외환 보유량은 ppt

외환 보유고 관리.
외환 보유고 관리에 관한 질문은 많은 중앙 은행들이 직면하고있는 여러 가지 이슈들 사이에서 두드러진 주목을 얻게 될 것입니다. 준비금의 양과 형태에 관한 기본적인 질문은 새로 설립 된 중앙 은행, 특히 구 소련 국가에서 주목할 만하다. 대부분의 다른 이전의 중앙 계획 경제 및 많은 개발 도상국에서. 중앙 은행은 환율 변동성의 증가와 환율 변동에 대한 준비의 영향을 고려할 필요가있다. 보다 일반적으로 민간 국제 자본 흐름 규모의 현저한 증가와 3 대 국제 예비 통화 (달러, 도이체 마크 및 엔)의 환율 변동에 따른 최근의 큰 변동은 조심성의 중요성을 강조합니다 예비 수요와 구성의 평가. 이 보고서의 목적은 외환 보유고 관리의 두 가지 기본 측면에서 고려해야 할 주요 요인, 즉 어떤 금액과 어떤 형태의 준비금을 보유해야 하는지를 검토하는 데 있습니다. 대부분이 논문은 학술 연구의 증류 (이론적 및 경험적) - 매장량의 수요와 통화 구성에 관한 내용으로 구성되어있다. 이러한 분석의 중요한 한계점은이 논문의 초점은 주로 외 국 변수에 중대한 영향을 미칠 수 있거나 자신의 통화가 중요한 국제 예비 자산 또는 국제 거래의 교환 매체. 또한이 보고서는 유럽 환율 메커니즘과 같은 특정 환율 전략에 의해 제기 된 특별한 질문을 다루지 않습니다. 이 메커니즘을 뒷받침하는 구체적인 제도적 장치 - 특히 공동 개입 및 광범위한 상호 여신 시설에 대한 조항 - 이이 보고서의 범위를 훨씬 벗어나는 문제를 제기합니다.
이 논문의 다음 절에서는 보유 수요에 대한 세 가지 주요 동기 인 거래 수요, 개입 관련 또는 예방 적 수요, 세 번째, 부와 관련된 또는 포트폴리오 수요를 밝힙니다. 이 중 예비 보유에 대한 사전 예방 적 수요는 일반적으로 대부분의 국가에서 가장 중요한 것으로 간주됩니다.
섹션 III에서 원하는 매장 수준 또는 적절한 수준의 매장량에 영향을 미치는 주요 요인을 조사합니다. 여기에는 환율 체제의 성격, 경제의 외부 노출, 외부 지불 불균형에 대한 조정 또는 사적 재원 조달에 대한 경제의 유연성, 국제 무역 및 자본 흐름에 대한 제약의 정도, 그리고 마지막으로 예비 보유. 보전 수준과 지불 대란 소요의 관계에 관해 논리적으로 보았을 때, 준비금 비율을 현행 계정 변동성에 비례하여 예비비 필요성을 평가하거나 적정성을 확보하는 것이 논리적으로 더 적절하다고 주장한다 보다 보편적으로 사용되는 수입의 비율의 기초. 이 문제에 대한 증거는 1979 년부터 1991 년까지 60 개국의 그룹에 대해 예비 수준 설정에 대한 대안적인 "엄지 손가락 규칙"을 따르는 것의 의미와 함께 조사됩니다.
섹션 IV는 준비금의 통화 구성 문제에 초점을 맞 춥니 다. 평균 분산 포트폴리오 접근 방식과 트랜잭션 기반 접근 방식의 두 가지 전통적인 접근 방식이 논의됩니다. 간단한 경험적 테스트는 1975-92 기간 동안 산업 또는 개발 도상국에서 이러한 접근법 중 하나가 실제적으로 지배적이라는 주장을지지하지 않습니다.
또한 최적의 준비금 포트폴리오를 선택할 때 준비금 사용의 타이밍을 고려한 통화 합성 준비에 대한 대안적인 개입 지향적 접근법을 설명합니다. 1988-92 기간에 걸친 자료는 다양한 산업 국가에 대한이 접근법의 잠재적 함의를 설명하기 위해 사용됩니다.

예약을위한 실시간 수요 곡선 - PowerPoint PPT 프리젠 테이션.
예비를위한 실시간 수요 곡선. NEPOOL 시장위원회 회의 01/24/2001 M. S. DePillis. 기본 개념. 가격은 입찰 공급 곡선과 수요 곡선의 교차점에 의해 결정됩니다. 마지막 입찰자가 수요 곡선 아래에 있으면 P는 수요 곡선에서 나온다.
파워 포인트 슬라이드 쇼 '매장량에 대한 실시간 수요 곡선'- drago.
다운로드 정책 : 웹 사이트의 콘텐츠는 귀하의 정보 및 개인적인 용도를 위해있는 그대로 제공되며 작성자의 동의없이 다른 웹 사이트에서 판매 / 라이센스 / 공유 할 수 없습니다. 다운로드하는 동안 어떤 이유로 프레젠테이션을 다운로드 할 수없는 경우 게시자가 해당 파일을 해당 서버에서 삭제했을 수 있습니다.
예비를위한 실시간 수요 곡선.
NEPOOL 시장위원회 회의.
가격은 입찰 공급 곡선과 수요 곡선의 교차점에 의해 결정됩니다.
마지막 입찰자가 수요 곡선 아래에 있으면 P는 수요 곡선에서 나온다.
오래된 전직 시장의 결함은 여전히 ​​존재합니다.
마지막 입찰가 & gt; 디.
마지막 입찰가 & lt; 디.
아직도 지정과 함께 작동합니다.
높은 입찰가가 지정되거나 지불되지 않았습니다.
입찰자 D가 지불되지 않았습니다.
변화 1 : 수요 곡선은 TMOR의 전체 범위에 적용됩니다.
변경 2 : & quot; 대상 & quot; 수요 곡선 곡선은 UC 조건에 따라 변경됩니다.
불연속성 문제를 해결합니다.
OP-4의 입찰가 결정 가격은 경쟁 시장 가격이 아니라는 사실을 인정합니다.
1/2 2 차 비상 사태.
OP-4 지점을 E (ECP)로 설정하는 것으로 간주됩니다.
1/2 2 차 비상 사태.
초과 가격 (OP-4 상한선 또는 상한선에 항상 정의 됨).
실제 실시간 원천 징수로 보상을받습니다 (수요 곡선이 높아짐).
t1에서 TMOR = E (ECP) = 300 달러, OP-4에서 TMOR = $ 40 t2 일 수 있습니다.
운영과의 토론 결과.
Unit Commitment practice를 나타냅니다.
목표 지점.
목표 지점.
1 단계 이전에는 공동 최적화가 없습니다.
TMOR만의 가격 계단식.
약 8 개월 동안 만 적용됩니다.
SPD의 주요 재 작업이 될 것입니다.
위험을 줄이기 위해 상당한 테스트가 필요할 것입니다.
위험 / 혜택 비율이 만족스럽지 않습니다.
수요 곡선에 의해 결정된 TMOR 가격은 TMNSR 및 TMSR의 가격 바닥입니다.
TMOR은 낮은 품질의 재화에 대해 지불 할 의사가 있음을 나타냅니다.
TMNSR 가격이 높은 현재 시장 사례는 우연한 경우를 제외하고는 경제적 가치를 나타내지 않습니다.
TMNSR이 TMSR로 케스케이드되어야한다고 주장하는 것은 어렵다.
운영은 여전히 ​​수요 곡선을 사용하기로 약속했습니다.
첫 번째 단계는 NY 공유 협정이 단위 약속과 목표 지점에 미치는 영향을 관찰하는 것입니다.
장기적인 신뢰성이 정의되고 유지 될 것을 요구할 것입니다.
개발중인 백서, 초안.
"목표" 의 실시간 수요 곡선은 위에 기술 된 과정에서 도출 될 수있다.
수요 곡선이 측정 가능하고 현저한 신뢰성 저하를 초래할 경우 조치 계획을 수립해야합니다.
규칙 작성을 아직 준비하지 않았습니다.
변경 사항을 반영하기 위해 Unit Commitment System 운영 절차를 수정해야합니다.
가격은 다음과 같이 계산됩니다.
모든 관찰은 TMOR 결핍을 가지고있다.
모든 관찰은 시장이 시작된 이래로 5 분간의 데이터에서 나온 것입니다.
모든 관측은 5 분 에너지 가격으로 제한됩니다.

예비 - PowerPoint PPT 프리젠 테이션.
보호 구역. 제임스 마일스, FSA, MAAA 2006 년 10 월 5 일. 예비 란 무엇입니까? 현재의 수입은 미래의 조건부 지불을 위해 따로 보관되거나 예약됩니다. 한 기간의 수익을 다른 기간의 수익 및 비용과 일치시키는 회계 도구. 추정.
예비품에 대한 관련 검색.
PowerPoint '예약'에 대한 슬라이드 쇼.
다운로드 정책 : 웹 사이트의 콘텐츠는 귀하의 정보 및 개인적인 용도를 위해있는 그대로 제공되며 작성자의 동의없이 다른 웹 사이트에서 판매 / 라이센스 / 공유 할 수 없습니다. 다운로드하는 동안 어떤 이유로 프레젠테이션을 다운로드 할 수없는 경우 게시자가 해당 파일을 해당 서버에서 삭제했을 수 있습니다.
제임스 마일스, FSA, MAAA.
현재의 수입은 미래의 조건부 지불을 위해 따로 보관되거나 예약됩니다.
한 기간의 수익을 다른 기간의 수익 및 비용과 일치시키는 회계 도구.
보험 회사의 경우 준비금은 대차 대조표의 주요 항목입니다.
준비금의 작은 변경이나 오류는 수입에 큰 영향을 줄 수 있습니다.
보험 계리사가 매장량을 계산합니다!
예비 보유액의 변화 : 72,169,080 달러.
이 예에서 준비금의 0.1 % 오차는 당기 순이익을 없앨 것입니다.
미국 생명 보험 회사는 모든 재무보고 기간마다 모든 정책에 대해 최소 3 가지의 예비 가치를 계산합니다.
주 보험 부서가 지정한 방법을 사용하는 법정 예비금.
재무 회계 기준위원회 (FASB)가 지정한 방법을 사용하여 GAAP 적립금
Internal Revenue Code에 명시된 방법을 사용하여 세금 보유.
6 개월 자동차 보험료는 $ 600입니다.
보험금을 우편으로 보낸 후 보험 회사는 600 달러의 현금을 가지고 있습니다.
회사는 매월 소득 명세서에 비례 부분을 제시하고자합니다.
회사는 미경과 보험료 적립금을 부채로 설정합니다.
자동차 보험의 6 개월 동안 교통 사고가 발생합니다. 다른 차에 대한 추정 된 손상은 1,350 달러입니다.
여섯 번째 달이 다가 감에 따라 다른 운전자가 보험 회사와 합의하지 못했습니다.
보험 회사는 사고가 발생한 달의 손익 계산서에 청구가보고되기를 원합니다.
회사는 청구 준비금을 책임으로 설정합니다.
귀하는 10 년 정기 생명 보험을 구입합니다.
귀하는 매년 170 달러의 보험료를 지불하는 것에 동의합니다.
10 년 동안 사망하면 수혜자는 10 만 달러를 받게됩니다.
회사는 보험금을 부채로 설정해야합니까?
미래 혜택의 현재 가치.
미래 보험료의 현재 가치
2 년 임기 생명 보험.
사망 혜택은 $ 100,000입니다.
보험료는 매년 115 달러입니다.
연간 이자율은 4 %
의 사망 확률.
미래 혜택의 현재 가치.
미래 보험료의 현재 가치
첫 번째 보험료 납부 후 즉시 혜택 준비금을 계산하십시오.
보험료는 매년 초에 지급된다고 가정하십시오.
사망 혜택은 매년 말에 지급된다고 가정합니다.
평가 일 이후 각 급여 지급의 기대 가치는 평가 일의이자로 할인됩니다.
[100,000 × 0.0011] / (1.04)
+ [100,000 × (1 - 0.0011) × 0.0012] / ((1.04) ^ 2)
평가 일 이후의 각 프리미엄은 평가 일까지 할인됩니다.
이 예에서는 오직 하나의 프리미엄 만 지불 할 것입니다.
115 × (1- 0.0011) / (1.04) = 110.46.
216.59 - 110.46 = 106.13.
$ 106.13은 예상 급여 지급을 위해 예약되어 있습니다.
사망자가없는 경우 1 년차에보고 된 수입은 $ 115.00 - $ 106.13 또는 $ 8.87입니다.
보험료는 각 보험 연도 초에 지급됩니다.
사망 혜택은 각 보험 연도 말에 지급됩니다.

외환 보유량은 ppt
이러한 파일을 볼 수 있습니다.
집행 이사회 승인.
외환 보유고 관리에 관한 지침은 국제 금융 구조를 강화하고 금융 부문의 안정성과 투명성에 기여하는 정책과 관행을 장려하며 외환 위기를 줄이기 위해 기금이 수행하는 광범위한 업무 프로그램의 일환으로 개발되었다. 회원국. 이 지침은 기금과 세계 은행이 개발하고 2001 년 3 월에 발표 한 공공 부채 관리와 유사한 내용을 담고있다.
가이드 라인 개발 과정에서 펀드 직원은 광범위한 회원국 및 국제기구의 예비 관리 단체와 긴밀한 협조하에 포괄적 인 홍보 프로세스를 수행했습니다. 이번 홍보 활동에는 아부 다비, 바젤, 가보 로네, 멕시코 시티, 싱가포르, 워싱턴 DC 지역 회의가 포함되어 이전 버전의 가이드 라인을 논의했다. 이 프로세스가 가이드 라인에 가져온 실무자의 통찰력은 다양한 개발 단계에서 다양한 제도적 구조를 가진 회원에게 관련성이있는 제도 및 운영 기반뿐만 아니라 폭넓게 적용 가능한 원칙의 발표를 가능하게했습니다.
직원은이 프로젝트의 성공적인 완료에 기여한 모든 사람들의 노력을 인정하고 크게 감사합니다.
I. 준비금 관리 란 무엇이며 왜 중요합니까?
1. 준비금 관리 (Reserve management)는 적절한 공식 공적 부문의 해외 자산이 국가 나 노동 조합을 위해 정의 된 범위의 목표를 충족시키기 위해 당국에 의해 쉽게 이용 가능하고 통제되도록 보장하는 과정이다. 이러한 맥락에서 예비 적 관리 주체는 일반적으로 준비금 및 관련 위험의 관리를 책임진다. 2 일반적으로 공식 외환 보유고는 다음을 포함하는 다양한 범위의 목표를지지한다.
국가 통화 나 노동 조합 통화를 지원하기 위해 개입 할 수있는 능력을 포함하여 화폐 및 환율 관리 정책에 대한 신뢰를지지하고 유지한다.
외환 유동성을 유지하여 위기 상황에서 충격을 흡수하거나 차입에 대한 접근이 제한 될 때 외부의 취약성을 제한한다.
국가가 외부 의무를 다할 수있는 수준의 신뢰를 시장에 제공한다.
외부 자산에 의한 국내 통화의 뒷받침을 입증한다.
정부가 외환 수요와 대외 채무를 이행하도록 돕는다. 과.
국가 재해 또는 비상 사태를 대비 한 예비비를 유지한다.
2. 건전한 보전 관리는 국가 또는 지역의 전반적인 탄력성을 증가시킬 수 있기 때문에 중요합니다. 예비 관리자는 금융 시장과의 상호 작용을 통해 정책 입안자가 시장 발전 및 잠재적 위협에 대한 정보를 계속 제공하는 중요한 정보에 액세스 할 수 있습니다. 건전한 사례의 중요성은 약하거나 위험한 예치 관리 관행이 금융 위기에 효과적으로 대응할 수있는 당국의 능력을 제한하여 이러한 위기의 심각성을 강조한 경험에 의해 강조되었습니다. 또한 약하거나 위험한 예비 관리 관행은 상당한 재정적 및 평판의 비용을 초래할 수 있습니다. 예를 들어, 여러 국가에서 직접 또는 간접적 인 재정상의 손실을 입었습니다. 따라서 통화 구성, 투자 수단 선택 및 보유 포트폴리오의 허용 기간에 관한 적절한 포트폴리오 관리 정책은 국가의 특정 정책 설정 및 상황을 반영하여 자산을 보호하고 즉시 사용할 수 있으며 시장 신뢰를 보장하는 역할을합니다 .
3. 건전한 거버넌스 관리 정책 및 관행은 건전한 거시 경제 경영을 지원할 수는 있지만 대체 할 수는 없습니다. 또한 부적절한 경제 정책 (재정, 통화 및 환율, 금융)은 준비금 관리 능력에 심각한 위험을 초래할 수 있습니다.
II. 지침의 목적.
4.이 백서에 제시된 가이드 라인은 정부가 글로벌 금융 시장이나 국내 금융 시스템에서 발생할 수있는 충격에 대한 국가의 회복력을 높이기 위해 예비 관리를위한 정책 프레임 워크를 강화하는 것을 지원하기위한 것이다. 그 목적은 당국이 예비 관리를위한 적절한 목적과 원칙을 명확히하고 좋은 예비 관리 관행을위한 적절한 제도 및 운영 기반을 구축하는 것을 돕는 것이다.
5. 가이드 라인은 개발 단계별로 다양한 국가와 예비 관리를위한 다양한 제도적 구조에 적용 할 수있는 예비 관리 원칙 및 실행에 대한 실무자 간의 광범위한 합의 영역을 확인한다. 그렇게함으로써 지침은 모든 국가 또는 상황에 가장 적합한 예비 관리 관행이나 제도적 장치가 없다는 것을 인식하면서 건전한 관행을보다 널리 전파하는 역할을합니다. 이러한 관점에서, 그들은 비 강제적 인 것으로 간주되어야하고 구속력있는 원칙의 집합으로 간주되어서는 안됩니다.
6.이 지침은 회원들의 정책과 실천을 강화하기위한 자발적인 신청을 목적으로한다. 또한 기술 원조의 맥락에서 유용한 역할을 할 수 있으며, 보증 된 바와 같이 예비 관리 문제 및 관행에 대한 당국과 기금 간의 충분한 정보를 토대로 토론 할 수있는 토대가 될 수있다.
7. 제도적 장치와 일반 정책 환경이 다를 수 있지만, 실제 관행에 대한 조사는 예비 적 관리를위한 광범위한 틀을 함께 구성한 건전한 예비 관리 방식으로 간주되는 것에 대한 수렴이 증가하고 있음을 나타냅니다. 본 백서의 맥락에서 이러한 관행은 다음을 포함하는 지침에 반영된다. (i) 준비금 관리를위한 명확한 목표; (ii) 예비비 관리 활동 및 결과의 책임 성과 명확성을 보장하는 투명성의 틀; (ⅲ) 건전한 제도 및 거버넌스 구조 (iv) 위험에 대한 신중한 관리; (v) 효율적이고 건전한 시장에서 예비 관리 운영의 수행.
III. 지침.
1. 예비 관리 목표, 범위 및 조정.
준비 이사회는 다음 사항을 보장해야한다. (i) 정의 된 범위의 목표를 충족시키기에 충분한 외환 보유고가 있어야한다. (ii) 유동성, 시장 및 신용 위험은 신중한 방식으로 통제된다. (iii) 유동성 및 기타 위험의 제약이있는 경우 투자 한 자금에 대해 중장기 적으로 합리적인 수익이 창출됩니다.
준비금은 통화 당국이 쉽게 이용할 수 있고 통화 당국이 관리하는 공식 공공 부문 외화 자산으로 구성됩니다.
예탁금 관리 활동은 부채 관리, 기타 짧은 외환 포지션 및 파생 금융 상품의 사용을 포함 할 수 있습니다.
1.3 예비 관리 전략 및 조정.
적립금 관리 전략은 국가 또는 노동 조합의 특정 정책 환경, 특히 통화 및 거래 약정과 일치하고이를지지해야한다.
대안 적 예비 관리 전략의 평가와 예비 적정성에 대한 각각의 함의는 보유 준비금의 비용 / 이익 분석에 의해 촉진 될 것 같다.
예금 관리 전략은 외부 취약성을 줄이기위한 대외 부채 관리 전략을 고려해야 할 수도 있습니다.
2. 투명성과 책임.
2.1 예비 관리를 책임지는 금융 기관의 역할, 책임 및 목표의 명확성.
정부 기관, 예비 관리 기관 및 기타 기관 간의 예비 기관 관리를 포함한 예비 관리 책임의 할당은 공개적으로 공개되고 설명되어야한다.
예비 관리의 광범위한 목표를 명확히 정의하고 공개하여 채택 된 정책의 핵심 요소를 설명해야합니다.
2.2 예비 관리 시장 운영을위한 개방 된 프로세스.
예비 관리 회사와 거래 상대방과의 관계를 규율하는 일반 원칙을 공개해야한다.
2.3 외환 보유고에 대한 정보 공개.
공식 외환 보유고에 대한 정보는 미리 발표 된 일정에 공개해야합니다.
2.4 예비 관리를 담당하는 기관의 책임 성 및 무결성 보장.
예비 관리 활동의 수행은 예비 관리 회사의 재무 제표에 대한 연간 감사에 포함되어야한다. 독립적 인 외부 감사인은 감사를 실시하고 재무 제표에 대한 의견은 공개적으로 공시해야합니다.
예비 관리 회사 운영의 무결성을 보장하기 위해 사용 된 내부 통제에 대한 일반 원칙은 공개되어야한다.
3. 제도적 틀.
예비 제도 관리 기관의 책임과 권한을 명확하게 설정하는 입법 체계를 통해 건전한 제도적 및 거버넌스 조치가 수립되어야한다.
예비 관리 주체의 내부 통제 구조는 책임의 명확한 할당 및 분리 원칙에 의해 안내되고 반영되어야한다.
내부 운영 및 위험에 대한 건전한 관리를 위해서는 건전한 비즈니스 관행에 따라 자격을 갖추고 잘 훈련 된 직원이 필요합니다.
내부 운영 및 관련 위험에 대한 효과적인 모니터링은 신뢰할 수있는 정보 및보고 시스템과 독립적 인 감사 기능에 의해 지원되어야합니다.
예비 관리와 관련된 직원은 개인 업무 관리와 관련된 행동 강령 및 이해 상충 지침의 적용을 받아야합니다.
운영 체제 오류 또는 다른 재앙적인 이벤트로 인해 예비 관리 활동이 심각하게 중단 될 수있는 위험을 줄이기 위해 효과적인 복구 절차가 마련되어야합니다.
4. 위험 관리 프레임 워크.
예비 관리 운영의 위험을 식별하고 평가하며 수용 가능한 매개 변수와 수준 내에서 리스크를 관리 할 수있는 프레임 워크가 있어야합니다.
리스크 관리 프레임 워크는 내부적으로 관리되는 것과 동일한 원칙과 조치를 외부 관리 펀드에 적용해야합니다.
위험 노출은 지속적으로 모니터링되어 피폭이 허용 한계를 초과했는지 여부를 판단해야합니다.
예비 관리자는 잠재적 인 재정적 손실 및 수용 할 준비가 된 위험 노출의 다른 결과를 인식하고 이에 대해 설명 할 수 있어야합니다.
리스크 관리 프레임 워크는 파생 금융 상품 및 기타 외환 운영과 관련된 위험을 처리해야합니다.
예비 포트폴리오의 위험 및 취약성을 평가하기 위해 예비 관리 회사는 정기적으로 거시 경제적 및 재정적 변수 또는 충격의 잠재적 영향을 확인하기 위해 스트레스 테스트를 실시해야합니다.
5. 효율적인 시장의 역할.
리저브 관리 및 관련 정책 운영은 충분한 깊이와 유동성을 지닌 시장에서 수행되어야하며 건전하고 효율적인 방식으로 거래를 처리 할 수 ​​있어야합니다.
IV. 지침에 대한 토론.
1. 예비 관리 목표, 범위 및 조정.
8. 준비 이사회는 다음 사항을 보장해야한다. (i) 정의 된 범위의 목표를 충족시키기 위해 적절한 외환 보유고가 있어야한다. (ii) 유동성, 시장 및 신용 위험은 신중한 방식으로 통제된다. (iii) 유동성 및 기타 위험의 제약이있는 경우 투자 한 자금에 대해 중장기 적으로 합리적인 수익이 창출됩니다. 예비 관리는 공식적인 경제 정책의 일부를 형성하며, 특정 상황은 예비 적정성 및 예비 관리 목표와 관련된 선택에 영향을 미친다. 예비의 가용성을 보장하고 적절한 투자 우선 순위를 설정하기 위해 예비 관리자는 적절한 수준의 예비를 구성하는 것에 대한 평가를해야합니다. 그러한 평가는 예비 관리 주체에 의해 이루어 지거나 예비 관리 주체와 다른 기관 간의 협의와 관련 될 수있다. 보호 지역의 적정성을 평가하기위한 보편적으로 적용 가능한 조치는 없으며 예비 적정성의 결정은이 지침의 범위를 벗어난다. 관련 요소에는 전통적으로 국가의 통화 및 환율 조정, 그리고 국제 수지 및 외부 위치의 규모, 성격 및 변동성이 포함됩니다. 최근에는 대외 부채의 위치 및 자본 흐름의 변동성과 관련된 재정적 위험이 특히 주목할 만하다. 이 과정에서 외환 보유고의 확보는 환율 체계와 그들이 보유하고있는 특정 목표의 영향을받을 것이다. 5.
9. 준비금이 필요할 때 사용할 수 있도록하기 위해 보통 준비 자산을 외국환으로 전환 할 수있는 유동성 - 일반적으로 투자 가치가 낮은 투자 수단을 수반하는 비용이긴하지만 최우선 순위를받습니다. . 자산 가치를 보호하기 위해 위험 관리 및 통제가 필요합니다. 예를 들어, 시장 및 신용 위험은 갑작스러운 손실을 초래하고 유동성을 손상시킬 수 있습니다. 마지막으로, 이익은 예비 자산 관리의 중요한 결과입니다. 일부 국가의 경우 다른 중앙 은행 정책 및 국내 금전 운영과 관련된 비용을 상쇄하는 역할을 담당합니다. 해외 시장에서 준비금이 빌린 경우와 같이 수익은 준비금 자산의 운반 비용을 최소화하는 데 중요한 역할을합니다. 따라서, 명확한 유동성 및 위험 제한 내에서 허용 가능한 수준의 수입 달성이 우선되어야합니다.
10. 총 관리 기관은 예비 관리를위한 프레임 워크를 구성하는 신중한 위험 한계 내에서 준비금의 가치를 극대화하여 필요할 때 준비금을 항상 사용할 수 있도록 노력해야합니다. 결과적으로, 예비 자산 포트폴리오는 리스크 회피 성이 높고, 유동성 및 안정성에 대한 우선 순위가 이익이나 비용 고려 사항보다 우선하는 경향이 있습니다. 이것은 반드시 예비 관리 우선 순위를 설정하는 맥락에서 리스크와 리턴 사이의 절충안을 필요로합니다.
11. 준비금은 통화 당국이 쉽게 이용할 수 있고 통화 당국이 관리하는 공식 공공 부문 외화 자산으로 구성된다. 적립 자산 포트폴리오는 대개 다른 외화 자산과 구별되는 특수한 특성을 가지고 있습니다. 우선, 공식 준비금 자산은 보통 준비금 관리 회사를 효과적으로 통제하고 쉽게 이용할 수있는 유동성 또는 쉽게 시장성이있는 외화 자산으로 구성됩니다. 또한 국제 거래의 해결을 위해 유동적이고 자유롭게 이용되기 위해서는 비거주자에 대한 당국의 외화 전환 요구 형태로 보유 될 필요가있다. 7.
12. 준비금 관리 활동은 부채 관리, 기타 짧은 외환 포지션 및 파생 금융 상품의 사용을 포함 할 수 있습니다. 국가 또는 노동 조합의 특정 정책 목표 및 설정에 따라 적절한 준비 수준을 유지해야하는 책임의 일환으로 준비금 관리 기관은 외환 차입 또는 약정 한 신용 대출 제도에 연루 될 수 있습니다. 준비금 관리는 환매 조건부 계약, 선물 교환 및 스왑 계약, 선물 및 옵션과 관련된 업무에서 발생하는 직위와 같은 부채 포지션을 포함 할 수 있습니다. 후자의 관점에서 볼 때, 많은 국가들은 현재 통화 및 금리 익스포저에 대비 한 위험 관리를 위해 준비금 관리 업무의 중요한 부분으로 파생 금융 상품을 사용합니다. 8.
1.3 예비 관리 전략 및 조정.
13. 예비비 관리 전략은 국가 또는 노동 조합의 특정 정책 환경, 특히 통화 및 거래 약정과 일치하고이를지지해야한다. 예비비 관리 전략은 예비금을 보유하고있는 특정 이유에 따라 결정됩니다. 화폐 및 교환 협정의 맥락에서 환율 체제와 교환 및 자본 통제가 자유화 된 정도는 특히 적절하다.
14. 자유 유동 (free float) 하에서, 외환 시장에서 운영하지 않겠다는 당국의 공약은 예비 관리인에게 포트폴리오의 지속 기간과 유동성을 구조화하는 데 더 큰 위도를 부여한다. 그러나 실제로 당국은 환율이나 시장 압력의 급격한 조정시기에 질서 정연한 시장을 보장 할 수있는 역량을 유지하거나보다 일반적으로 예상치 못한 내적 또는 외적 충격에 대처할 능력을 유지하려고 노력할 수 있습니다.
15. 통화위원회를 운영하는 국가를 포함하여 환율이 고정 된 국가에서 당국은 외환 시장에서 자주 활동해야 할 수도 있으므로 외환으로 쉽게 전환 할 수있는 준비금이 필요할 것이다. 이 경우 특히, 통화 페그에 대한 신뢰를 제공하고 추측을 막기 위해 준비금이 필요하다. 이러한 목적으로 매장량은 준비가 용이 한 형태로 투자되는 경향이 있습니다.
16. 관리 된 부유물 또는 담장 배열과 같은 중간 환율 체제는 당국이 약정을 지원할 것을 요구한다. 이는 유지되어야 할 적절한 유동성 수준의 선택에 대한 결과와 함께 시장 진화 및 조건에 따라 다소간의 능동적 인 운영을 요구할 수 있습니다.
17. 예비 보유 관리 전략의 평가와 예비 적정성에 대한 각각의 함의는 보유 준비금의 비용 / 편익 분석에 의해 촉진 될 것으로 보인다. 이러한 분석은 예를 들어 변동성이 적은 자본 흐름으로 인한 예상 이익에 대한 추가 준비금을 모으고 보유하는 비용을 계량화하고 외국인 투자자 신뢰도를 높이며 위험을 감소시키는 등 예비금을 보유하거나 유지하는 비용 및 이익에 가치를 부여하는 것을 목표로합니다. 전염병.
18. 준비금 관리 전략은 외부 취약성을 줄이기위한 대외 부채 관리 전략을 고려해야 할 수도 있습니다. 부채 및 준비금 관리에 대한 상호 일관성 있고 지원 가능한 정책은 위기 예방의 중요한 요소가 될 수 있습니다. 공공 부문 차원에서 이것은 관련 정부 기관의 직위를 포함하여 여러 공식 기관의 자산과 부채를 고려한 조정 된 접근 방식을 포함 할 수 있습니다. 이러한 상황에서의 목표는 한 국가의 공식 "전체 정부" 대차 대조표는 필요에 따라 유동성을 제공하고 차입에 대한 접근이 줄어들거나 매우 비싼 상황에서 충격을 흡수 할 수 있도록 적절한 수준의 매장량을 보유하고 있습니다. 일부 경제국에서는 단기 외부 민간 부채도 예비 적정성을 결정하는 추가 요인이 될 수있다.
19. 예비 관리 및 부채 관리 책임이 동일한 당국에 위탁되는 국가에서는 잘 조정 된 자산 / 책임 리스크 관리 접근법을 통해 일관된 전략을 달성 할 수 있습니다. 그러나 예비비 관리 및 부채 관리 책임이 당국간에 분담되는 경우 각 정책 목표는 다를 수 있습니다. 예를 들어 예비 관리 주체가 통화 정책에 대한 주요 책임을 가지고있는 상황에서는 통화 정책과 부채 관리 간의 분리를 저해하는 것으로 조정 노력이 이루어지지 않도록주의해야합니다. 이러한 상황에서 조정은 당국의 각 조치가 분명한 신호를 보내고 모순되는 메시지를 피하도록 도울 수있다. 11.
2. 투명성과 책임.
20. 좋은 관리와 예비 관리에 대한 책임에 관한 투명성의 주요 쟁점은 통화 및 금융 정책의 투명성에 관한 IMF 선전 코드 : 1999 년 9 월 (MFP 투명성 규정)에 나와 있으며 코드에 대한 지원 문서. MFP 투명성 법안은 중앙 은행이 통화 정책을 수행함에있어 투명성을 높이고, 중앙 은행 및 기타 금융 기관이 재무 정책을 수행함에있어 투명성을 높이는 것을 목표로합니다 (Box 1). 이를 위해 외환 정책, 준비금 관리 및 관련 외환 시장 운영과 관련한 우수한 투명성 관행의 여러 요소가 포함되어 있습니다. In addition to identifying a range of general disclosures concerning foreign exchange policies and institutional responsibilities for reserve management, the MFP Transparency Code aims to promote transparency through accountability. The subsections of this chapter follow the respective headings of the Code that relate to reserve management. It should be noted that within the specific sections of these guidelines, references to the level of disclosure by a reserve management entity reflect those levels implied by the relevant section of the MFP transparency Code, and where applicable, other relevant standards.
Box 1. Foreign Reserves Disclosures under Fund Standards and Codes.
Code of Good Practices on Transparency in Monetary and Financial Policies.
The MFP Transparency Code, adopted by the Interim Committee in September 1999, requires specific public disclosures covering: (i) the institution with responsibility for foreign exchange policy, paragraph 1.1.4; (ii) the responsibilities of the central bank, if any, for foreign exchange reserves, paragraph 1.3.1; (iii) rules and procedures for the central bank's relationships with counterparties in markets where it operates, paragraph 2.1.2, as well as regulations for the operation of organized financial markets (including those for issuers of traded financial instruments), paragraph 6.1.3; (iv) information about the country's foreign exchange reserve assets, liabilities and commitments by the monetary authorities, according to a pre-announced schedule, paragraph 3.2.4; and (v) release of the central bank balance sheet on a pre-announced schedule, and selected information on its market transactions, paragraph 3.2. Further detail on the specific disclosure requirements relating to foreign reserves can also be found in Section 1.3.1 of the Supporting Document.
Other more general disclosure requirements that would incorporate information on reserve management include: (i) release of summary central bank balance sheets on a frequent and pre-announced schedule; (ii) preparation of detailed central bank balance sheets in accordance with appropriate and publicly documented accounting standards, paragraph 3.2.1; (iii) public disclosure of financial statements on a pre-announced schedule, paragraph 4.2, and that have been audited by an independent auditor, paragraph 4.2.1; and (iv) internal governance procedures necessary to ensure integrity of operations including internal audit arrangements, paragraph 4.2.
Special Data Dissemination Standard.
The Special Data Dissemination Standard (SDDS) was established in 1996 to guide IMF member countries that have, or that might seek, access to international capital markets in the provision of their economic and financial data to the public. Subscription to SDDS is voluntary, but it carries a commitment by a subscribing member to observe the standard, including the reserves data template, as approved by the IMF's Executive Board on March 23, 1999.
The reserves data template is designed to provide information on the amount and composition of reserve assets, other foreign currency assets held by the central bank and the government, short-term foreign liabilities, and related activities that can lead to demand on reserves (such as financial derivatives positions and guarantees extended by the government for private borrowing).
The template consists of four sections: (i) official reserves and other foreign currency assets; (ii) predetermined short-term drains on foreign currency assets; (iii) contingent short-term net drains on foreign currency assets; and (iv) memorandum items. Dissemination of the 55 data categories included in the template is mandatory for SDDS subscribers.
2.1 Clarity of roles, responsibilities, and objectives of financial agencies responsible for reserve management.
21. The allocation of reserve management responsibilities, including agency arrangements, between the government, the reserve management entity, and other agencies should be publicly disclosed and explained. 12 A reserve management entity may perform its functions in a number of ways acting, for example, either as principal or in an agency capacity. In each case, it is important, therefore, that the ownership of reserves be clearly established. Varying institutional responsibilities for foreign exchange policy may also have implications for reserve management responsibilities. Accordingly, the specific institutional responsibilities for foreign exchange policy and reserve management should also be disclosed. These disclosures help financial markets and the general public understand how exchange rate policy decisions are made, their impact on reserve management objectives, and the accountability framework for reserve management decisions and outcomes.
22. Where the reserve management entity acts as the government's agent in performing reserve management functions, its role and powers should also be clearly defined, such as in the entity's enabling legislation, in addition to being publicly disclosed and explained. 13 Defining clearly the entity's agency role and powers avoids confusion over who has the ultimate responsibility for setting and implementing reserve management policy. Public disclosure enables the public to understand the extent of the reserve management entity's responsibilities and to hold the reserve management entity and government accountable for their respective responsibilities and actions.
23. The broad objectives of reserve management should be clearly defined, publicly disclosed, and the key elements of the adopted policy explained. 14 Public disclosure enhances the credibility of reserve management policies, goals, and results and is usually contained in the annual reports of reserve management entities. Information provided concerning, for example, the currency composition of benchmarks or the classes of assets would generally be couched in broad terms rather than by the provision of specific details of underlying assets and operations, which in some circumstances could be destabilizing. Some reserve management entities also include in their annual reports, and in broad terms, information relating to investment performance relative to the benchmarks adopted. Specific disclosure practices vary and may depend on country circumstances, including the stage of market development. Nonetheless, disclosure practices should strive to be consistent with the intent of the MFP transparency code.
2.2 Open process for reserve management market operations.
24. The general principles governing the reserve management entity's relationships with counterparties should be publicly disclosed. 15 Disclosure, in this context, serves to assure the public that reserve management dealings are based on objective criteria and are fair and impartial. Examples of particular disclosures could include the criteria used to determine eligible market counterparties, that reserve management dealings are undertaken at market-determined prices, and that market participants observe recognized codes of conduct. Confidentiality considerations are important, however, and public disclosure should not extend to operational details that may weaken the reserve management entity's ability to operate effectively in markets. Public disclosure would also not extend to providing specific details concerning relationships with individual counterparties.
2.3 Public availability of information on foreign exchange reserves.
25. Information on official foreign exchange reserves should be publicly disclosed on a pre-announced schedule . 16 Public disclosure of a country's international reserve position and foreign exchange liquidity on a timely and accurate basis helps promote informed decision making in the public and private sectors, in both domestic and global financial markets. Experience also suggests that timely disclosure of such information may allow for a more gradual market adjustment.
26. The Fund's Special Data Dissemination Standards (SDDS), and its associated data template on international reserves and foreign currency liquidity (the data template), provide a comprehensive benchmark standard for the content and timing of public disclosures on foreign reserves and other activities of potential relevance (Box 1). The data template integrates balance sheet and off-balance sheet data of the international financial activities of the country's authorities, 17 and aims to provide a comprehensive account of foreign currency assets and drains on such resources arising from various foreign currency liabilities and commitments. The data template is also used as the basis for the reporting of data to the Fund for purposes of monitoring a Fund program. 18.
27. In many countries, public disclosure of information on foreign exchange reserves is also made through periodic releases, such as statistical releases on international liquidity and summary balance sheets, as well as in the annual reports of reserve management entities. Such disclosures are generally timed so that their release would not interfere with market operations, or that changes to reserve management strategies or priorities would not be publicized ahead of their implementation.
2.4 Accountability and assurances of integrity by agencies responsible for reserve management.
28. The conduct of reserve management activities should be included in the annual audit of the reserve management entity's financial statements. Independent external auditors should conduct the audit and their opinion on the financial statements be publicly disclosed. 19 External audits, when performed in accordance with internationally recognized auditing standards, provide an independent opinion on the truth and fairness of disclosures contained in the financial statements, and accordingly, the underlying financial records in respect of reserve management activities and results. An independent external audit of the annual financial statements of the reserve management entity would normally include an examination of the accounting records and controls associated with reserve management activities and also check for consistency between disclosures contained within the financial statements, and those elsewhere in the Annual Report. Publication of the audit opinion along with the financial statements should also be an integral part of the accountability framework.
29. Achieving a true and fair opinion requires that the financial information and other disclosures contained in the financial statements adhere to internationally recognized accounting standards, such as International Accounting Standards (IAS). 20 The adoption of high quality accounting standards is an essential element in facilitating market understanding of the role and risks of a reserve management entity, and that its financial position and performance have been measured on a consistent and comparable basis. In recent years, a particular focus of IAS has been on standards covering principles for the recognition, valuation, and management of risks associated with financial assets and liabilities. 21 Valuation issues addressed in these standards relate closely to the widely adopted reserve management practice of "marking to market", by requiring that securities held for ready sale are properly reported at their fair or market value in the reserve management entity's financial statements. 22 To the extent that market based valuation gains may be included in net profits, some reserve management entities may require supporting rules to avoid premature distribution of such profits.
30. General principles for internal governance used to ensure the integrity of the reserve management entity's operations should be publicly disclosed. 23 Disclosure in this context is an important element in satisfying the general public and markets as to the competence and performance of the reserve management entity in discharging its responsibilities for reserve management activities, as well as for other functions the entity may perform. The disclosures may be made as part of the entity's annual financial statements, or they can also be made in an official register or in other publications, as well as the entity's website. In addition to the risk management disclosures, required by accounting standards, they could extend to a broad discussion of the role of the Governing Board and Investment Committee in setting reserve management policies and parameters, internal audit, the role of an audit committee, and external audit arrangements.
3. Institutional Framework.
31. Sound institutional and governance arrangements should be established through a legislative framework that clearly establishes the reserve management entity's responsibilities and authority. An institutional framework that contains a clear identification of responsibilities helps ensure good governance and accountability, as well as ensuring that reserves are managed effectively and efficiently in a manner appropriate to a country's needs. Legal assignment of institutional responsibilities, supported by delegation of appropriate authority to a reserve management entity, is particularly important for ensuring effective coordination and performance where reserve management responsibilities and functions are allocated across more than one institution. 24 Clearly establishing the reserve management entity's authority in legislation and appropriate documentation such as secondary legislation or regulations, coupled with public disclosure, enhances transparency and accountability, and also assures counterparties of the reserve management entity's mandate. 25.
32. The internal governance structure of the reserve management entity should be guided by and reflect the principles of clear allocation and separation of responsibilities. A well-defined organizational structure from the very top to operational levels of the reserve management entity, establishes a clear separation of responsibilities and authority. In doing so, this creates a decision-making hierarchy that limits risks by ensuring the integrity of, and effective control over, reserve management activities. A supporting system of well-articulated, and formally documented, delegations and limits of authority works to ensure that persons involved in reserve management clearly understand their individual responsibilities and limits of authority, that risks are to be managed in a prudent and transparent manner, and that only authorized operations occur.
33. At the very top level of the reserve management entity, decisions are of a strategic nature and are usually made by the Governing Board or similar body, or the Governor. Their role is to define and set the overall parameters for reserve management operations and the control of risk, including the preferred trade-off between the different risks faced and the entity's tolerance for loss in, say, any one year. The Board's overall monitoring responsibilities would also see a requirement for the regular review of investment activity and performance. Such review should occur at least annually but can also be more frequent such as semi-annually or quarterly.
34. Decisions concerning implementation of Board strategies are usually the responsibility of an investment committee. The committee typically is chaired by the Board member with responsibility for reserve management. It is responsible for setting the operational framework for reserve management activities, including the investment strategy, portfolio benchmarks, and for reviewing operations and performance on a regular basis. The committee would also have a responsibility for approving the inclusion of new types of investment operations and instruments. Such approval would also encompass the policies and procedures for assessing new investment proposals, particularly in terms of their risks and the ability of existing staff and systems to handle the operations proposed.
35. At the operational level, decision making and responsibility for day-to-day reserve management operations are usually separated between those who initiate reserve management transactions (front office), those who control and ensure that risk limits are observed, assess performance and provide reports for management (middle office), those who arrange settlement of transactions (back office), and those who maintain the financial accounting records that form the basis of public disclosures (accounting department). Within this operational framework, many reserve management entities have established a separate risk management unit to monitor day-to-day operations and controls including, for example, breaches of delegated authorities and limits, errors and operational failures, and risk management measures such as Value-at-Risk (VaR), 26 duration, portfolio performance, and deviation from benchmarks.
36. Sound management of internal operations and risks requires appropriately qualified and well-trained staff, following sound business practices. All aspects of reserve management operations require well-trained staff. First and foremost, staff should have a firm grounding in market practices and instruments to undertake respective reserve management activities. Supporting this, the procedures that staff follow for settlement, and where necessary, resolution of disputes or differences should be based on sound business practices. Staff should also fully understand the risks and the control environment in which they operate. Failure of staff to observe controls, as well as failure of the control environment, can lead to significant financial losses and may tarnish the reputation of the reserve management entity. An added complexity for many reserve managers is the difficulty of retaining high quality staff in a highly mobile foreign exchange and investment market environment. Some reserve management entities might seek to provide adequate additional remuneration or financial incentives to match market offers. This may not always be an option, however, and other non-financial options such as providing a challenging work environment, including increased levels of responsibility commensurate with skill and experience, and a well-structured staff training program, may assist in retaining qualified staff and in developing resources to cover the unexpected departure of a key member of staff.
37. Effective monitoring of internal operations and related risks should be supported by reliable information and reporting systems, and an independent audit function. Inadequate control over operational aspects can threaten the ongoing performance of reserve management operations and the ability of the reserve management entity to safeguard the assets under its control. Reserve managers need to be aware of the main operational risks they face in day-to-day operations and the appropriate procedures to control such risks. 27 Equally important, they need to be sure that the control measures adopted are being observed. In this context, reserve managers require access to reliable information and reporting that enables them to monitor risks and performance, as well as any breaches of controls. Ideally, transaction processing and information systems should be fully integrated to reduce the risk of error and to improve the speed with which management information is available. Establishing such systems can, however, involve a significant investment in the operating infrastructure of a reserve manager. Evaluation of particular systems may need to have regard to the size and complexity of the reserve management entity's operations, and the skills of staff, to ensure an appropriate balance between the costs and benefits of the chosen system.
38. An effective and independent audit unit plays an important role in providing an independent assurance to the senior levels of the reserve management entity (such as the Audit Committee, or the Governing Board) that reserve management operations and internal control and reporting systems are operating properly to safeguard reserve and other assets. 28 The role of internal audit now tends to focus on a risk-based approach in assessing that the operating framework is adequate, and that control procedures have no gaps in addressing key reserve management and operational risks. Particular aspects of reserve management operations on which internal audit review might focus include: (i) the degree of success in achieving reserve management objectives; (ii) determining whether all relevant risks have been identified; (iii) the adequacy of the system of internal controls in addressing risks, and monitoring compliance with procedures and controls; (iv) the existence of proper safeguards to protect assets; (v) the reliability, security, and integrity of Electronic Data Processing (EDP) communication, and other information systems; and (vi) the accuracy of accounting records and processes.
39. Staff involved in reserve management should be subject to a code of conduct and conflicts of interest guidelines regarding the management of their personal affairs. 29 Such codes help to allay concerns that staff's actions or personal financial interests may subvert reserve management practices. These arrangements should also include a requirement that staff adopt and comply with professional codes of conduct that apply in the markets in which reserve management operations are undertaken. Similar arrangements might also be extended to staff of external managers through the contractual arrangements with such managers.
40. Effective recovery procedures should be in place to mitigate the risk that reserve management activities might be severely disrupted by the failure of operating systems, or other catastrophic events. Reserve management systems now typically depend upon the continuous operation of efficient and secure EDP and communications systems. Such systems require controls that protect against major interruptions to business from events such as equipment or power failure, unauthorized access, natural disaster, or other external acts. These controls should also include comprehensive business recovery procedures including back-up systems and contingency plans to ensure that operations can be resumed with a minimum of delay should a catastrophic event occur.
4. Risk Management.
41. There should be a framework that identifies and assesses the risks of reserve management operations and that allows the management of risks within acceptable parameters and levels. Reserve management involves a number of financial and operational risks. A summary of external market-based and operational risks, which have been faced by reserve management entities, is provided in Box 2. A risk management framework seeks to identify the possible risks that may impact on portfolio values and to manage these risks through the measurement of exposures, and where necessary, supporting procedures to mitigate the potential effects of these risks.
42. Although there is no set formula that suits all situations, in practice, many reserve management entities draw upon generally accepted portfolio management principles in determining the strategy for asset selection and allocation to control exposures to external risks. Typically this involves establishing parameters for: (i) the currency holding and mix necessary to maintain the ready availability of convertible currencies, and also to maintain cross rate exposures within acceptable limits; (ii) the permissible range of investment instruments that meet liquidity and security requirements; and (iii) maturity or duration requirements for limiting exposure to interest rate or market price risks. Regarding the second point, risk parameters should include the minimum acceptable credit ratings for the issuers of those instruments.
43. The strategic asset allocation is typically embodied in a benchmark portfolio that represents the best or optimal portfolio given the reserve management objectives and risk constraints.
(Box 3). In order to guide investment operations, the benchmark portfolio needs to be well defined, 30 including in terms of the notional size, security composition, and rebalancing rules. Considerations in the selection of the currency mix within the benchmark portfolio include liquidity as well as currency risk. The reserve management entity may, for example, wish to hold some additional liquidity in the main intervention currency, or in specific currencies to facilitate debt servicing. It may also wish to consider whether other major liquid currencies should be held for purposes of hedging currency risk in the portfolio vis-à-vis other liabilities.
Box 2. Adverse Reserve Management Experiences.
External Market-Based Risks.
Liquidity risk. The pledging of reserves as collateral with foreign financial institutions as support for loans to either domestic entities, or foreign subsidiaries of the reserve management entity, has rendered reserves illiquid until the loans have been repaid. Liquidity risks have also arisen from the direct lending of reserves to such institutions when shocks to the domestic economy led to the borrowers' inability to repay their liabilities, and impairment of the liquidity of the reserve assets.
Credit risk. Losses have arisen from the investment of reserves in high-yielding assets that were made without due regard to the credit risk associated with the issuer of the asset. Lending of reserves to domestic banks, and overseas subsidiaries of reserve management entities, has also exposed reserve management entities to credit risk.
Currency risk. Some elements of currency risk may be unavoidable with reserve asset portfolios. There have, however, been instances where large positions were taken in other countries' currencies in anticipation of favorable future changes in major cross rates, but where subsequent adverse exchange rate movements led to large losses.
Interest rate risks. Losses have arisen on reserve assets from increases in market yields that reduced the value of marketable investments below their acquisition cost. Losses have also arisen from operations involving derivative financial instruments, including the taking of large positions, which have been subject to the effects of sharp and large adverse movements in market yields. In some instances, reserve managers may have had an inadequate understanding of all the characteristics and risks of the instruments used, and may also have lacked the technical skills required to manage exposures.
Control system failure risks. There have been a few cases of outright fraud, money laundering, and theft of reserve assets that were made possible by weak or missing control procedures, inadequate skills, poor separation of duties, and collusion among reserve management staff members.
Financial error risk. Incorrect measurement of the net foreign currency position has exposed reserve management entities to large and unintended exchange rate risks, and led to large losses when exchange rate changes have been adverse. This has also occurred when risk has been measured only by reference to the currency composition of reserves directly under management by the reserve management unit, and has not included other foreign currency denominated assets and liabilities on and off the reserve management entity's balance sheet.
Financial misstatement risk. In measuring and reporting official foreign exchange reserves, some authorities have incorrectly included funds that have been lent to domestic banks, or the foreign branches of domestic banks. Similarly, placements with a reserve management entity's own foreign subsidiaries have also been incorrectly reported as reserve assets.
Loss of potential income . A failure to re-invest funds accumulating in clearing (nostro) accounts with foreign banks in a timely manner has given rise to the loss of significant amounts of potential revenue. This problem arises from inadequate procedures for monitoring and managing settlements and other cash flows, and for reconciling statements from counterparts with internal records.
Box 3. Benchmark Portfolios and Risk Management.
Senior management needs to specify a strategic long-term portfolio that represents the best available trade-off between the different risks that the reserve management entity is facing. This is the entity's investment benchmark, which is made operational through the construction of actual benchmark portfolios that include the chosen currencies with desired weights, investment instruments with appropriate credit characteristics, and duration that reflects the desired level of interest rate risk. The benchmarks should not include transient factors or reflect short-term market expectations, but their appropriateness should be reviewed regularly. Changes to the benchmark would be triggered by changes in market structures or characteristics that alter the investment environment. The adoption of investment benchmarks is a sound practice that brings discipline to the investment process.
There are various approaches to measuring risk and controlling exposures as a result of deviations from the benchmark . Typically, such exposure is limited by the setting of quantitative limits on the size of any deviation from the benchmark in terms of currency, duration, or credit that may be permitted by those responsible for the investment of reserves. Currency risk is usually managed through quantitative limits on how much each individual currency, or all currencies in the benchmark taken together, may deviate from the benchmark structure. Interest rate risk can be managed by establishing benchmarks with a given duration and by limiting the actual portfolio's deviation both in terms of duration and yield curve mismatches. Credit (default) risk has traditionally been managed by placing limits on eligible issuers or counterparties based on their capital and ratings. VaR methodologies can also be used to provide a quantified estimate of the maximum potential loss, with a given probability and time horizon, resulting from deviations from the benchmark portfolio.
Investment benchmarks are an important tool for assessing performance and enforcing the accountability of reserve managers. Where managers are permitted to deviate from the benchmark portfolio, performance assessment and accountability will occur through the comparison of performance of the actual portfolio with that which could have been generated by holding the benchmark portfolio. Where portfolio managers seek to replicate the benchmark, assessment of performance would also be based on comparison of actual performance versus the benchmark. In both cases, the benchmark establishes the reference point for the reserve management entity's accountability in terms of its choice of risk tolerance.
44. A number of reserve management entities also subdivide their reserves portfolio into "tranches" according to liquidity and investment objectives and policy requirements. A "liquidity tranche" would reflect transaction and/or intervention needs based on the assessment of potential need for liquidity on demand. Such portfolios are typically invested in the most liquid and risk averse instruments. For reserves that are held to provide an additional cushion, but are less likely to be drawn upon, an "investment tranche" may be created where greater emphasis is placed on return as well as safety and liquidity. The relative size of each tranche may be determined as part of an assessment of reserves adequacy, and each tranche would have a separate benchmark reflecting the different objectives. In some countries, tranching is also used to immunize market and foreign exchange risks on the reserve balance sheet, by establishing characteristics for a particular asset portfolio that match those of a group of counterpart foreign liabilities.
45. The risk management framework should apply the same principles and measures to externally managed funds as it does to those managed internally . Many reserve management entities allocate part of their reserves to one or several external institutions for management. External managers may have skills that the reserve management entity lacks, or they may provide a level of safety to foreign operations that the entity is unable to achieve. They may, for example, have skills and established systems for undertaking investment activities in specialized instruments and markets for which the reserve manager does not wish to develop a capability. Alternatively, they might provide access to new markets and activities or new investment strategies in which the reserve management entity is seeking to expand its operations. Finally, they may also assist smaller reserve management entities in managing or reducing the costs of maintaining a reserve management operation in a particular market or instruments.
46. Sound risk management of externally managed funds begins with the careful selection of reputable external managers, and a clear mandate for the managers to follow, together with agreed understandings of expected performance and tracking error. These arrangements should be set out clearly in separate written contracts with each appointed manager to ensure accountability. It is also important that appointment of an external manager should not result in the reserve management entity accepting operations and risks that would not normally be considered, or are not fully understood. Appointment of external managers can also have implications for the reserve manager's choice of a custodian for its foreign securities. Generally, there should be a clear "firewall" separation between any external management and custodial functions performed by any one entity.
47. In principle, and in practice, there should be no difference between the risk - management and performance-monitoring framework that is applied to externally and internally managed portfolios. Most likely it will, however, be necessary to establish a separate unit, or assign a position within the middle office, to enable the reserve management entity to fully monitor the activities of the external manager, and custodians.
48. Risk exposures should be monitored continuously to determine whether exposures have been extended beyond acceptable limits. Monitoring is essential in identifying and limiting any cumulative losses associated with either deviations from the benchmark, any underperformance of the portfolio vis-à-vis the benchmark, and increases in exposures associated with the benchmark itself due to market developments or structural changes. Since risk is inherent in both benchmark 31 and actual portfolios, monitoring should occur regardless of whether "passive" or "active" reserve management approaches are adopted. 32 VaR or other simulation methodologies may also form an integral part of the risk management and monitoring framework.
49. Reserve managers should be aware of and be able to account for potential financial losses and other consequences of the risk exposures they are prepared to accept. Active management based on expectation of movements in interest rates or exchange rates, or a choice by the reserve management entity to accept a higher risk tolerance in its benchmark portfolios, require that management is able to monitor and control any cumulative financial losses. Implicit in such an environment is the need for specific and monitorable risk limits on the extent to which managers can deviate from the benchmark, and a reliable and timely accounting system for measuring and reporting exposures and losses. In addition to possible financial losses, other consequences can occur such as the risk of adverse signaling to participants with respect to monetary and exchange policies, damage to the reputation of the reserve management entity, and possibly, a breach of a country's obligations in terms of the Fund's Articles of Agreement. In this latter context, reserve management entities need to be aware of their country's obligations to collaborate with the Fund and other member countries to assure orderly exchange arrangements (Article IV.1) and consistency of policies on reserve assets in promoting better international surveillance of international liquidity (Article VIII.7). Accordingly, governance arrangements to avoid such instances might include the requirement for investment committee approval of changes to benchmark parameters or portfolio allocation policies.
50. The risk management framework should also address risks associated with derivative financial instruments and other foreign currency operations. As noted earlier, derivative instruments may be used as part of reserve management operations particularly in reducing risk exposures. Effective risk management requires that the reserve management entity is aware of and understands the risks and benefits of these instruments, and that staff has a sound knowledge of the underlying risks and the modalities of particular instruments used. It also requires reserve management systems that are sufficiently developed to properly measure the values and exposures associated with operations. As the use of derivatives and other structured financial instruments grows, legal risk issues become particularly relevant. In this regard, risk mitigation could involve the use of standardized legal documentation and the performance of periodic reviews of documentation.
51. Beyond their reserve management operations, some reserve management entities also have other functions that involve foreign currency-denominated assets and liabilities both on - and off-balance sheet. 33 While such operations do not fall within the definition of reserve management operations, per se, they may, nonetheless, represent an important part of a reserve management entity's broader mandate and involve policy choices in the utilization of the country's foreign exchange resources.
52. The reserve management entity, therefore, may be exposed to a range of additional risks that need to be managed in a coordinated and consistent manner. In this regard, a comprehensive asset and liability risk management framework could be used to address the overall risk exposure of the reserve management entity's entire balance sheet and, in doing so, reduce the risk of loss or impairment of reserves.
53. To assess the risk and vulnerability of the reserve portfolio, the reserve management entity should regularly conduct stress tests to ascertain the potential effects of macroeconomic and financial variables or shocks. Stress testing can have several objectives and is often conducted using financial models ranging from simple scenario-based models, to more complex models involving sophisticated statistical and simulation techniques. One objective typically is to determine the exposure of the portfolio to changes in market factors, such as changes in exchange rates or interest rates, often by using VaR models.
54. A second objective concerns assessing the possible impact on the level of official foreign exchange reserves of external shocks, contingent obligations that might materialize with such shocks, and sudden calls on reserves that may result from a reversal of short-term capital flows or closing out of the open foreign exchange position of the commercial banking system. Stress testing in this context is qualitatively different from measuring changes in the market value of the portfolio, and can be particularly useful in the formulation of asset and liability management and strategic asset allocation policies to ensure reserve availability during times of external stress.
5. The Role of Efficient Markets.
55. Reserve management, and any related policy operations, should be conducted in markets that have sufficient depth and liquidity, and can process transactions in a sound and efficient manner. Reserve managers need to be certain that reserves can be liquidated in a prompt and efficient manner to provide the necessary foreign exchange for the implementation of policy objectives relating to, for example, market intervention, meeting balance of payments or debt servicing needs, or limiting external vulnerability. Policy actions, on the other hand, can also involve the purchase of foreign exchange that should be placed promptly into investment portfolios. In these situations, undertaking the relevant investment transactions in deep and liquid markets serves to ensure that they can be easily absorbed by these markets and without undue impact on investment prices received, or paid by, the reserve manager. Policy actions invariably, however, involve transactions initiated in the reserve management entity's domestic foreign exchange market, and which have a consequential implication for the reserve manager. In these circumstances, the effectiveness of the policy action will be dependent upon the efficiency and soundness of the domestic market. Furthermore, and of particular relevance for reserve levels, any failings or operating weaknesses in that market can directly impact on either the amount of reserves required to support the policy action or the amount of foreign exchange added to reserve holdings.
56. Undertaking transactions in deep and well-established markets ensures that reserve-related transactions can be easily absorbed at market determined prices without undue distortions, or adverse impacts on the level and availability of foreign exchange reserves.
Asset liability management. The management of business and financial risks by matching the financial characteristics (on - and off-balance sheet) of an entity's assets to those of its liabilities.
뒷 사무실. The area of reserve management operations responsible for confirmation, settlement and, in many cases, reconciliation of reserve management transactions.
Benchmark. The mix of currencies, investment instruments, and duration that reflect the reserve manager's tolerance for exposure to liquidity, credit, and market risks.
Credit risk. The risk of nonperformance or default by borrowers on loans or other financial assets, or by a counterparty on financial contracts.
Currency risk. The risk of adverse movements in foreign currency cross exchange rates that reduce the domestic currency value of international reserves. Currency risk also arises with an appreciation of the domestic currency.
Custodial risk. The failure of a foreign agent or custodian to deliver securities held on behalf of the reserve manager.
Dealing risk. Dealers exceed their authority in dealing with counterparties or instruments, or incorrectly process a transaction.
Duration. A measure of the sensitivity of a portfolio to movements in market yields by determining the time-weighted average of the present values of all future cash flows of a security or a portfolio, discounted at current interest rates.
Front office. The area responsible for initiating investment transactions in accordance with approved delegations, limits, and benchmarks and the prompt and accurate entry of transactions into the investment management system.
Financial error or misstatement risk. The failure of the accounting system and related controls to properly record all transactions and accounting adjustments.
이자율 위험. Sometimes also referred to as an element of market risk, interest rate risk involves the adverse effects of increases in market yields that reduce the present value of fixed interest investments in the reserve portfolio. Interest rate risk increases, ceteris paribus, with the duration of a portfolio.
Internal audit. An independent source of assurance about the management of risks and the operation of the control system that assists management of an organization in the effective discharge of their responsibilities.
Information technology risk. The failure of critical electronic data processing, communication and information systems causing severe disruption to reserve management functions.
Legal risk. The possibility of losses from contracts that are not legally enforceable or not properly documented.
Liquidity risk. Liquidity risk refers to the possible difficulties in selling (liquidating) large amounts of assets quickly, possibly in a situation where market conditions are also unfavorable, resulting in adverse price movements.
Market risk. Risks associated with changes in market prices, such as interest rates and exchange rates. Changes in interest rates affect market prices of fixed interest securities. Hence, shorter duration securities are less at risk than long-term, fixed rate securities.
Middle office. Located between the front and back offices, the middle office's role is to monitor that all transactions have been performed properly, that risks are being monitored and limits observed, and that relevant information is available for management.
Official foreign exchange reserves. Those external assets that are readily available to and controlled by monetary authorities for direct financing of payments imbalances, for indirectly regulating the magnitudes of such imbalances through intervention in exchange markets to affect the currency exchange rate, and/or for other purposes. 34 To meet this definition, reserve assets need to be liquid or marketable foreign currency assets that are under the effective control of, or "useable" by, the reserve manager and held in the form of convertible foreign currency claims of the authorities on nonresidents. To be recognized as part of official foreign exchange reserves, gold must be held by the monetary authorities, as monetary gold.
Operational risk. A range of different types of risks, arising from inadequacies, failures, or non-observance of internal controls and procedures, which threaten the integrity and operation of business systems.
Public debt management. The process of establishing a strategy for managing the government's debt in order to raise the required amount of funding, achieve its risk and cost objectives, and to meet any other sovereign debt management goals the government may have set.
Reputation risk. A reserve manager's reputation and credibility may be called into question as a result of inappropriate reserve management actions, or unauthorized release of information.
Reserve assets. See official foreign exchange reserves.
Reserve management. The process by which public sector assets are managed in a manner that provides for the ready availability of funds, the prudent management of risks, and the generation of a reasonable return on the funds invested.
위험. The possibility of financial or other losses arising from an entity's financial exposures and/or the failure of its internal control systems.
Safeguards Assessment. A two-stage evaluation of a member country's central bank control, accounting, reporting and auditing systems to ensure that resources, including those provided by the Fund, are adequately monitored and controlled. The first stage will determine whether there are clear vulnerabilities in these systems, based on information provided by central banks. If weaknesses in internal procedures are suspected, a second stage will comprise on-site evaluations and recommendations for improvements. Safeguards assessments for all new users of Fund resources began in mid-2000 and will run on an experimental basis to no later than end-2001.
Settlement risk. The potential loss as a result of failure to settle, for whatever reason other than default, by the counterparty.
Sovereign risk. The risk that a foreign sovereign government will restrict the ability of a holder to gain access to their assets or the proceeds from the sale of such assets. Sovereign risk is an inevitable feature of reserve management since assets are necessarily held in foreign countries, often in sovereign government securities of major investment currencies, and for which there are no better investment alternatives available.
1 The word union is used to represent monetary or exchange management unions that also undertake reserve management.
2 Among countries, and among monetary or exchange management unions, the entity responsible for reserve management may be a central bank or monetary authority acting either as a principal, or as an agent for another repository of reserves such as an exchange fund. These entities may also have a range of policy responsibilities and functions that extend beyond their reserve management responsibilities. For discussion purposes, the term reserve management entity is used throughout this paper to refer to the entity that is responsible for reserve management, and the term reserve manager is used to refer to the specific area within the entity that performs the actual reserve management function.
3 A number of countries also maintain separate stabilization or savings funds often related to non-renewable resources. Such funds do not generally fall within the definition of reserve assets, and are not specifically covered by these guidelines. They do, however, represent public sector assets that must be managed with due care and diligence. Accordingly, the principles contained in the guidelines may also have potential relevance for the sound management and stewardship of such foreign assets.
4 Such experiences are not discussed in detail in this paper, but have been drawn upon in identifying risks to which countries have been exposed. Some further detail, however, is provided in Chapter IV.4.
5 A discussion of reserve adequacy can be found in International Monetary Fund, 2000, Debt - and Reserve-Related Indicators of External Vulnerability, which is available on the Fund's website: imf. org/external/np/pdr/debtres/index. htm.
6 In general, control is assured when reserve assets are owned by the reserve management entity. However, external assets held by another authority may also be considered as reserve assets when such assets are under the direct and effective control of the reserve management entity. Comprehensive guidance on definitional and other aspects of reserves and liquidity can be found in, "Data Template on International Reserves and Foreign Currency Liquidity-Operational Guidelines," October 1999, Statistics Department, International Monetary Fund.
7 Official foreign exchange reserves may also include holdings of gold. Such holdings would need to be held by the authorities as monetary gold so as to ensure ready availability for sale and delivery on world bullion markets.
8 Examples of instruments used include swap, futures, and options contracts involving foreign currencies or interest rates. Risk aspects associated with these operations are discussed in Section 4.
9 A currency board arrangement may also have a direct implication for the currency composition of reserves, if there is a requirement for base money to be backed wholly, or predominantly, by the currency to which the local currency is pegged.
10 Arrangements in this regard would include conventional fixed pegs, crawling pegs, horizontal bands, and crawling bands. Further detail on these arrangements can be found in IMF's Annual Report 2001 (Appendix II, pp. 141-143), which is available on the Fund's website: imf. org/external/pubs/ft/ar/2001/eng/index. htm.
12 See MFP Transparency Code 1.1.4 and 1.3.1.
13 See MFP Transparency Code 1.3.1.
14 See MFP Transparency Code 1.1 and 5.1.
15 See MFP Transparency Code 2.1.2.
16 See MFP Transparency Code 3.1 and 3.2.4.
17 It should be noted that this approach differs from more traditional entity-specific reporting regimes, in that it integrates the activities of all public authorities, including the reserve management entity, which may be responsible for, or involved in, responding to currency crises.
18 Further information on the SDDS and the data template, including data periodicity and timeliness, can be obtained from the Dissemination Standards Bulletin Board at dsbb. imf. org/Applications/web/sddshome/.
19 See MFP Transparency Code 4.2.1 and 8.2.1.
20 IAS are promulgated by the International Accounting Standards Board, London. The publication of annual financial statements that are prepared in accordance with such standards, or equivalent national standards, and are independently audited, is also a key element of the Fund's Safeguards Assessment framework. This framework has been adopted to ensure that central banks responsible for managing resources obtained from the Fund have adequate control, accounting, reporting and auditing systems in place to manage funds and to ensure the integrity of operations. The Supporting Document of the MFP Transparency Code also suggests an approach to good accountability practices based on the adoption of internationally recognized accounting and auditing standards.
21 While IAS do not contain any prescriptions relating specifically to international reserves, disclosures by a reserve management entity, on its reserve related assets and liabilities would likely form a large part of the more general annual financial statement disclosures required by IAS. Two relevant standards in this regard are IAS 32, Financial Instruments: Disclosure and Presentation , and IAS 39, Financial Instruments: Recognition and Measurement. These standards require, inter alia, financial statement disclosures relating to exposures to interest rate and credit risks, and the fair or market-based valuation of financial assets.
22 The "mark to market" process of valuing all marketable investments at their current market price is a specific feature of the fair value measures defined in IAS 32 and IAS 39.
23 See MFP Transparency Code 4.2.2 and 8.2.2.
24 Responsibilities in this regard are usually allocated among the ministry of finance, central bank, or a central repository such as an exchange fund.
25 Following, for example, Guideline 2.1.
26 VaR methodologies can be a useful tool and component of risk management systems for the measurement of exposure to risks emanating from movements in market prices. Nonetheless, VaR has limitations and requires careful attention to the development, application, and the analysis of results.
27 Particular operational risks that might need to be addressed in the context of reserve management activities include control system failures associated with: (i) dealing risks; (ii) settlement risk; (iii) custodial risk; (iv) legal risk; (v) information technology risk; and (vi) financial error or misstatement risk. Further detail on each of these risks is contained in the glossary to these guidelines.
28 Typically a separate area, such as the internal audit unit, within the reserve management entity performs this function. In some cases, particularly those involving smaller entities with a limited resource base, consideration might also be given to contracting out internal audit work associated with specialized operations such as reserve management.
29 See MFP Transparency Code 4.4 and 8.4.
30 The definition of a benchmark portfolio may be based on, or similar to, recognized investment "industry" benchmarks such as those used and published by major investment houses. Many reserve managers, while drawing on such industry measures, choose to define and construct their benchmarks with more specific regard for the objectives, operations and risks of the reserve management entity.
31 All benchmark portfolios, for example, reflect tolerance for risk that can, and will, vary among reserve management entities.
32 Reserve management strategies can reflect varying choices between approaches that are generally described as either active or passive management. These terms, however, can be understood in different ways. Sometimes, a buy-and-hold only strategy is viewed as passive management. The more generally accepted view of passive management is one where the risk characteristics of the portfolio replicate those of the benchmark. In this case, portfolio managers take no view on the direction of the market (i. e., the rate of return provided by the benchmark is accepted). However, over time, transactions would be necessary to maintain the alignment of the portfolio with the predetermined benchmark. This is the kind of passive management discussed here. Active management implies that the actual portfolio deviates from the benchmark as managers take views on the direction of the market or some of its components.
33 Examples of other foreign currency activities include the issue of foreign currency-denominated securities to fund lending to domestic entities, facilities to support exporter access to pre - and post-shipment finance, placement of deposits with foreign subsidiaries of the reserve management entity, guarantees, and letter of credit facilities. In some cases, commitments have also been given to foreign supervisory authorities to support the capital and liquidity of the reserve management entity's foreign subsidiaries.