1 2004 년 환율 전망 및 환 위험 해소 방안 2004 년 6 월 9 일 오 치 운 씨티은행 자금부.

Presentation on theme: "1 2004 년 환율 전망 및 환 위험 해소 방안 2004 년 6 월 9 일 오 치 운 씨티은행 자금부."— Presentation transcript:

1 1 2004 년 환율 전망 및 환 위험 해소 방안 2004 년 6 월 9 일 오 치 운 씨티은행 자금부

2 2 Spot1 month3 months6 months12 months EUR/USD1.23201.23001.24001.27001.3200 USD/JPY110.00 108.00104.00102.00 2004 년 환율 전망  미국 경상수지 적자로 인한 달러화의 기조적 하락세는 아직 끝나지 않았음  미국 금리 인상 기대로 촉발된 지난 몇 달 간의 달러화 반등은 이제 마무리 단계  미국 - 유럽, 미국 - 일본 사이의 성장률 격차 역시 좁혀지면서 달러화 약세 및 유로, 엔화 강세에 일조할 것으로 예상  아직 현실화되지는 않고 있으나, 장기적으로 달러화의 하락은 중국 위안화 등 아시아권 신흥 시장 통화에 대해 가장 두드러지게 나타날 것으로 예측

3 3 씨티은행 공식 원달러 환율 예측치 Spot1 month3 months6 months12 months USD/KRW11591165115011251100  외환 수급상 달러 공급 우위가 계속되는 가운데, 국제 외환 시장에서의 달러 약세와 정부 개입 사이의 ‘ 대결 구도 ’ 는 올 하반기에도 이어질 것임  최근 점증하고 있는 ‘3 대 악재 ’ 에 대한 우려를 감안할 때 1,140-50 원 선에서의 정부 개입은 몇 달 더 지속될 듯  연중 저점인 1,140 원선 돌파 여부는 하반기 내수 회복 신호 현실화 및 개입 강도 약화 가능성에 달려 있음  장기적으로, 원 / 달러 환율의 기조적 하락 여부는 앞에서 보았던 위안화 평가 절상 가능성 현실화에 좌우될 것

4 4 외환 수급상 달러 공급 우위의 지속 국제수지 요약 (10 억 달러 )

5 5 외환시장자금시장 대상물통화 (currencies) 자금 (funds) 기능 사고 동시에 판다 (buy AND sell) 빌리거나 혹은 빌려준다 (borrow OR place) 가격환율 (exchange rate) 이자율 (interest rate) 손익계산환차손 / 환차익이자비용 / 이자수익 외환시장과 자금시장 환위험 해소 방안

6 6 Exposure 관리 Exposure 는 위험 (risk) 에 노출되어 있는 상태 Exposure 관리를 위해 자금의 흐름 (cash flow) 파악 필요 자금의 흐름이 spot 시점이 아닌 경우 이자율 리스크 반대 방향의 자금 흐름을 동반하지 않은 장부기장통화 (functional currency) 이외의 통화는 외환 리스크 외환 스왑은 이자율 리스크

7 7 환위험의 유형 1 차적 구분 회계적 환위험 – 경제적 환위험 ( 현금흐름 환위험 ) accounting exchange risk – economic (cash flow) exchange risk 2 차적 구분 환산 환위험 – 거래 환위험 - 영업 환위험 translation – transaction – operating 환율변동으로 인한 재무제표상의 회계적 변동 환율변동 전에 부담한 의무를 환율변동 후에 결제하게 되는 경우의 영향 예상치 못한 환율변동으로 인한 기대 현금흐름의 변동

8 8 환위험의 내부적 관리전략 상계 (netting) 매칭 (matching) 리딩 (leading) 과 래깅 (lagging) 자산부채종합관리 (asset liability management) 포트폴리오 (portfolio) 결제통화조정 (invoicing currency adjustment) 환차손준비금 (exchange loss reserve) 사내 선물환제도 환위험의 관리전략

9 9 환위험의 외부적 관리전략 현물환 (spot exchange) 선물환 (forward exchange) = 현물환 + 스왑포인트 통화옵션 (currency option) Range Forward (Risk Reversal) Target Forward Seagull Enhanced Forward 기타 통화스왑 (currency swap) 기타 – 환변동보험 (foreign exchange fluctuation insurance)

10 10 환위험 관리의 성공요인 환위험 관리의 집중 ( 전문인력 구성 ) 상계시스템의 이용 환투기가 아닌 순수한 환위험 관리에 전념 최고경영자의 환위험 중요성 인식 및 적극적 지원 외부전문가의 활용 적절한 헤지 방법의 선택 환율과 금리의 정확한 예측 노력 외환자금의 운용계획 수립시 환율변화와 관련된 관리계획

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