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(보조정보5)현물환 내재화비율에 대한 추가 설명

자본이동분석팀 (02-759-5768) 2019.05.28 2311
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보조정보 5번인 현물환 내재화 비율을 작성하는 방법에 대한 추가 설명입니다.

(아래 BIS측에서 온 메일을 첨부)


5번을 작성하시다 보면 Total Customer Spot Turnover 금액이 Sheet C의 F열, G열, I열의 금액의 합보다 크지 않아야 한다고 메시지가 뜨게 됩니다. 그 이유는 Total Customer Spot Turnover 금액은 총 현물환 거래금액이 아니라, 1)거래상대방이 파악이 되면서 2)Electronic 방법으로 거래한 금액이기 때문입니다. 즉, 5번에서 요구하는 것은 Sheet C의 F열, G열, I열의 금액의 합에 대한 내재화비율입니다.



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The validation message informs that for question 5 of the complementary information on internalisation of FX spot turnover, the total customer spot turnover reported under item “a” is expected to be smaller than F16 + G16 + I16 reported in table C.

 

So the total customer spot turnover to be considered under “a” <

Electronic – direct – single-bank proprietary trading system

+ Electronic – direct – other

+ Electronic – indirect – disclosed venues reported in table C

 

The internalisation of trades is a process whereby reporting dealers offset risk arising from client transactions against risk arising from transactions with other clients. The prerequisite for the computation of internalisation ratios is the full identification of counterparties, which is not possible for transactions executed via anonymous venues.

 

This explains why column H (electronic – indirect – anonymous venues) is excluded. The definition on page 23 of the reporting guidelines (see screenshot below) explains that total customer spot turnover to be considered under “a” corresponds to the passive trading executed via platforms where the identity of the counterparty is disclosed pre-trade either by name or by a tag enabling the dealer to recognise a future quote from the same counterparty.

 

We hope this answer helps you. Please do not hesitate to contact us again if we can be of any further assistance.


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