国际财务管理（英文版·原书第9版） 课件 第8章　交易风险暴露的管理

ManagementofTransactionExposureChapterEightCopyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ChapterOutlineThreeTypesofExposureShouldtheFirmHedge?HedgingForeignCurrencyReceivablesHedgingForeignCurrencyPayablesCross-HedgingMinorCurrencyExposureHedgingContingentExposureHedgingRecurrentExposurewithSwapContractsHedgingthroughInvoiceCurrencyHedgingviaLeadandLagExposureNettingWhatRiskManagementProductsDoFirmsUse?Summary8-2Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ThreeTypesofExposureItisconventionaltoclassifyforeigncurrencyexposuresintothreetypes:TransactionexposureisthepotentialchangeinthevalueoffinancialpositionsduetochangesintheexchangeratebetweentheinceptionofacontractandthesettlementofthecontractEconomicexposureisthepossibilitythatcashflowsandthevalueofthefirmmaybeaffectedbyunanticipatedchangesintheexchangeratesTranslationexposureistheeffectofanunanticipatedchangeintheexchangeratesontheconsolidatedfinancialreportsofanMNC8-3Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ThreeTypesofExposure(Continued)FirmissubjecttotransactionexposurewhenitfacescontractualcashflowsthatarefixedinforeigncurrenciesExampleSupposeaU.S.firmsolditsproducttoaGermanclientonthree-monthcredittermsandinvoiced€1millionWhentheU.S.firmreceived€1minthreemonths,itwillhavetoconvert(unlessithedges)theeurosintodollarsatthespotexchangerateprevailingonthematuritydate,whichcannotbeknowninadvance8-4Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HedgingTransactionExposureThischapterfocusesonalternativewaysofhedgingtransactionexposureusingvariousfinancialcontractsandoperationaltechniquesFinancialcontractsForwardcontracts,moneymarketinstruments,optionscontracts,andswapcontractsOperationaltechniquesChoiceoftheinvoicecurrency,lead/lagstrategy,andexposurenetting8-5Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ShouldtheFirmHedge?Noconsensusonthequestionofwhetherafirmshouldhedge;Mostargumentssuggestingcorporateexposuremanagementwillnotaddvaluetothefirmholdinthecaseofa“perfect”capitalmarketOnecanmakeacaseforcorporateriskmanagementbasedonvariousmarketimperfections:InformationasymmetryDifferentialtransactioncostsDefaultcostsProgressivecorporatetaxes8-6Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.TaxSavingsfromHedgingExchangeRiskExposure8-7Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HedgingForeignCurrencyReceivablesSupposeBoeingCorporationexportedalandinggearofBoeing737aircrafttoBritishAirwaysandbilled£10millionpayableinoneyear,withmoneymarketinterestratesandforeignexchangeratesgivenasfollows:U.S.interestrate:6.10%perannumU.K.interestrate:9%perannumSpotexchangerate:$1.50/£Forwardexchangerate:$1.46/£(1-yearmaturity)WhenBoeingreceives£10minoneyear,itwillconvertthepoundsintodollarsatthespotexchangerateprevailingatthetime8-8Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ForwardMarketHedgeMostdirectandpopularwayofhedgingtransactionexposureisbycurrencyforwardcontractsSell(buy)foreigncurrencyreceivables(payables)forwardtoeliminateexchangeriskexposureBoeingmaysellforwarditspoundsreceivables,£10m,fordeliveryinoneyear,inexchangeforagivenamountofU.S.dollarsOnthematuritydateofthecontract,Boeingwillhavetodeliver£10mtothebank,whichisthecounterpartyofthecontract,and,inreturn,takedeliveryof$14.6m($1.46/£*£10m),regardlessofthespotexchangeratethatmayprevailonthematuritydate8-9Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.DollarProceedsfromtheBritishSale:ForwardHedgeversusUnhedgedPosition8-10Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ForwardMarketHedge(Continued)Supposethatonthematuritydateoftheforwardcontract,thespotrateturnsouttobe$1.40/£,whichislessthantheforwardrate,$1.46/£Boeingwouldhavereceived$14minsteadof$14.6mhaditnotenteredtheforwardcontractWhatifthespotratehadbeen$1.50/£atmaturity?Boeingwouldhavereceived$15mbyremainingunhedgedExpost,forwardhedgingwouldhavecostBoeing$0.4mGainsandlossesarecomputedbythefollowing:8-11Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Gains/LossesfromForwardHedge8-12Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.IllustrationofGainsandLossesfromForwardHedging8-13Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ForwardMarketHedge(Concluded)

8-14Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.CurrencyFuturesversusForwardsAfirmcoulduseacurrencyfuturescontract,ratherthanaforwardcontract,forhedgingpurposesAfuturescontractisnotassuitableasaforwardcontractforhedgingpurposesfortworeasons:Unlikeforwardcontractsthataretailor-madetothefirm’sspecificneeds,futurescontractsarestandardizedinstrumentsintermsofcontractsize,deliverydate,etc.Thus,inmostcases,thefirmcanonlyhedgeapproximatelyDuetothemarking-to-marketproperty,thereareinterimcashflowspriortothematuritydateofthefuturescontractthatmayhavetobeinvestedatuncertaininterestratesAgain,thismakesexacthedgingdifficult8-15Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.MoneyMarketHedgeAfirmmayborrow(lend)inforeigncurrencytohedgeitsforeigncurrencyreceivables(payables),therebymatchingitsassetsandliabilitiesinthesamecurrencyBoeingcaneliminatetheexchangeexposurearisingfromtheBritishsalebyfirstborrowinginpounds,thenconvertingtheloanproceedsintodollars,whichthencanbeinvestedatthedollarinterestrateOnthematuritydateoftheloan,BoeingisgoingtousethepoundreceivabletopayoffthepoundloanIfBoeingborrowsaparticularpoundamountsothatthematurityvalueofthisloanbecomesexactlyequaltothepoundreceivablefromtheBritishsale,Boeing’snetpoundexposureisreducedtozero8-16Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.MoneyMarketHedge(Continued)WhatamountofpoundsshouldBoeingborrow?Amounttoborrowmaybecomputerasthediscountedpresentvalueofthepoundreceivable£10m/(1.09)=£9,174,312Step-by-stepprocedureofmoneymarkethedging:Borrow£9,174,312Convert£9,174,312into$13,761,468atthecurrentspotexchangerateof$1.50/£Invest$13,761,468intheU.S.Afteroneyear,collect£10mfromBritishAirwaysanduseittorepaythepoundloanReceivethematurityvalueofthedollarinvestment,thatis,$14,600,918=($13,761,468)(1.061)8-17Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.CashFlowAnalysisofaMoney

MarketHedge8-18Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.OptionsMarketHedgeOnepossibleshortcomingofbothforwardandmoneymarkethedgesisthatthesemethodscompletelyeliminateexchangeriskexposureIdeally,Boeingwouldliketoprotectitselfonlyifthepoundweakens,whileretainingtheopportunitytobenefitifthepoundstrengthensCurrencyoptionsprovideaflexible“optional”hedgeagainstexchangeexposureFirmmaybuyaforeigncurrencycall(put)optiontohedgeitsforeigncurrencypayables(receivables)8-19Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.OptionsMarketHedge(Continued)SupposethatintheOTCmarket,Boeingpurchasedaputoptionon£10mwithanexercisepriceof$1.46/£andaone-yearexpiration,andassumetheoptionpremium(price)was$0.02perpoundBoeingpaid$200,000(=$0.02*10million)fortheoptionProvidesBoeingwiththeright,butnottheobligation,tosellupto£10mfor$1.46/£,regardlessofthefuturespotrateAssumethespotexchangerateturnsouttobe$1.30ontheexpirationdateUpfrontcostisequivalentto$212,200=($200,000*1.061)Netdollarproceedsare$14,387,800=$14.6m-$212,200Boeingisassuredof“minimum”dollarreceiptof$14,387,8008-20Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.OptionsMarketHedge(Concluded)Consideranalternativescenariowherethepoundappreciatesagainstthedollar,andassumethespotrateturnsouttobe$1.60perpoundatexpirationBoeingwillhavenoincentivetoexercisetheoptionRather,itwouldlettheoptionexpireandconvert£10minto$16matthespotrateSubtracting$212,200fortheoptioncost,thenetdollarproceedswillbecome$15,787,800undertheoptionhedgeOptionshedgeallowsthefirmtolimitdownsideriskwhilepreservingtheupsidepotential,butfirmmustpayforthisflexibilityintermsoftheoptionpremium8-21Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ComparisonofHedgingStrategiesMoneymarkethedgeversusforwardhedgeMoneymarkethedgedominatessincetheguaranteeddollarproceedsfromtheBritishsalewiththemoneymarkethedgeexceedsguaranteedproceedswithforwardhedgeMoneymarkethedgeversusoptionshedgeOptionshedgedominatesmoneymarkethedgeforfuturespotratesgreaterthan$1.4813/£,butmoneymarkethedgedominatesoptionshedgeforspotrateslowerthan$1.4813/£OptionshedgeversusforwardhedgeOptionshedgedominatestheforwardhedgeforfuturespotratesgreaterthan$1.48perpound,whereastheoppositeholdsforspotrateslowerthan$1.48perpound8-22Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Boeing’sAlternativeHedgingStrategiesforaForeignCurrencyReceivable8-23Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HedgingForeignCurrencyPayablesSupposeBoeingimportedaRolls-Roycejetenginefor£5millionpayableinoneyearMarketconditionissummarizedasfollows:TheU.S.interestrate:6.00%perannumTheU.K.interestrate:6.50%perannumThespotexchangerate:$1.80/£Theforwardexchangerate:$1.75/£(1-yearmaturity)

Boeingisconcernedaboutthefuturedollarcostofthispurchase,andtheywilltrytominimizethedollarcostofpayingoffthepayable8-24Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ForeignCurrencyPayables:AlternativesForwardmarkethedgeIfBoeingdecidestohedgethispayableexposureusingaforwardcontract,itonlyneedstobuy£5mforwardinexchangeforthefollowingdollaramount:$8,750,000=(£5,000,000)($1.75/£)MoneymarkethedgePVofforeigncurrencypayable:£4,694,836=£5m/1.065Outlayofdollarstoday:$8,957,747=($8,450,705)($1.80/£)Futurevalue:$8,957,747=($8,450,705)(1.06)OptionsmarkethedgePurchasea“call”on£5m8-25Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Boeing’sAlternativeHedgingStrategiesforaForeignCurrencyPayable8-26Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.DollarCostsofSecuringthePoundPayable:AlternativeHedgingStrategies8-27Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Cross-HedgingMinorCurrencyExposureIfafirmhaspositionsinmajorcurrencies(e.g.,Britishpound,euro,andJapaneseyen),itcaneasilyuseforward,moneymarket,oroptionscontractstomanageitsexchangeriskexposureHowever,ifthefirmhaspositionsinlessliquidcurrencies(e.g.,Indonesianrupiah,Thaibhat,andCzechkoruna),itmaybeeitherverycostlyorimpossibletousefinancialcontractsinthesecurrenciesInthissituation,firmsmayusecross-hedging,whichinvolveshedgingapositioninoneassetbytakingpositioninanotherasset8-28Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HedgingContingentExposureOptionscontractcanalsoprovideaneffectivehedgeagainstwhatmightbecalledcontingentexposureContingentexposureistheriskduetouncertainsituationsinwhichafirmdoesnotknowifitwillfaceexchangeriskexposureinthefutureExample:SupposeGEisbiddingonahydroelectricprojectinCanada.Ifthebidisaccepted,whichwillbeknowninthreemonths,GEisgoingtoreceiveC$100mtoinitiatetheproject.SinceGEmayormaynotfaceexchangeexposure,itfacesatypicalcontingentexposuresituationDifficulttomanagecontingentexposureusingtraditionalhedgingtoolslikeforwardcontracts,butanalternativeisforGEtobuyaputoptiononC$100m8-29Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HedgingRecurrentExposurewithSwapContractsFirmsoftenmustdealwitha“sequence”ofaccountspayableorreceivableintermsofaforeigncurrency,andtheserecurrentcashflowscanbebesthedgedusingacurrencyswapcontractCurrencyswapcontractsareagreementstoexchangeonecurrencyforanotheratapredeterminedexchangerate,thatis,theswaprate,onasequenceoffuturedatesSimilartoaportfolioofforwardcontractswithdifferentmaturitiesVeryflexibleintermsofamountandmaturity,withmaturityrangingfromafewmonthsto20years8-30Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HedgingthroughInvoiceCurrencyHedgingthroughinvoicecurrencyisanoperationaltechniquethatallowsthefirmtoshift,share,ordiversifyexchangeriskbyappropriatelychoosingthecurrencyofinvoiceExample:IfBoeinginvoices$150mratherthan£100mforthesaleofaircraft,itdoesnotfaceexchangeexposureanymore.Thoughtheexchangeexposurehasnotdisappeared,ithasbeenshiftedtotheBritishimporter.AnotheroptionwouldbeforBoeingtoinvoicehalfofthebillinU.S.dollarsandtheremaininghalfinBritishpounds,therebysharingtheexchangeexposureFinally,thefirmcandiversifyexchangeexposuretosomeextentbyusingcurrencybasketunits,suchastheSDR,astheinvoicecurrency8-31Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HedgingviaLeadandLagThelead/lagstrategyreducestransactionexposurebypayingorcollectingforeignfinancialobligationsearly(lead)orlate(lag)dependingonwhetherthecurrencyishardorsoftChallengesassociatedwiththisstrategy:IfweassumeBoeingwouldlikeBAtoprepay£100m,wecanalsoassumeBAwouldhavenoincentivetodosounlesstheyreceivedasubstantialdiscounttocompensateforprepaymentPushingBAtoprepaymayhurtfuturesaleseffortsbyBoeingTotheextenttheoriginalinvoicepriceincorporatedtheexpecteddepreciationofthepound,BoeingisalreadypartiallyprotectedagainstdepreciationofthepoundStrategycanbeemployedmoreeffectivelytodealwithintrafirmpayablesandreceivablesamongsubsidiaries8-32Copyright©2021bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ExposureNetting:Lufthansa“In1984,Lufthansa,aGermanairline,signedacontracttobuy$3billionworthofaircraftfromBoeingandenteredintoaforwardcontracttopurchase$1.5billionforwardforthepurposeofhedgingagainsttheexpectedappreciationofthedollaragainsttheGermanmark.Thisdecision,however,sufferedfromamajorflaw:AsignificantportionofLufthansa’scashflowswasalsodollar-denominated.”Lufthansahada