeon Won ) 한국파생상품학회 2010 선물연구 Vol.18 No.1

The Macroprudential Measures’ Effects on the Korean Foreign Exchange Market

허인 한국계량경제학회 2023 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.34 No.3

Although capital market openness is a virtue to pursue, there are many reasons to control capital flows. Korean monetary authorities employed macroprudential measures after the global financial crisis (GFC). They intend to avoid the considerable accumulation of foreign capital inflows, which potentially causes a financial crisis in an economic downturn. Korean macroprudential measures enlengthened the maturity of foreign currency debts. This paper analyzes whether the macroprudential measures limit the supply of USD enough to change the price variables. The macroprudential measures did not cause the depreciation of the Korean won, and the Korean won’s sensitivity to market volatility did not rise either. Although the cost of USD funding increased after the macroprudential measures, the F/X exchange rates did not seem to react. The interest rate arbitrage opportunity did not increase after implementing macroprudential measures. Because the investors have not fully explored the interest arbitrage opportunity, the increased USD funding cost of macroprudential measures did not show up as the increased gap between the Korean won bond interest rate and cross-currency rate. Korean monetary authorities introduced the macroprudential measure when capital inflows resumed after the GFC. The increased cost of USD funding did not reverse the capital inflows trend, only restructuring them.

카타르의 대(對)터키 경제협력 현황과 한계

정혜선(Hye-Sun Jung) 한국이슬람학회 2022 한국이슬람학회논총 Vol.32 No.2

The bilateral relationship between Qatar and Turkey began as a political and military partnership and expanded to the economic sector. As a result, the trade volume between the two countries has grown and foreign direct investment has also increased. The bilateral trade volume was about $1.87 billion in 2020, which was 69 times higher than in 2000, 20 years ago, and 1.8 times higher than in 2010, 10 years ago. Meanwhile, Turkey is currently facing an economic crisis as the value of the Turkish Lira has continued to decline due to President Erdogan's unprecedented monetary policy. Nevertheless, Qatar continues its economic cooperation by extending the currency swap agreement with Turkey. This study discusses the limits of economic cooperation between the two countries based on the background and achievements to answer the question of whether Qatar-Turkey economic cooperation can be expanded in the future.