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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 risk
2、;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,net cash
3、 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 fluctuation
4、s.If transaction exposure exists,the MNC should1、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,and3、choose among the various hedging techniques available if it decides to hedge.,5,An MNCs o
5、verall 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,Forward hedge,Mone
6、y market hedge,andCurrency 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 ReceivablesFuturesPurchase currencySell currencyhedgefutures contract(s).futures contract(s).Forw
7、ard Negotiate forwardNegotiate forwardhedge contract to buycontract to sellforeign currency.foreign currency.Money Borrow localBorrow foreignmarket currency.Convertcurrency.Converthedgeto and then investto and then invest in foreign currency.in local currency.CurrencyPurchase currencyPurchase curren
8、cyoptioncall option(s).put option(s).,Techniques to Eliminate Transaction Exposure,VehiclesAdvantagesDisadvantagesForwardExact 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 Money market Relatively expensive Sy
9、nthetic forward hedge not always possibleOption 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3.2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
10、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
11、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2.252.采用外汇期权合约：放弃执行，按市价：5*2.3=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.
12、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,measures the change in the present value of the firm resulting fr
13、om 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 rate scenarios.The firm can then reduce its exposure by restructu
14、ring 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 Canadian Affiliates and Trade with Mexico,16,（一）经济风险的计量Measuring
15、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
16、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 policies are:Matching currency cash flowsRisk-sharing agreementsBack-to-back or
17、parallel loansCurrency swapsLeads and lagsReinvoicing 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 is to acquire debt denominated in that currency(matching).Another alternative wo
18、uld 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 company would pay foreign suppliers with Canadian dollars.,2、Currency Clauses:Risk-Sha
19、ring:,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 impacts on payments between them.This agreement is intended to smooth the impact on both parti
20、es 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 arrange to borrow each others currency for a specific period of time.At an agreed terminal date
21、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 Currency Hedging,4、Currency Swaps:,A currency swap resembles a back-to-back loan except that it does no
22、t 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 Cross-Currency Swap to Hedge Currency Exposure,5、Leads and Lags:Retiming the transfer of funds,Firms c
23、an 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 companies presumably embrace a common set of goals for the consolidated group.Intercompany leads and lags req
24、uires the time preference of one independent firm to be imposed on another.,Leading and lagging,6、Reinvoicing Centers:,There are three basic benefits arising from the creation of a reinvoicing center:Managing foreign exchange exposureGuaranteeing the exchange rate for future ordersManaging intrasubs
25、idiary 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 ratesPlant location:Gain access to low-cost labor or capital resourcesProduct sourcing:Shift production to countries wi
26、th low real costsMarket selection:Shift marketing efforts toward countries with higher demand or“overvalued”currencies,8、Pricing strategy in intl markets,An exampleFor the classic Japanese exporter,an appreciation of the euro increases the purchasing power of euro-zone customersPricing alternatives
27、includeHold the euro price constant Sell the same quantityBigger yen profit margin per unitHold the yen price constantLower euro priceHigher sales volume,The price elasticity of demand,Optimal pricing depends on the price elasticity of demand=-(DQ/Q)/(DP/P)Measures the sensitivity of quantity sold t
28、o a percentage change in priceprice elastic demand-a small change in price results in a large change in quantity sold,so lower the priceprice inelastic demand-a small 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、
29、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，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
30、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,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
31、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 accounting exposure,arises because financial statements of foreign subsidiaries which are stated in foreign currency must be restated in the parents reporting currenc
32、y 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
33、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,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
34、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 reporting currencyIf 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
35、 the remeasurementWhat if a different exchange rate were used for different line items on an individual statement(I/S and B/S)?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 com
36、promise between historical and current market valuation.Historical exchange rates can be used for certain equity accounts,fixed 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 m
37、ethodThe temporal methodRegardless of which method is employed,a translation method must not only designate at what 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).,
38、59,The current rate method,the most prevalent in the world today.Assets and liabilities are translated at the current rate of exchangeIncome statement items are translated at the exchange rate on the dates they were recorded or an appropriately weighted average rate for the periodDividends(distribut
39、ions)are translated at the rate in effect on the date of paymentCommon stock and paid-in capital accounts are 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 repo
40、rted separately and accumulated in a separate equity reserve account(on the B/S)with a title such as cumulative 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 reser
41、ve account(reducing variability of reported earnings).,61,the temporal method,Under the temporal method,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 a
42、nd 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 tra
43、nslation exposure is called a balance sheet hedge.A balance sheet hedge requires an equal amount of exposed foreign currency assets and liabilities on a firms consolidated balance sheet.,64,The cost of a balance sheet hedge depends on relative borrowing costs.,These hedges are a compromise in which
44、the denomination of balance sheet accounts is altered,perhaps at a cost in terms of interest expense or operating efficiency,to achieve some degree of foreign exchange protection.,65,66,折算、交易与经济风险之比较,n对换算风险而言，交易与责任、义务之清算早已完成，汇率变动只影响其帐面数据。n对交易风险而言，汇率变动恰巧发生在交易达成，但尚未进行清算的期间，此外，该清算或必须以外币进行，如此对该公司才会形成交易风
45、险。n对经济风险而言，汇率变动乃是造公司预期的现金流量产生偏差。也就是说，交易尚未发生。,67,第四节 外汇风险管理策略,一、完全避免外汇风险的管理策略二、消极的外汇风险管理策略三、积极的外汇风险管理策略,68,外汇风险管理的过程,（一）识别风险企业在对外交易中要了解究竟存在哪些外汇风险，是交易风险、会计风险、还是经济风险。或者了解面临的外汇风险哪一种是主要的，哪一种是次要的；哪一种货币风险较大，哪一种货币风险较小；同时，要了解外汇风险持续时间的长短。（二）衡量风险即预测汇率走势，对外汇风险程度进行测算。外汇敞口额越大、时间越长、汇率波动越大，风险越大。因此，应经常测算各时期的外汇敞口额有多少
46、，汇率的预期变化幅度有多大。（三）驾驭风险即在识别和衡量的基础上采取措施控制外汇风险，避免产生较大损失。,69,一、完全避免外汇风险的管理策略,这种管理策略指企业在涉外业务中尽可能地阻止汇率风险的形成，或通过各种套期保值手段消除实际业务中发生的一切敞口头寸，以避免汇率波动可能带来的风险损失的汇率风险管理策略。,70,例如，养老基金等经济实体对风险的承担能力十分有限，哪怕是微小的风险损失也会使企业丧失信誉，在资金来源和经营中出现严重困难。这样的企业将稳定经营作为衡量经理能力的首要标准，从而经理十分厌恶风险。这种风险管理策略的另一理论基础是，经理是生产和经营方面的专家，但是他们不了解汇率的运动趋势。因此，采用这种风险管理策略可以扬长避短，使经理集中精力搞好本职工作。,71,二、消极的汇率风险管理策略,这种策略指企业对汇率风险采取听之任之的基本态度，勇于承担一切汇率风险的风险管理策略。如果汇率变动对其有利，它就获取风险报酬；如果汇率变动对其不利，它就承担风险损失。,72,三、积极的外汇风险管理策略,这种策略指企业积极地预测汇率走势，并根据不同的预测对不同的涉险项目分别采取不同措施的风险管理策略。例如，在预期汇率变动对其不利时，企业采取完全或部分避险的管理手段；在预期汇率变动对其有利时，企业承担汇率风险以期获取风险报酬。,73,
