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1. EXECUTIVE SUMMARY ............................................................................................ 1
1.1 Introduction ......................................................................................................... 1
1.1.1 Central bank concerns .................................................................................. 1
1.1.2 G-10 initiatives to address concerns ............................................................. 1
1.2 Summary of strategy ............................................................................................ 2
2. OVERVIEW OF FOREIGN EXCHANGE SETTLEMENT RISK ............................ 4
2.1 Types of risk ......................................................................................................... 4
2.2 Factors leading to central bank concerns ............................................................ 4
2.2.1 The failure of Bankhaus Herstatt (1974) ....................................................... 6
2.2.2 Drexel Burnham Lambert (1990) .................................................................. 6
2.2.3 BCCI (1991) ................................................................................................. 7
2.2.4 The attempted Soviet coup d'état (1991) ....................................................... 7
2.2.5 The Barings crisis (1995) ............................................................................. 8
2.3 Defining and measuring foreign exchange settlement exposure ......................... 8
3. MARKET SURVEY ...................................................................................................... 11
3.1 Duration of foreign exchange settlement exposures ............................................ 11
3.2 Size of foreign exchange settlement exposures .................................................... 11
3.3 Potential impact of changing practices ................................................................ 12
3.3.1 Payment cancellation and receipt identification ........................................... 12
3.3.2 Netting ......................................................................................................... 12
3.4 Market responses and initiatives ......................................................................... 13
3.4.1 Individual bank level .................................................................................... 13
3.4.2 Industry group level ..................................................................................... 15
4. DESCRIPTION OF STRATEGY ................................................................................. 18
4.1 Action by individual banks to control their foreign exchange settlement
exposures .............................................................................................................. 18
4.1.1 Description of recommended action .............................................................. 18
4.1.2 Central bank policy perspective .................................................................... 20
4.2 Action by industry groups to provide risk-reducing multi-currency services ... 21
4.2.1 Description of recommended action .............................................................. 22
4.2.2 Central bank policy perspective .................................................................... 24
4.3 Action by central banks to induce rapid private sector progress ....................... 27
4.3.1 Description of recommended action .............................................................. 28
4.3.2 Central bank policy perspective .................................................................... 30
5. NEXT STEPS ................................................................................................................. 32
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