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.

Predicting the Korean Won-U.S. Dollar Exchange Rate Using Cross-currency and Interest Rate Swap Rates

Jinyong Kim,Yongsik Kim 한국재무학회 2025 재무연구 Vol.38 No.2

A recent study by Lee and Shin (2022) suggests that changes in the swap basis, defined as the difference between the cross-currency and interest rate swap rates, can predict the one-week ahead changes in the Korean Won-United States Dollar exchange rate. In this study, we propose using the cross-currency and interest rate swap rates as separate predictors, which corresponds to the unrestricted version of the swap basis model. The predictive power of the swap basis may not be stable depending on foreign exchange market and economic conditions, in which case the unrestricted model can better predict exchange rate changes. The unrestricted model shows superior performance in both in-sample and out-of-sample tests, and this result is robust when controlling for potential contemporaneous effects of the swap basis and other instruments, as the predicted variable instead of the original FX return. Our results are also consistent when we use daily and monthly data. In a monthly horizon, the cross-currency swap rate loses its predictive power and the interest rate swap rate tends to be a dominant predictor, which again makes the unrestricted model a better predictive model.

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

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 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.

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.

The Politics of Rescuing the World’s Financial System

J. Lawrence Broz 한국국제정치학회 KJIS 2015 The Korean Journal of International Studies Vol.13 No.2

During the financial crisis of 2007-10, the Federal Reserve (Fed) served as a global lender of last resort by establishing currency swap agreements with 14 foreign central banks, including several in East Asia. These agreements were controversial internationally because the Fed selectively established swaps with some central banks and not others, raising concerns about access to the Fed’s dollar-creating facilities. Within the United States, the swap agreements were controversial because they appeared to be a new and unauthorized kind of foreign aid to bankers. I analyze both the Fed’s decision to establish swap lines with certain central banks and the domestic political response to these agreements. I find that the Fed was more likely to establish swaps with central banks whose jurisdictions were important to U.S. commercial banks, suggesting that the Fed discriminated in ways that served U.S. interests. To analyze the domestic reaction to the foreign currency swaps, I examine voting in the House of Representatives on a proposal known as “Audit the Fed” that would open the Fed’s relations with foreign central banks to scrutiny and reduce the Fed’s independence from Congress. I find that campaign contributions from large commercial banks to representatives were negatively correlated with voting “yes” on this proposal. I also find that right-wing representatives were much more likely to support this proposal than left-wing representatives, which suggests that new congressional coalitions are forming on the role of the Fed in the (global) economy.

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

파생상품계약의 중도청산과 손익귀속시기

오종문 한국상업경영학회(구 한국상업교육학회) 2017 상업교육연구 Vol.31 No.1