外汇风险的种类与管理(ppt 90页).ppt

1、1,国际财务管理,外汇风险管理 中山大学管理学院财务投资系 辛宇,2,外汇风险管理基础,外汇风险是指一家公司受汇率变动影响的程度 会计风险/折算风险 Accounting Exposure/Translation Exposure 交易风险 Transaction Exposure 经营风险 Operating/Economic Exposure 交易风险和经营风险合称经济风险（狭义的经济风险只包括经营风险） Economic Exposure,3,Three Types of Exposure Translation Exposure Exchange rate risk as applie

2、d to the firms consolidated financial statements. Transaction Exposure Exchange rate risk as applied to the firms home currency cash flows. Economic Exposure Exchange rate risk as applied to the firms competitive position.,外汇风险管理基础,4,外汇风险管理基础,会计风险 Translation exposure arises from the need to convert

3、 foreign currency accounts, revenues, and expenses into the home currency. 由于汇率变化而导致的资产负债表中资产和负债的账面价值以及损益表项目的变化 Unanticipated changes in exchange rates may have the impact on the consolidated financial statements of the multinational company 有关的资产负债表中的资产和负债项目以及损益表项目已经存在 所产生的汇兑损益由会计准则的具体规定来决定，并且仅仅是纸面

4、上的 由于会计风险是建立在发生在过去的企业活动的基础上的，因此，对会计风险的衡量实质上是面向过去的,5,外汇风险管理基础,交易风险 由于汇率变化而导致的在外未结算的、以外币计价的合约（即该合约会在未来产生以外币计量的现金流量）价值所发生的变化 所产生的汇兑损益实际上是由已经存在的合约决定，并且是真实存在的 合约已经存在，但将在未来某日进行结算 由于交易风险是建立在发生于过去的企业活动、但将在未来进行结算的基础之上，因此，对交易风险的衡量是面向过去与面向未来的混合 已经在资产负债表中反映的合约部分属于会计风险，而尚未在资产负债表中反映的合约部分属于经营风险,6,外汇风险管理基础,经营风险 由于汇

5、率变化而导致的未来/预期经营现金流量的变化 所产生的汇兑损益是由公司的未来竞争地位的变化来决定的，并且是真实存在的，如销售量的变化、销售价格的变化、销售成本的变化等等 与未来的销售相联系的收入和成本 由于经营风险是建立在企业未来活动的基础之上，因此，对经营风险的衡量是面向未来的，很难进行准确衡量 任何收入和成本受到汇率变化影响的公司都存在经营风险，即使其是一个纯粹的国内公司，并且所有的现金流量都由本国货币标价,7,外汇风险管理基础,会计风险、交易风险、和经营风险 会计风险交易风险经营风险 时间 发生汇率变化,8,外汇风险管理基础,三种外汇风险的比较 交易风险和经营风险是现金流量风险，而会计风险

6、是非现金流量风险 经济风险是指当汇率变化时，公司价值（用预期现金流量的现值来衡量）的变化程度。 经营风险是汇率变动对企业未来交易可能产生的影响，而交易风险和会计风险则是汇率变动对企业已经发生的经济业务产生的影响 经营风险对企业的影响是持续的和长远的，而交易风险和会计风险对企业的影响是短期的、一次性的 经营风险的管理比较困难，而交易风险和折算风险管理起来相对容易一些,9,外汇风险管理基础,外汇风险管理目标 会计风险最小化 由于汇率波动而导致的盈余波动最小化 交易风险最小化 经营风险最小化 外汇风险管理成本最小化 避免巨额外汇损失 The most appropriate way to rank

7、these objective is on their consistency with the overarching goal of maximizing shareholder value. Actions taken by a firm that decrease its total risk will improve its sales and cost outlooks, thereby increasing its expected cash flows. Hedging can reduce risk and can benefit a company.,10,外汇风险管理基础

8、,外汇风险管理实施程序 确定恰当的计划期 预测汇率变化情况 计算外汇风险的受险额 确定对外汇风险受险额是否采取行动 选择适当的避险方法,11,外汇风险管理基础,外汇风险管理组织及其内部控制 集中管理 VS 分散管理 集中管理的原因：当地管理者缺乏整体视角，更多关注自身利益；公司总部具备全球视角；分支机构之间的外币现金流量及外汇风险可以相互抵消，从而避免重复支付管理费用 Centralization of exchange risk management reduces the amount of hedging needed to achieve a given level of safety

9、. 集中管理的成本：缺少对当地具体情况的了解；不能为当地管理者关注外汇风险提供适当的激励 一种改进方案：分支机构可以按照一个协议的汇率与公司总部进行虚拟远期合约交易以对其外汇风险进行套期保值管理，但公司总部最终可以决定是否需要对该笔外汇风险在市场上进行套期保值,12,外汇风险管理基础,外汇风险管理组织及其内部控制 日常管理要点 交易者、记录者和监督者的职能分离 Several spectacular risk management failures point to the need to monitor and supervise risk managers. 报酬安排，如延迟支付交易者的部

10、分薪金 衍生品的交易规模应与其外汇风险规模相适应，逐日订市,13,会计风险及其管理,会计风险的产生是由于需要将外币帐户、外币收入、外币成本费用等转换成本国货币，主要影响因素包括： 外国分支机构业务所占的比重 外国分支机构所在国货币汇率变动的剧烈程度 使用的折算方法,14,会计风险及其管理,流动/非流动法： 子公司的所有流动资产和流动负债都按当前汇率折算，其他资产、负债和所有者权益则按历史汇率折算，汇兑损益作为当期损益在损益表中列示 会计风险暴露部分是其营运资本 折旧费用、摊销费用按历史汇率计算，损益表其他项目按平均汇率计算,15,会计风险及其管理,Current/Noncurrent Meth

11、od The underlying principal is that assets and liabilities should be translated based on their maturity. Current assets translated at the spot rate. Noncurrent assets translated at the historical rate in effect when the item was first recorded on the books. This method of foreign currency translatio

12、n was generally accepted in the United States from the 1930s until 1975, at which time FASB 8 became effective.,16,会计风险及其管理,Current/Noncurrent Method Current assets translated at the spot rate. e.g. DM2=$1 Noncurrent assets translated at the historical rate in effect when the item was first recorded

13、 on the books. e.g. DM3=$1,17,会计风险及其管理,Current/Noncurrent Method,18,会计风险及其管理,货币/非货币法： 对货币性项目以当前汇率折算，对非货币性项目采用历史汇率折算，所有者权益也按历史汇率折算，汇兑损益作为当期损益在损益表中列示（FASB No. 8） 会计风险暴露部分是其净货币资产 货币性资产与货币性负债的差额 货币性资产：现金、有价证券、各种应收款 货币性负债：应付款、长期负债 非货币性资产：存货、固定资产、长期投资 非货币性负债：递延款项 折旧费用、摊销费用、和销售成本按历史汇率计算，损益表其他项目按平均汇率计算,19,会

14、计风险及其管理,Monetary/Nonmonetary Method The underlying principal is that monetary accounts have a similarity because their value represents a sum of money whose value changes as the exchange rate changes. All monetary balance sheet accounts (cash, marketable securities, accounts receivable, etc.) of a f

15、oreign subsidiary are translated at the current exchange rate. All other (nonmonetary) balance sheet accounts (owners equity, land) are translated at the historical exchange rate in effect when the account was first recorded.,20,会计风险及其管理,Monetary/Nonmonetary Method All monetary balance sheet account

16、s are translated at the current exchange rate. e.g. DM2=$1 All other balance sheet accounts are translated at the historical exchange rate in effect when the account was first recorded. e.g.DM3=$1,21,会计风险及其管理,Monetary/Nonmonetary Method,22,会计风险及其管理,时态法： 以资产、负债项目的计量基础作为选择折算汇率依据的外币报表折算方法 按市价计价的现金、应收项目

17、、存货、投资和应付项目以及其他负债项目按现行汇率折算 按历史成本计价的各项资产如固定资产、无形资产等按取得时的历史汇率折算 实收资本项目仍旧按历史汇率折算 汇兑损益作为当期损益在损益表中列示 承担会计风险的是按现行市价计价的资产和负债，净暴露资产等于按现行市价计价的资产与负债的差额 折旧费用、摊销费用按历史汇率计算，损益表其他项目按平均汇率计算,23,会计风险及其管理,Temporal Method The underlying principal is that assets and liabilities should be translated based on how they are

18、 carried on the firms books. Balance sheet account are translated at the current spot exchange rate if they are carried on the books at their current value. Items that are carried on the books at historical costs are translated at the historical exchange rates in effect at the time the firm placed t

19、he item on the books.,24,会计风险及其管理,Temporal Method Items carried on the books at their current value are translated at the spot exchange rate. e.g. DM2=$1 Items that are carried on the books at historical costs are translated at the historical exchange rates. e.g. DM3=$1 Under the temporal method, it

20、 is assumed that the firm carries its inventory at the current market value of DM 1800 instead of at the historical value of DM1500.,25,会计风险及其管理,Temporal Method,26,会计风险及其管理,现行汇率法： 将外国子公司的所有资产和负债全部按当前汇率折算，汇兑损益作为所有者权益的一项内容在资产负债表中反映，而不是在损益表中列示（FASB No. 52） 会计风险暴露部分是其净资产 损益表项目按平均汇率计算 Widespread dissatis

21、faction with FASB-8 led to the adoption of FASB-52, which mandated use of the current rate method. Under FASB-52, transaction gains or losses are generally included in the income statement, whereas translation gains or losses are not.,27,会计风险及其管理,Current Rate Method All balance sheet items (except f

22、or stockholders equity) are translated at the current exchange rate. Very simple method in application. A “plug” equity account named cumulative translation adjustment is used to make the balance sheet balance.,28,会计风险及其管理,Current Rate Method All balance sheet items (except for stockholders equity)

23、are translated at the current exchange rate. A “plug” equity account named cumulative translation adjustment is used to make the balance sheet balance,29,会计风险及其管理,Current Rate Method,30,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,Spot exchange rate,earnings,31,How Various

24、 Translation Methods Deal with a Change from DM3 to DM2 = $1,Book value of inventory at spot exchange rate,Book value of inventory historic rate,Current value of inventory at spot exchange rate.,earnings,32,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,historic rate,spot ex

25、change rate.,earnings,33,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,spot rate,earnings,34,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,spot rate,historical rate,earnings,35,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1

26、,historical rate,earnings,36,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,From income statement,earnings,37,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,Under the current rate method, a “plug” equity account named cumulative translation adjustmen

27、t makes the balance sheet balance.,earnings,38,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,Sales translate at average exchange rate over the period, DM2.50 = $1,39,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,Translate at DM2.50 = $1,Translate a

28、t historical rate, DM3.00 = $1,40,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,Translate at DM3 = $1,Translate at average exchange rate, DM2.5 = $1,41,How Various Translation Methods Deal with a Change from DM3 to DM2 = $1,Note the effect on after-tax profit.,42,How Variou

29、s Translation Methods Deal with a Change from DM3 to DM2 = $1,Note the effect that foreign exchange gains (losses) has on net income.,43,会计风险及其管理,Hedging Translation Exposure If the managers of the firm wish to manage their accounting numbers as well as their business, they have two methods for deal

30、ing with translation exposure. Balance Sheet Hedge Balance Sheet Hedge Eliminates the mismatch between net assets and net liabilities denominated in the same currency. May create transaction exposure, however. Derivatives Hedge An example would be the use of forward contracts with a maturity of the

31、reporting period to attempt to manage the accounting numbers. Using a derivatives hedge to control translation exposure really involves speculation about foreign exchange rate changes, however.,44,会计风险及其管理,Empirical Analysis of the Change from FASB 8 to FASB 52 There did not appear to be a revaluati

32、on of firms values following the change. This suggests that market participants do not react to cosmetic earnings changes. Other researchers have found similar results when investigating other accounting changes. This highlights the futility of attempting to manage translation gains and losses.,45,会

33、计风险及其管理,会计风险是否需要企业投入过多精力加以管理？ Companies should focus on the economic effects of currency changes rather than the accounting effects. 分支机构收益在很多情况下不须实际兑成母国货币，而是被保留在当地用作再投资，因此，较弱的当地货币不会影响分支机构的经营，也就并不存在严重的、实质意义上的外汇风险 过分关注会计风险的管理会对公司的正常经营造成负面影响 过分关注会计风险的管理会导致对更为重要的、导致未来现金流量变化的汇率风险的影响视而不见 会计风险本身不影响企业现金流量，

34、但是会计风险的保值措施却会影响企业的现金流量，尤其是当汇率朝向与企业预期相反的方向变化时，保值措施带来的损失却会带来企业真正的现金流出 只要保持充分、彻底、和完全的披露，不同折算方法的选择并不会对公司的市场价值（股票价格）造成影响。在有效的资本市场上，投资者可以对汇兑损益进行适当的评价。 Empirical evidence indicates that investors can distinguish between accounting gimmickry and economic reality.,46,交易风险及其管理,交易风险示例 国际贸易信用买卖中的交易风险 外汇借款和投资中的交

35、易风险 外汇买卖风险 远期外汇交易风险 公司对海外分支机构的投资、利润汇回、和资本撤回的风险,47,交易风险及其管理,交易风险衡量 A multinational firm should not consider deals in isolation, but should focus on hedging the firm as a portfolio of currency positions. As an example, consider a U.S.-based multinational with Korean won receivables and Japanese yen pa

36、yables. Since the won and the yen tend to move in similar directions against the U.S. dollar, the firm can just wait until these accounts come due and just buy yen with won. Even if its not a perfect hedge, it may be too expensive or impractical to hedge each currency separately.,48,交易风险及其管理,交易风险衡量

37、单从一项交易的角度来衡量交易风险是比较容易的，但实际工作中，企业的财务管理者需要站在整个企业的角度来考虑全部交易风险的净影响结果 交易风险还应该考虑不同外币之间的相关性问题,49,交易风险及其管理,交易风险衡量 一种外币的交易风险取决于两个因素：货币暴露净头寸（敞口）的大小和汇率波动的幅度 单个企业所承担的外汇交易风险并不是所有业务产生交易风险的总和 只有时间上匹配的现金流量才能相抵 企业可以根据一些历史数据来评估一种外币可能的波动幅度，如标准差,50,交易风险及其管理,交易风险衡量 测算所有子公司的外汇敞口并加以合并，得到公司范围的预期外汇净流量 估计预期汇率变动幅度内外汇净流量的本币币值变

38、化范围 分析汇率变动的相关性 综合分析公司的总体交易风险 Transaction exposure can be managed by entering into offsetting foreign currency transactions.,51,交易风险及其管理,交易风险管理工具 Forward Market Hedge In a forward market hedge, any exchange gain or loss on the forward contract will be offset by a corresponding exchange loss or gain o

39、n the underlying transaction. If you are going to owe foreign currency in the future, agree to buy the foreign currency now by entering into long position in a forward contract. An Example: You are a U.S. importer of British woolens and have just ordered next years inventory. Payment of 100M is due

40、in one year. How can you fix the cash outflow in dollars? Answer: One way is to put yourself in a position that delivers 100M in one yeara long forward contract on the pound. If you are going to receive foreign currency in the future, agree to sell the foreign currency now by entering into short pos

41、ition in a forward contract. 假设现在一美国公司销售1000万的产品给一家欧洲公司，三个月后付款。当前的现汇价格是$1.00/，三月期远期汇率为$0.957/。此时，该美国公司可以销售一份1000万的三月期远期合约，从而保证在到期时肯定能获得957万$ 。,52,交易风险及其管理,交易风险管理工具 期货市场套期保值 与远期外汇市场套期保值相似 有时可能与企业保值要求的金额、时期等不相匹配,53,交易风险及其管理,交易风险管理工具 Money Market Hedge This is the same idea as covered interest arbitrag

42、e A money market hedge uses simultaneous borrowing and lending activities in two different currencies to eliminate a transaction exposure. 假设现在一美国公司销售1000万的产品给一家欧洲公司，三个月后付款。当前的现汇价格是$1.00/，三月期远期汇率为$0.957/。目前和$的三月期利率分别是15%和10%。此时，该美国公司可以通过货币市场借入三月期的1000万/1.15=870万，并将这870万兑换成870万$，并进行投资，从而在到期时获得870万$*1

43、.10=957万$ 。同时，三个月后该美国公司可以用收到的1000万偿还借款本息。 A money market hedge is equivalent to a forward contract if interest rate parity holds.,54,交易风险及其管理,交易风险管理工具 Options Market Hedge Options provide a flexible hedge against the downside, while preserving the upside potential. To hedge a foreign currency payabl

44、e buy calls on the currency. If the currency appreciates, your call option lets you buy the currency at the exercise price of the call. To hedge a foreign currency receivable buy puts on the currency. If the currency depreciates, your put option lets you sell the currency for the exercise price.,55,

45、交易风险及其管理,交易风险管理工具 Options Market Hedge Hedging Contingent Exposure Currency options can be used to hedge contingent foreign currency cash flows. If only certain contingencies give rise to exposure, then options can be effective insurance. Companies often have contingent foreign currency cash flows t

46、hat cant be hedged with forward contracts. For example, if your firm is bidding on a hydroelectric dam project in Canada, you will need to hedge the Canadian-U.S. dollar exchange rate only if your bid wins the contract. Your firm can hedge this contingent risk with options. Forward contracts can be

47、used to hedge the known portion of foreign currency cash flows, and options the uncertain remainder.,56,交易风险及其管理,交易风险管理工具 Cross-Hedging Minor Currency Exposure The major currencies are the: U.S. dollar, Canadian dollar, British pound, French franc, Swiss franc, Italian lira, German mark, Japanese ye

48、n, and now the euro. Everything else is a minor currency, like the Polish zloty. It is difficult, expensive, or impossible to use financial contracts to hedge exposure to minor currencies. Cross-Hedging involves hedging a position in one asset by taking a position in another asset. Cross-hedging inv

49、olves hedging a given currency exposure by using a forward or futures contract on a related currency. The effectiveness of cross-hedging depends upon how well the assets are correlated.,57,交易风险及其管理,交易风险管理工具 Cross-Hedging Minor Currency Exposure An example would be a U.S. importer with liabilities in

50、 Czech koruna hedging with long or short forward contracts on the euro. If the koruna is expensive when the euro is expensive, or even if the koruna is cheap when the euro is expensive it can be a good hedge. But they need to co-vary in a predictable way.,58,交易风险及其管理,交易风险管理工具 Hedging Recurrent Expos

51、ure with Swaps Recall that swap contracts can be viewed as a portfolio of forward contracts. Firms that have recurrent exposure can very likely hedge their exchange risk at a lower cost with swaps than with a program of hedging each exposure as it comes along. It is also the case that swaps are avai

52、lable in longer-terms than futures and forwards.,59,交易风险及其管理,交易风险管理工具 Hedging through Invoice Currency The firm can shift exchange rate risk by invoicing foreign sales in home currency (risk shifting) 该美国公司可以完全避免其所面临的交易风险，如果欧洲公司同意美国公司按美元标价销售其产品 参考前面的示例，此时所成交的美元价格应该是多少？ The general rule on credit sal

53、es overseas is to convert between the foreign currency price and the dollar price by using the forward rate, not the spot rate. In the case of a sequence of payments to be received at several points in time, the foreign currency prices should be a weighted average of the forward rates for delivery o

54、n those dates. The firm can share exchange rate risk by pro-rating the currency of the invoice between foreign and home currencies. The firm can diversify exchange rate risk by using a market basket index.,60,交易风险及其管理,交易风险管理工具 Exposure netting Exposure netting involves offsetting exposure in one cur

55、rency with exposure in the same or another currency. Exposure netting can be viewed in a portfolio context. 两种货币高度正相关,一为应收账款,一为应付账款,则与不相关时相比,其外汇暴露更高还是更低? 高度负相关时呢?同为应收账款呢?同为应付账款呢?,61,交易风险及其管理,交易风险管理工具 价格调整条款/汇率风险分摊条款 销售收入($millions) 10 9 8 7 0.8 1 汇率,62,交易风险及其管理,交易风险管理工具 价格调整条款 / 汇率风险分摊条款 Price adjus

56、tment clause / Currency risk sharing 假设结算汇率为Y，到期时现汇汇率为X，可规定如下汇率风险分摊条款： 0.98=X=1.02时，Y=1 1.02 X时，Y=X-0.5（X-1.02） X 0.98时，Y=X+ 0.5（ 0.98 -X）,63,交易风险及其管理,交易风险管理工具 Currency collars A currency collar is a contract that provides protection if the currency moves outside an agreed-on rage. 0.98=X=1.02时，Y=X

57、1.02 X时，Y=1.02 X 0.98时，Y=0.98 Currency collars trade off less protection for a lower cost. Why a company accept a contract that limit its upside potential? In order to lower its cost of hedging its downside risk. The cost saving can be seen by recognizing that a currency collar can be created by sim

58、ultaneously buying an out-of-the-money put option and selling an out-of-the-money call option of the same size. (assume: receivable); How about payable?,64,交易风险及其管理,交易风险管理工具 Hedging via Lead and Lag If a currency is appreciating, pay those bills denominated in that currency early; let customers in t

59、hat country pay late as long as they are paying in that currency. If a currency is depreciating, give incentives to customers who owe you in that currency to pay early; pay your obligations denominated in that currency as late as your contracts will allow.,65,交易风险及其管理,交易风险管理工具 子公司当地货币预期贬值 出售当地货币的远期合约 买入当地货币的卖出期权 降低对当地货币的持有水平 收紧信用政策（减少以当地货币计价的应收账款） 延迟硬通货应收账款的回收 加快硬通货应付账款的支付 增加在当地的借款,66,交易风险及其管理,交易风险管理工具 子公司当地货币预期贬值 延迟以当地货币计价的应付账款的支付 加速以当地货币计价的应收账款的回收 加快向