《外汇风险管理之二》PPT幻灯片

1、1,第三章 外汇风险管理Exchange Rate Risk Management,第一节 外汇风险的涵义 Definition of Exchange Rate Risk 第二节 交易风险及管理方法 Transaction Exposure Management 第三节 经济风险与折算风险 Economic and Translation Exposure 第四节 外汇风险管理策略 Strategy of Exchange Rate Risk Management,2,To discuss the relevance of an MNCs exposure to exchange rate

2、risk; To explain how transaction exposure，economic exposure，translation exposure can be measured; To identify the commonly used techniques for hedging transaction exposure;,Chapter Objectives,3,第一节 外汇风险的涵义Definition,Foreign exchange exposure is a measure of the potential for a firms profitability, n

3、et cash flow, and market value to change because of a change in exchange rates. 指一个经济实体或个人，在涉外经济活动中（如对外贸易、国际交流等）因外汇汇率的变动，使其以外币计价的资产或负债价值涨跌而蒙受损失的可能性。,4,第二节 交易风险及管理方法Transaction Exposure Management,Transaction exposure exists when the future cash transactions of a firm are affected by exchange rate fl

4、uctuations. If transaction exposure exists, the MNC should 1、identify the degree of transaction exposure, 2、decide whether to hedge and how much to hedge based on its degree of risk aversion and exchange rate forecasts, and 3、choose among the various hedging techniques available if it decides to hed

5、ge.,5,An MNCs overall exposure can be assessed by considering each currency position together with the currencys variability and the correlations among the currencies.,An MNCs overall exposure can be assessed,6,Techniques to Eliminate Transaction Exposure,Hedging techniques include: Futures hedge, F

6、orward hedge, Money market hedge, and Currency option hedge. MNCs will normally compare the cash flows that could be expected from each hedging technique before determining which technique to apply.,Hedging Payables Hedging Receivables FuturesPurchase currencySell currency hedgefutures contract(s).f

7、utures contract(s). Forward Negotiate forwardNegotiate forward hedge contract to buycontract to sell foreign currency.foreign currency. Money Borrow localBorrow foreign market currency. Convertcurrency. Convert hedgeto and then investto and then invest in foreign currency.in local currency. Currency

8、Purchase currencyPurchase currency optioncall option(s).put option(s).,Techniques to Eliminate Transaction Exposure,VehiclesAdvantagesDisadvantages ForwardExact hedge; Large bid-ask spreads on Small bid-ask spread small or long-dated deals mark-to- market with mark-to-market can cause a CF mismatch

9、Money market Relatively expensive Synthetic forward hedge not always possible Option provides insurance Option premiums can be expensive,Techniques to Eliminate Transaction Exposure,1985年1月，在赫尔海因茨拉胡拉的主持下，汉莎航空公司从波音公司购买了20架737客机。合同的总金额达到5亿美元，货款在一个年后（即1986年1月）用美元支付。 由于自1980年以来美元持续上涨，至1985年1月1美元差不多可兑换3.

10、2德国马克。如果美元再继续上涨，汉莎航空购买客机的成本将大幅增加。 海因茨在外汇汇率的决策上有自己的主见或想法。像当时有些人的看法一样 ，他相信随着美元的持续上涨，到1986年1月，美元价格也许会出现回落。 但是他并不是完全拿自己的钱作赌注，他采用了一个折衷方案，他以3.2德国马克=1美元价格购入2.5亿远期美元，剩下的2.5亿美元则放任自流。 除了这种方法，他还可用哪些外汇风险管理办法？,购买波音飞机的外币风险管理,10,几种外汇管理方案的评价,Lufghansa公司和海因茨可以采用下列几种外汇管理方案：1不从事风险规避方案；2采用远期外汇买卖的方法；3一部分采用风险规避的方法，另一部分放任

11、自流；4采用外汇期权的方法；5现时买入美元，一直持到付款日。,11,结论 海因茨的方法既有对的方面又有错的方面。他的预测100%正确，美元在后来的几个月里连续下跌一直到1986年初。 事实上，美元不仅仅越来越弱，而且出现了大跳水，到1986年1月当该公司支付波音公司货款市场上的即期汇率下跌到1美元兑换2.3德国马克。 海因茨的方法成本 50%不避险：2.5*2.3=5.75； 50%远期：2.5*3.2=8； 合计： 8+5.75=13.75,12,8+5.75=13.75亿德国马克,1.不套期保值：5*2.3=11.5亿德国马克，多付2.25 2.采用外汇期权合约： 放弃执行，按市价：5*2

12、.3=11.5亿德国马克 期权费率6%，按当时汇率3.2算 5亿*6%*3.2=0.96亿德国马克 11.5+0.96=12.46亿德国马克 多付1.29亿德国马克 3.远期外汇合同： 合同的价格为1美元3.2德国马克，则总成本为16亿马克节省：16-13.75=2.25亿德国马克,13,第三节 经济风险与折算风险Economic and Translation Exposure,一、 经济风险 Economic exposure, also called operating exposure, competitive exposure, or strategic exposure, meas

13、ures the change in the present value of the firm resulting from any change in future operating cash flows of the firm caused by an unexpected change in exchange rates. A firm can assess its economic exposure by determining the sensitivity of its expenses and revenues to various possible exchange rat

14、e scenarios. The firm can then reduce its exposure by restructuring its operations.,经济风险指意料之外的汇率变动使企业计划收益蒙受损失的可能性。,第一，它所针对的是意料之外的汇率变动，意料之中的汇率变动不会给企业带来经济风险。 第二，它所针对的是计划收益，由于意料之中的汇率变动对企业收益的影响已经在计算计划收益的过程中加以考虑，所以经济风险并未包括汇率变动对企业收益的全部影响。,Cash Flows of Jefferson Controls, a U.S.-Based MNE with French and

15、Canadian Affiliates and Trade with Mexico,16,（一）经济风险的计量Measuring the Impact of Economic Exposure 英镑对美元贬值对A公司的影响A电脑公司基本资料,A公司是某美國电脑公司的子公司，设立在英国 該子公司電脑的中央处理器來自美國的Intel，單位进价為$512 当初汇率為$1.6/ 该公司在英国的所得稅率为50% 該公司預估在每部电脑价格1,000的情況下将销售五萬台 单位变动成本为650（其中320來自进口部分）,17,汇率变动影响流程图,汇率变动,原料价格,产品价格,销售数量,价格弹性,它厂价格,現金

16、流量,美元价值,竞争效果,转换效果,18,模似英镑贬值可能产生的影响,1、要素价格改变，其余不变 2、产品与其要素售价均改变，其余不变。 3、产品与其要素售价均改变，且由于需求弹性的关系，造成销售量改变。,19,A公司原始财务预测,20,1、要素价格改变，其余不变,21,2、产品销价与要素价格均改变,22,3、产品销售量、售价与要素售价改变,23,经济风险对公司影响总汇,折現率為15%,（二）经济风险的管理Proactive（主动的） Management of Economic Exposure,The six most commonly employed proactive policie

17、s are: Matching currency cash flows Risk-sharing agreements Back-to-back or parallel loans Currency swaps Leads and lags Reinvoicing center,1、Matching: Debt Financing as a Financial Hedge,Matching currency cash flows.,One way to offset an anticipated continuous long exposure to a particular company

18、is to acquire debt denominated in that currency (matching). Another alternative would be for the US firm to seek out potential suppliers of raw materials or components in Canada as a substitute for US or other foreign firms. In addition, the company could engage in currency switching, in which the c

19、ompany would pay foreign suppliers with Canadian dollars.,2、Currency Clauses: Risk-Sharing:,An alternate method for managing a long-term cash flow exposure between firms is risk sharing. This is a contractual arrangement in which the buyer and seller agree to “share” or split currency movement impac

20、ts on payments between them. This agreement is intended to smooth the impact on both parties of volatile and unpredictable exchange rate movements.,3、Back-to-Back Loans:,A back-to-back loan, also referred to as a parallel loan or credit swap, occurs when two business firms in separate countries arra

21、nge to borrow each others currency for a specific period of time. At an agreed terminal date they return the borrowed currencies. Such a swap creates a covered hedge against exchange loss, since each company, on its own books, borrows the same currency it repays.,Using a Back-to-Back Loan for Curren

22、cy Hedging,4、Currency Swaps:,A currency swap resembles a back-to-back loan except that it does not appear on a firms balance sheet. In a currency swap, a firm and a swap dealer or swap bank agree to exchange an equivalent amount of two different currencies for a specified amount of time.,Using a Cro

23、ss-Currency Swap to Hedge Currency Exposure,5、Leads and Lags: Retiming the transfer of funds,Firms can reduce economic exposure by accelerating or decelerating the timing of payments that must be made or received in foreign currencies. Intracompany leads and lags is more feasible as related companie

24、s presumably embrace a common set of goals for the consolidated group. Intercompany leads and lags requires the time preference of one independent firm to be imposed on another.,33,Leading and lagging,6、Reinvoicing Centers:,There are three basic benefits arising from the creation of a reinvoicing ce

25、nter: Managing foreign exchange exposure Guaranteeing the exchange rate for future orders Managing intrasubsidiary cash flows,Use of a Reinvoicing Center,7、Managing operating exposure through operations,Take advantage of the MNCs ability to respond to differences in real foreign exchange rates Plant

26、 location: Gain access to low-cost labor or capital resources Product sourcing: Shift production to countries with low real costs Market selection: Shift marketing efforts toward countries with higher demand or “overvalued” currencies,8、Pricing strategy in intl markets,An example For the classic Jap

27、anese exporter, an appreciation of the euro increases the purchasing power of euro-zone customers Pricing alternatives include Hold the euro price constant Sell the same quantity Bigger yen profit margin per unit Hold the yen price constant Lower euro price Higher sales volume,The price elasticity o

28、f demand,Optimal pricing depends on the price elasticity of demand = -(DQ/Q)/(DP/P) Measures the sensitivity of quantity sold to a percentage change in price price elastic demand - a small change in price results in a large change in quantity sold, so lower the price price inelastic demand - a small

29、 change in price results in an even smaller change in quantity sold, so hold the price constant,39,經濟風險的管理,1、目的： 在波動的匯率下，為公司建立穩定的現金流量。 2、管理原則與方法,原則：分散財務基礎 分散融資來源：透過國際費雪效應 以預期營收與借入資金相抵 作法： 借入弱勢貨幣 分散長期外幣借款的幣值種類,原則：營運分散 增加資訊來源 增加營運彈性 方法： 選擇低成本的生產地點，或多點生產。 分散原料來源 分散市場 創造產品差異性,40,经济风险的管理措施,市场策略：在汇率发生变动时，

30、采取调整售价、销量、销售分布、改变促销政策等措施减少经济风险的影响。 生产策略：可以通过变更投入物的来源减少经济风险的影响。从长期来看，从软通货国家进口更多的原材料和零部件时非常有利的。 融资策略：可仔细审查涉及的外币资金借贷状况，以尽可能减少外汇风险。 分散经营策略：由于对汇率运动的长期性预测的准确性很难把握，因此可通过产品定位来分散经济风险。,经济风险分析：实例,简要分析,美国公司收益因加元升值而锐减。 造成美国公司收益锐减的主要原因在于美国公司加元收入与加元成本费用的严重背离。 这种由于汇率变动而导致的公司收益的波动的现象称为汇率经济风险。 经济风险对公司收益形成长期影响。,经济风险管理

31、,规避汇率经济风险必须重构公司现金流。 公司现金流的重构以外币收支平衡为原则。 经营的多元化与财务的多元化是重构公司现金流重要手段。,基于前例的现金流重构：实例,目标： 增加加元销售收入； 减少加元制造成本； 降低加元利息负担。 措施： 广告促销，增投广告费200万美元，实现加元销售收入2000万加元，同时，需增加材料消耗1000万美元； 减少加元采购1亿加元，代之以美元采购8000万美元； 增加美元借款，减少加元借款，因此造成美元利息费用增加400万美元，加元利息费用减少500万加元。,现金流重构策略,51,二、折算风险,Translation exposure, also called a

32、ccounting exposure, arises because financial statements of foreign subsidiaries which are stated in foreign currency must be restated in the parents reporting currency for the firm to prepare consolidated financial statements. 折算风险（Translation Exposure）又称会计风险，或转换风险，指企业在将各种外币资产负债转换成记帐货币的会计处理业务中，因汇率波动

33、而出现帐面损失的可能性。就是由于汇率变动，报表的不同项目采用不同汇率折算而产生损失或利得的风险。,52,折算风险的形成,在汇入过程中，因汇率波动而造成的“合并净利”与“合并权益”变化，即形成所谓的折算风险。,53,由于汇率变化而引起资产负债表中某些以外币计量的资产、负债、收入和费用在折算成以本国货币表示的项目时可能产生的帐面损失,折算风险案例 假设，我国某合资企业以美元为记帐货币。年初该企业有4万英镑存款，英镑/美元的汇率为1.83，在财务报表中折算为7.32万美元。年底该公司编制资产负债表时，英镑/美元的汇率为1.50，该笔英镑存款经重新折算仅为6万美元，帐面价值减少了1.32万美元。,54

34、,折算风险的特点是：,发生折算风险时，用外币计量的项目（资产、负债、收入和费用）的发生额必须按本国货币重新表述，且必须按母公司所在国的会计规定进行。公司在报告时，为了把原来用外币计量的资产、负债、收入和费用，合并到本国货币账户内，必须把上述用外币计量的项目的发生额按本国货币重新表述，亦称折算的重新表述，它必须按母公司所在国政府或公司自己确立的规定进行。,55,折算风险的衡量,56,Translation principle,Foreign currency financial statements must be restated in the parent companys reportin

35、g currency If the same exchange rate were used to remeasure each and every line item on the individual statement (I/S and B/S), there would be no imbalances resulting from the remeasurement What if a different exchange rate were used for different line items on an individual statement (I/S and B/S)?

36、 An imbalance would result,57,Why would we use a different exchange rate in remeasuring different line items?,Translation principles in many countries are often a complex compromise between historical and current market valuation. Historical exchange rates can be used for certain equity accounts, fi

37、xed assets, and inventory items, while current exchange rates can be used for current assets, current liabilities, income, and expense items.,58,Two basic methods,The current rate method The temporal method Regardless of which method is employed, a translation method must not only designate at what

38、exchange rate individual balance sheet and income statement items are remeasured, but also designate where any imbalance is to be recorded (current income or an equity reserve account).,59,The current rate method,the most prevalent in the world today. Assets and liabilities are translated at the cur

39、rent rate of exchange Income statement items are translated at the exchange rate on the dates they were recorded or an appropriately weighted average rate for the period Dividends (distributions) are translated at the rate in effect on the date of payment Common stock and paid-in capital accounts ar

40、e translated at historical rates,60,Gains or losses caused by translation adjustments are not included in the calculation of consolidated net income. Rather, translation gains or losses are reported separately and accumulated in a separate equity reserve account (on the B/S) with a title such as cum

41、ulative translation adjustment (CTA). The biggest advantage of the current rate method is that the gain or loss on translation does not pass through the income statement but goes directly to a reserve account (reducing variability of reported earnings).,61,the temporal method,Under the temporal meth

42、od, specific assets are translated at exchange rates consistent with the timing of the items creation. This method assumes that a number of individual line item assets such as inventory and net plant and equipment are restated regularly to reflect market value. Gains or losses resulting from remeasurement are carried directly to current consolidated income, and not to equity reserves (increased variability of consolidated earnings).,63,Managing Translation Exposure,The main technique to minimize translation exposure is called a balance sheet hedge. A bala