ปัจจุบัน ระบบธนาคารให้ความสำคัญต่อความเสี่ยงจากธุรกรรมการซื้อขายเงินตราต่างประเทศ เพิ่มขึ้น โดยได้ขยายกรอบความคิดจากความเสี่ยงประเภท Market Risk ซึ่งหมายถึงผลขาดทุนที่อาจเกิดขึ้นจากความผันผวนของอัตราแลกเปลี่ยน มาสู่ความเสี่ยงที่เรียกว่า Settlement Risk ที่อาจเกิดขึ้นในระหว่างที่ผลการโอนและรับโอนเงินตราต่างประเทศยังไม่เสร็จสิ้นสมบูรณ์
FX Settlement Risk มีผลกระทบสูงกว่า Market Risk เพราะเมื่อเกิดขึ้นธนาคารผู้ซื้อเงินตราต่างประเทศอาจสูญเสียเงินทั้งจำนวนที่ซื้อขาย (Principal Loss) เนื่องจากได้โอนจ่ายเงินชำระแก่คู่กรณีแล้ว แต่ไม่ได้รับเงินตราต่างประเทศที่ซื้อ รวมทั้งอาจต้องเสียค่าใช้จ่ายที่เรียกว่า Replacement Cost กรณีที่ต้องหาเงินตราต่างประเทศมาทดแทนส่วนที่คาดว่าจะได้รับจากคู่ค้าแต่ไม่ได้รับ ความสูญเสียดังกล่าวอาจส่งผลไปถึงเสถียรภาพระบบการเงินของประเทศด้วย
รายละเอียดเพิ่มเติมจากรายงานของ Committee on Payment and Settlement Systems (CPSS) จาก website ของ BIS คือ
1.SETTLEMENT RISK IN FOREIGN EXCHANGE TRANSACTIONS
INTRODUCTION
Financial liberalisation, expanded cross-border capital flows and major advances in trading technology have led to dramatic changes and growth in foreign exchange trading in the last twenty years. While banks have upgraded their operational capacity to settle these trades over time, current settlement practices generally expose each trading bank to the risk that it could pay over the funds it owes on a trade, but not receive the funds it is due to receive from its counterparty. Given the estimated US$ 1 1/4 trillion of foreign exchange trades arranged daily, the resulting large exposures raise significant concerns for individual banks and the international financial system as a whole. Although the probability of a major disruption in the foreign exchange settlement process is low, its potential consequences in a market of this size and complexity are considerable.
This report, which was prepared on behalf of the Committee on Payment and Settlement Systems by its Steering Group on Settlement Risk in Foreign Exchange Transactions, offers a practical approach to dealing with this risk. The report analyses existing arrangements for settling foreign exchange trades and makes recommendations grounded in market realities. It calls upon individual banks and industry groups alike to improve current practices and devise safe mechanisms for addressing settlement risk. For their part, central banks have identified several avenues for cooperating with the private sector and for providing inducements to push this effort forward. I believe the report makes a compelling case that the private sector can, with a relatively modest expenditure of resources, make important progress in containing settlement risk.
The Committee on Payment and Settlement Systems is indebted to Peter Allsopp for his excellent leadership in chairing the Steering Group. Mr. Allsopp, who has made many fine contributions to the work of the Committee and its predecessor over the years, is retiring from the Bank of England this year. Able assistance in editing, translating and publishing the report was provided by the BIS.
William J. McDonough, Chairman, Committee on Payment and Settlement Systems and President, Federal Reserve Bank of New York
2. REDUCING FOREIGN EXCHANGE SETTLEMENT RISK: A PROGRESS REPORT
FOREWORD
In 1996 the G-10 central banks launched a major campaign to reduce foreign exchange settlement risk. The chosen strategy was founded on the belief that the private sector, with the active support of the public sector, had the power to contain the risk that first came into focus at the time of the 1974 failure of Bankhaus Herstatt. Recognising, however, that success was not guaranteed, the Committee on Payment and Settlement Systems has monitored progress closely for two years to determine the need for further action.
This report, prepared on behalf of the CPSS by its Steering Group on Settlement Risk in Foreign Exchange Transactions, concludes that encouraging progress has been made over the past two years but more needs to be done. Many individual institutions have significantly enhanced the way they manage their foreign exchange settlement exposures, groups of institutions have been working constructively on risk-reducing multicurrency services, and a number of key payment systems have benefited from useful improvements. However, many banks still do not manage their exposures appropriately and industry efforts have not yet realised their full risk-reducing potential.
Thus, despite significant progress, the potential consequences of a disruption in the foreign exchange settlement process remain considerable. As a result, the G-10 central banks have decided to reaffirm and strengthen the strategy launched in 1996, and the report sets out how this is being done. Prompt action to tackle foreign exchange settlement risk remains essential and I strongly believe that continued implementation of the strategy, with the private and public sectors working in concert, is the best way forward.
Bringing the work to this point has been a major accomplishment, and the CPSS is very grateful for the efforts of the Steering Group, which has benefited greatly from the leadership of its chairmen during the past two years - Christopher J. McCurdy (1996-1997) and Lawrence M. Sweet (1997-1998), both of the Federal Reserve Bank of New York.
William J. McDonough, Chairman,Committee on Payment and Settlement System sand President, Federal Reserve Bank of New York
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