구조적 외환 포지션 설명(Structural FX position)

해외 자산과 부채를 매치하여 환 포지션을 모두 제거하면(Square position) 환율변동에 따른 손익변동이나 순오픈 포지션으로 산출하는 시장리스크 자본요구량의 부담은 덜 수 있으나, 외화자산의 자국 통화환산액이 환율 변동에 따른 영향을 받기 때문에 자기자본비율이 변동 문제 발생

환율 변동에 따른 비율간의 상충 문제를 완화하는 방법으로 구조적 포지션을 도입하여 구조적 포지션에 해당하는 경우 시장리스크 산출에서 제외할 수 있도록 함

※ (정의) 구조적 외환 포지션은 외환 거래가 아닌 은행의 구조적 요인(본질적 운영 요소)에 비롯된 외환 포지션으로 해외 자회사 투자 금액이 해당

구분		Case 1	Case 2
			구조적 외환 포지션 미인정	구조적 외환 포지션 인정
변경전	재무제표	자산 외화자산 : 400 국내자산 : 200 부채 / 자본 외화부채 : 400 국내부채 : 140   자기자본 : 60	자산 외화자산 : 400 국내자산 : 200 부채 / 자본 외화부채 : 360 국내부채 : 140   자기자본 : 60 오픈포지션 :40	자산 외화자산 : 400 국내자산 : 200 부채 / 자본 외화부채 : 360 국내부채 : 140   자기자본 : 60 오픈포지션 :40
	자본비율	60 ÷ (400 + 200) = 10%	60 ÷ (400 + 200 + 3.2) = 9.95%	60 ÷ (400 + 200) = 10%
변경후(환율 15%상승)	재무제표	자산 외화자산 : 460 국내자산 : 200 부채 / 자본 외화부채 : 460 국내부채 : 140   자기자본 : 60	자산 외화자산 : 460 국내자산 : 200 부채 / 자본 외화부채 : 414 국내부채 : 140   자기자본 : 66 오픈포지션 :46	자산 외화자산 : 460 국내자산 : 200 부채 / 자본 외화부채 : 414 국내부채 : 140   자기자본 : 66 오픈포지션 :46
	자본비율	60 ÷ (460 + 200) = 9.09%	66 ÷ (460 + 200 + 3.68) = 9.94%	66 ÷ (460 + 200) = 10%
결론	– Case 1 : 시장리스크 관리를 위해 Open Position 미발생(시장리스크 존재하지 않음) ⇒ 환율 변경시 자본비율 영향 받음   – Case 2 : 환율 변동에 따른 자본비율 영향 최소화를 위해 Open Position 발생(시장리스크 존재함) · 구조적 외환 포지션 미인정 : 시장리스크 발생으로 자본비율 하락, 환율 변동에 따른 자본비율 영향 미미 · 구조적 외환 포지션 인정 : 시장리스크 발생하지 않음 , 환율 변동에 따른 자본비율 영향 없음 ⇒ 구조적 포지션 인정으로 자본비율 및 시장리스크 관리 모두 가능     ▶ 구조적 외환 포지션 도입하여 자본비율 및 시장리스크 모두 관리

※ 구조적 외환 포지션 인정 요건   ① 환율 변동에 따른 BIS 비율의 불리한 변화 중의 일부 또는 전부를 헤지하기 위한 포지션 ② 제외되는 포지션은 투자금액의 최대값으로 제한 ③ 포지션의 제외는 최소 6개월간 유지되어야 하며, 자산 또는 기타항목의 보유기간동안 유지되는 헤지 포지션의 제외가 일관되게 적용되어야 함 ④ 금융당국의 사전 승인 및 문서화가 필요 ⑤ 비트레이딩 계정으로 관리 될 것

An FX structural position refers to a deliberate foreign exchange exposure maintained by a financial institution to hedge its capital ratio against adverse effects of exchange rate fluctuations. This concept is particularly important in the context of banking regulation and risk management.

Key Aspects of Structural FX Positions

Nature and Purpose
FX structural positions are deliberately taken or maintained by institutions to protect their capital ratios from currency fluctuations1. These positions are typically long-term and are not held for trading purposes. The main objective is to reduce the volatility of the capital ratio with respect to changes in exchange rates1.Regulatory Context
The concept of structural FX positions is addressed in banking regulations, particularly in the Capital Requirements Regulation (CRR) of the European Union. Article 352(2) of the CRR allows competent authorities to authorize the exclusion of certain FX positions from the calculation of net open currency positions, provided they are of a non-trading or structural nature1.Calculation and Limits
The maximum open position that can be exempted under the structural FX provision is capped by the position that neutralizes the sensitivity of the capital ratio to changes in the exchange rate1. Institutions are required to calculate this maximum open position using methodologies specified by regulatory guidelines.

Characteristics of Structural FX Positions

1. Book Classification: Structural FX positions can span both trading and banking books.
2. Management Oversight: Decisions regarding structural FX positions are typically made at the top management level and are often documented through processes like the Asset and Liability Management Committee (ALCO).
3. Capital Ratio Focus: The positions are maintained to protect specific capital ratios (e.g., CET1, Tier 1, or total capital ratio) at either the consolidated or solo level1.
4. Long or Short Positions: While the net structural open FX position is typically long, the actual hedge maintained to protect the capital ratio can be either long or short, depending on the institution’s specific circumstances.
5. Multiple Currencies: Institutions may seek permission to exclude FX risk positions in more than one currency, particularly for currencies that are relevant to their business.

Examples of Structural FX Positions

1. Subsidiary Investments: A European parent company investing in a USD-denominated subsidiary may maintain a long USD position to hedge its capital ratio against USD/EUR fluctuations.
2. Tax-Related Hedging: In cases where FX movements on investments and liabilities have different tax treatments, institutions may take short positions to neutralize the impact on their CET1 ratio.
3. Consolidated Group Hedging: For groups with subsidiaries in multiple currencies, short positions in those currencies against the reporting currency may be necessary to hedge the group’s capital ratio.

It’s important to note that while structural FX positions are primarily associated with banking book positions, they are not strictly limited to them. The key is that these positions must be demonstrably non-trading in nature and maintained for the purpose of hedging capital ratios

Structural FX Position: Why Banks Manage It & How Regulations Affect It

Banks manage Structural FX positions to minimize the impact of exchange rate fluctuations on their capital ratios. Unlike trading-related FX risks, Structural FX arises from the cross-border operations of banks, such as foreign subsidiaries.

1. Why Do Banks Manage Structural FX?

Banks need to balance two conflicting goals:

1. Avoiding FX losses – By keeping assets and liabilities in the same currency (Matched Position).
2. Stabilizing the capital ratio – By keeping an open FX position that offsets capital fluctuations due to currency movements (Open Position).

Below is a table comparing the two Structural FX management strategies:

Table 1: Structural FX Management Strategies

Strategy	Description	Impact on Capital Ratio	Regulatory Treatment
Matched Position	The bank ensures that foreign assets = foreign liabilities to avoid FX losses.	Capital ratio fluctuates due to FX translation effects.	No exemption needed, but capital ratio is affected.
Open Position	The bank keeps an open FX position to stabilize capital ratio but exposes itself to FX risk.	Capital ratio remains stable but at the cost of FX market risk.	Requires exemption to avoid high capital charges.

The figure illustrates the impact of Structural FX on the capital ratio under different exchange rate scenarios:

Impact of Structural FX on Capital Ratio

• Matched Position (Blue Line): The capital ratio fluctuates significantly when the EUR/USD exchange rate moves.
• Open Position (Orange Line): The capital ratio remains more stable, as the FX exposure is used to hedge fluctuations.

This visual helps explain why banks use Structural FX strategies—the Open Position strategy reduces capital ratio volatility but exposes the bank to FX market risk.

2. How Do Regulations Impact Structural FX Management?with figures

Regulatory authorities recognize that banks need to manage Structural FX risk. However, to prevent misuse of exemptions, regulators impose strict conditions on which positions can be excluded from market risk capital requirements.

Key Regulatory Developments:

• 1996 Basel Amendment: Allowed Structural FX positions to be excluded from Pillar 1 market risk capital requirements.
• 2019-2022 FRTB & EBA Guidelines (Europe):
  • Stricter rules on which Structural FX positions qualify for exemption.
  • Limit of 5 currencies for exemption.
  • Quarterly reporting requirements for banks.
• Korean Regulations (From FX.pdf):
  • Requires Structural FX positions to stabilize capital ratios.
  • Banks must hold exempt positions for at least 6 months.
  • Regulatory approval must be obtained before exemption.

Table 2: Regulatory Comparison (Europe vs. Korea)

Aspect	Europe (EBA 2020 Guidelines)	Korea (FX.pdf)
Exemption Criteria	Only positions that hedge capital ratio can be exempted.	Must hedge capital adequacy ratio from FX fluctuations.
Number of Currencies Allowed	Top 5 currencies only.	No explicit currency limit, but amount capped at investment value.
Reporting Requirements	Quarterly reporting of FX sensitivity and open positions.	Regulatory reporting required, but frequency unclear.
Approval Needed	Yes, must document risk appetite and policies.	Yes, regulatory approval needed before exemption.
Holding Period	Not explicitly mentioned.	Minimum 6 months.

3. Why Do Banks Care About These Regulations?

The new European and Korean regulatory frameworks significantly impact how banks manage Structural FX.

• For European banks:
  • The 5-currency limit means banks with multiple international operations may lose exemption benefits.
  • This could force them to increase capital reserves or switch to a Matched Position strategy, increasing volatility.
• For Korean banks:
  • Structural FX positions must be held for at least 6 months.
  • The amount eligible for exemption cannot exceed the investment amount in a subsidiary.
  • Approval processes require strong documentation.

4. Conclusion: Why Banks Do It

• Structural FX management is critical for capital stability in multinational banks.
• Banks choose Matched Position if they want to avoid FX market risk but face capital ratio volatility.
• Banks choose Open Position if they want to stabilize capital ratios, but need regulatory exemption to avoid excessive capital charges.
• Regulations have tightened, making it harder for banks to benefit from exemptions, leading to changes in FX risk management strategies.

Institutions use the following criteria to determine if an FX position is structural:

1. Deliberate Hedging Intent: The position must be deliberately taken to hedge the capital ratio.
2. Non-Trading Nature: The position should not be held for trading purposes.
3. Long-Term Perspective: Structural positions are typically maintained over an extended period.
4. Capital Ratio Focus: The positions should be maintained to protect specific capital ratios (e.g., CET1, Tier 1, or total capital ratio) at either the consolidated or solo leve1.
5. Currency Relevance: The currency must be significant to the institution’s operations, typically among the top ten foreign currencies by credit risk-weighted assets or represent at least 1% of total credit RWAs in non-reporting currencies.
6. Net Long Position: Generally, the structural FX position should be long on a net basis.