外汇风险管理
- 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1
- 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 Exposure2
- 3. Three Types of Exposure Translation Exposure Exchange rate risk as applied to the firm’s consolidated financial statements. Transaction Exposure Exchange rate risk as applied to the firm’s home currency cash flows. Economic Exposure Exchange rate risk as applied to the firm’s competitive position.外汇风险管理基础3
- 4. 外汇风险管理基础会计风险 Translation exposure arises from the need to convert 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4
- 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5
- 6. 外汇风险管理基础经营风险 由于汇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6
- 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 7
- 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8
- 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 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.9
- 10. 外汇风险管理基础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10
- 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. 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11
- 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 12
- 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13
- 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14
- 15. 会计风险及其管理Current/Noncurrent Method 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 translation was generally accepted in the United States from the 1930s until 1975, at which time FASB 8 became effective. 15
- 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 on the books. e.g. DM3=$1 16
- 17. 会计风险及其管理 Current/Noncurrent Method17
- 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18
- 19. 会计风险及其管理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 foreign 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.19
- 20. 会计风险及其管理Monetary/Nonmonetary Method All monetary balance sheet accounts 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 20
- 21. 会计风险及其管理 Monetary/Nonmonetary Method21
- 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、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22
- 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 carried on the firm’s 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 the item on the books.23
- 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 is assumed that the firm carries its inventory at the current market value of DM 1800 instead of at the historical value of DM1500.24
- 25. 会计风险及其管理 Temporal Method25
- 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 dissatisfaction 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. 26
- 27. 会计风险及其管理Current Rate Method All balance sheet items (except for stockholder’s 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. 27
- 28. 会计风险及其管理Current Rate Method All balance sheet items (except for stockholder’s equity) are translated at the current exchange rate. A “plug” equity account named cumulative translation adjustment is used to make the balance sheet balance 28
- 29. 会计风险及其管理 Current Rate Method29
- 30. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1Spot exchange rateearnings30
- 31. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1Book value of inventory at spot exchange rateBook value of inventory historic rateCurrent value of inventory at spot exchange rate.earnings31
- 32. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1historic ratespot exchange rate.earnings32
- 33. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1spot rateearnings33
- 34. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1spot ratehistorical rateearnings34
- 35. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1historical rateearnings35
- 36. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1From income statementearnings36
- 37. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1Under the current rate method, a “plug” equity account named cumulative translation adjustment makes the balance sheet balance.earnings37
- 38. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1Sales translate at average exchange rate over the period, DM2.50 = $138
- 39. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1Translate at DM2.50 = $1Translate at historical rate, DM3.00 = $139
- 40. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1Translate at DM3 = $1Translate at average exchange rate, DM2.5 = $140
- 41. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1Note the effect on after-tax profit.41
- 42. How Various Translation Methods Deal with a Change from DM3 to DM2 = $1Note the effect that foreign exchange gains (losses) has on net income.42
- 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 dealing 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 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.43
- 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 revaluation 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.44
- 45. 会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，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.45
- 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46
- 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 payables. 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 it’s not a perfect hedge, it may be too expensive or impractical to hedge each currency separately.47
- 48. 交易风险及其管理交易风险衡量 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 48
- 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49
- 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.50
- 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 on 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 year’s inventory. Payment of £100M is due 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 year—a 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 position 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$0.957/€。此时，该美国公司可以销售一份1000万€的三月期远期合约，从而保证在到期时肯定能获得957万$ 。51
- 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52
- 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 arbitrage 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$，并进行投资，从而在到期时获得870万$*1.10=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.53
- 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 payable 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.54
- 55. 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 that can’t 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 used to hedge the known portion of foreign currency cash flows, and options the uncertain remainder.55
- 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 yen, 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 involves 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.56
- 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 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.57
- 58. 交易风险及其管理交易风险管理工具 Hedging Recurrent Exposure 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 available in longer-terms than futures and forwards.58
- 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 sales 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 on 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.59
- 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 currency 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?60
- 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 61
- 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 adjustment 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=
- 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=
- 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 that 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.64
- 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65
- 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 加快向母公司和其他分支机构支付股利和许可费（以外币计价） 加快对跨国公司内部分支机构应付账款的支付（以外币计价） 延迟对跨国公司内部分支机构应收账款的回收（以外币计价） 进口以当地货币（软货币）标价，出口以其他货币（硬货币）标价66
- 67. 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升值 买入当地货币的远期合约 买入当地货币的买入期权 增加对当地货币的持有水平 放松信用政策（增加以当地货币计价的应收账款） 加快软货币应收账款的回收 延迟软货币应付账款的支付 减少在当地的借款67
- 68. 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升值 加快以当地货币计价的应付账款的支付 延迟以当地货币计价的应收账款的回收 延迟向母公司和其他分支机构支付股利和许可费（以外币计价） 延迟对跨国公司内部分支机构应付账款的支付（以外币计价） 加快对跨国公司内部分支机构应收账款的回收（以外币计价） 出口以当地货币（硬货币）标价，进口以其他货币（软货币）标价68
- 69. 交易风险及其管理再开票中心 设立再开票中心是跨国公司管理和控制整个企业外汇交易风险的一个有效措施。 再开票中心专门管理由跨国公司内部贸易产生的交易风险。 Many multinational firms use a reinvoice center. Which is a financial subsidiary that nets out the intra-firm transactions. Once the residual exposure is determined, then the firm implements hedging. 再开票中心统一负责各子公司外汇收支的发票和结算，但并不负责商品的流动。69
- 70. 交易风险及其管理再开票中心 当发生内部贸易时，出口方先将商品出售给再开票中心，但这种出售只是账面上的，出口方用其本币向再开票中心开出发票，再开票中心同时以进口方本币向进口方开出发票，将商品销售给进口方 商品实际从出口方直接运往进口方，并不经过再开票中心 再开票中心可以通过提前或延迟付款的措施，或其他套期保值措施对交易风险进行集中管理，使交易风险管理的效率大大提高。70
- 71. 交易风险及其管理交易风险管理工具的选择 What Risk Management Products do Firms Use? Most U.S. firms meet their exchange risk management needs with forward, swap, and options contracts. Forward contracts are the most popular hedging tool. The greater the degree of international involvement, the greater the firm’s use of foreign exchange risk management.71
- 72. 交易风险及其管理交易风险管理工具的选择 关键在于未来汇率的变化方向及其概率 如果未来汇率变化很可能朝向对原有交易不利的方向变化，则采用远期外汇交易保值或货币市场保值可能更为可取 如果朝向对原有交易有利的方向变化的可能性很大，则外汇期权的保值方式可能更为可取，企业甚至还可以采用不保值的方式(？)72
- 73. 交易风险及其管理交易风险管理工具的选择 Cost-minimizing selective hedging policy If you are long a currency, hedge (by selling forward) if the currency is at a forward premium; if the currency is at a forward discount, do not hedge; If you are short a currency, hedge (by buying forward) if the currency is selling at a forward discount; if the currency is at a forward premium, do not hedge. This selective hedging policy does not come free; it may reduce expected costs but at the expense of higher risk. Absent other considerations, therefore, the impact on shareholder wealth of selective hedging via forward contracts should be minimal, with any expected gains likely to be offset by higher risk.73
- 74. 交易风险及其管理讨论： Firms that try to simultaneously to use hedging to both reduce risk and to beat the market may end up with more risk, not less. 1994年初，日本车厂的教训 At the beginning of 1994, many thought that the dollar would continue to strengthen, and thus they failed to hedge their exposure. When the dollar plummeted instead, they lost billions.74
- 75. 交易风险及其管理讨论： Unless a company has some special information about the future spot rate that it has good reason to believe is not adequately reflected in the forward rate, it should accept the forward rate’s predictive validity as a working hypothesis and avoid speculative activities. In an efficient market, the expected opportunity cost of a forward contract is zero. (无偏估计理论) After the fact, of course, the actual cost of a forward contract will turn out to be positive or negative (unless the future spot rate equals the forward rate), but the sign cannot be predicted in advance. Hedging exchange risk costs money and should be evaluated like any other purchase of insurance. Attempting to profit from expected exchange rate changes is speculation, not hedging.75
- 76. 交易风险及其管理讨论： The usefulness of a particular hedging strategy depends on both acceptability and quality. Acceptability refers to approval by those in the organization who will implement the strategy; To be acceptable, a hedging strategy must be consistent with top management’s values and overall corporate objectives. Quality refers to the ability to provide better decisions. The quality, or value to the shareholders, of particular hedging strategy is, therefore, related to the congruence between those perceptions and the realities of the business environment. If markets are efficient, companies can’t hedge against expected exchange rate changes, a firm can protect itself only against unexpected currency changes.76
- 77. 交易风险及其管理讨论： 交易风险管理部门业绩评价方式的选择 交易风险管理部门是一个盈利部门还是避险部门？ 企业是否能够持续性地从汇率的波动中获取收益？ 生产经营型企业是否具有从汇率波动中获取收益的核心竞争力？ 企业应该采取何种交易风险管理策略？77
- 78. 经营风险及其管理 经营风险示例 Operation exposure focuses on the cash flow effects of exchange rate changes. A company’s operating exposure is only affected by changes in the real exchange rate. 销售收入受到的影响 如果子公司只在当地销售产品，所在国货币的升值可能导致其他国家出口到该国的商品相对便宜，更具有竞争力，子公司的销售收入可能因此下降 如果子公司的产品对外出口，由于该国货币的升值，出口产品在国际上的竞争力也会降低，如果企业降低价格保持原有的销售量，企业的销售收入仍旧会减少 子公司销售收入减少的幅度取决于该产品市场上外国商品的竞争程度、出口商的市场地位以及该产品的价格弹性78
- 79. 经营风险及其管理 经营风险示例 销售成本受到的影响 如果子公司使用的原材料均在所在国取得，则销售成本受汇率变化的影响较小 如果子公司有部分甚至全部原材料需要从国外进口，当所在国货币升值时，这些原材料的进口价格可能降低，销售成本下降 子公司销售成本所受影响的程度与其对国外原材料的依赖程度有直接关系，依赖程度越大，受汇率变动的影响可能越大 付现的期间费用 如果子公司的期间费用主要用所在国货币支付，则所在国货币升值对期间费用的影响不大 如果子公司的期间费用有一部分使用外币支付，如国外借款的利息，则所在国货币升值可导致期间费用减少 79
- 80. 经营风险及其管理 经营风险示例 当所在国货币升值时，子公司的营业现金流入量和流出量都可能减少，其最终结果是净流入增加还是净流出增加并不是绝对的，需要看其销售收入受到汇率变化的影响大还是成本和费用受到汇率变化的影响大。 对于跨国公司而言，汇率变化不仅导致子公司用当地货币计价的营业现金流量发生改变，而且在将这些现金流量换算成母国货币的过程中，用母国货币表示的跨国公司的营业现金流量也会发生改变。 A fixed exchange rate may lead to more, not less, exchange risk. A less obvious point is that a firm may face more exchange risk if nominal exchange rates do not change. An increase in the real value of a currency acts as a tax on exports and a subsidy on imports.80
- 81. 经营风险及其管理 Determinants of Operating Exposure Recall that operating exposure cannot be readily determined from the firm’s accounting statements as can transaction exposure. The firm’s operating exposure is determined by: The firm’s ability to adjust its markets, product mix, and sourcing in response to exchange rate changes. The market structure of inputs and products: how competitive or how monopolistic the markets facing the firm are.81
- 82. 经营风险及其管理 Managing Operating Exposure Selecting Low Cost Production Sites A firm may wish to diversify the location of their production sites to mitigate the effect of exchange rate movements. 在全球几个工厂之间灵活安排生产以降低外汇经营风险 与规模经济的潜在损失进行权衡 e.g. Honda built North American factories in response to a strong yen, but later found itself importing more cars from Japan due to a weak yen. As an alternative to shifting production abroad, companies with a strong home currency can try to improve their productivity at home. 82
- 83. 经营风险及其管理 Managing Operating Exposure Flexible Sourcing Policy/全球资源整合 跨国公司可以通过对全球资源进行整合，来处理其所面对的外汇经营风险 海外采购/灵活安排生产 Flexibility in shifting production and in sourcing inputs among counties lowers a firm’s operating exposure. Sourcing does not apply only to components, but also to “guest workers”. e.g. Japan Air Lines hired foreign crews to remain competitive in international routes in the face of a strong yen, but later contemplated a reverse strategy in the face of a weak yen and rising domestic unemployment. 83
- 84. 经营风险及其管理 Managing Operating Exposure Diversification of the Market Selling in multiple markets to take advantage of economies of scale and diversification of exchange rate risk. R&D and Product Differentiation Successful R&D that allows for cost cutting enhanced productivity product differentiation Successful product differentiation gives the firm less elastic demand—which may translate into less exchange rate risk. 产品的价格需求弹性越高，跨国公司所面临的外汇经营风险越高（原因在于汇率发生变化时，没有太多的价格调整空间） The greater pricing flexibility held by companies with differentiated products reduces their exchange risk.84
- 85. 经营风险及其管理 Managing Operating Exposure 定价策略 跨国公司在应对汇率变化的可能影响时，必须首先明确其经营目标是追求市场份额，还是边际利润 在处理本币贬值时，公司必须认识到目前的本币涨价可能会失去未来的出口市场份额 在处理本币升值时，公司为维持出口市场份额，可能不得不降低本币价格，从而降低边际利润85
- 86. 经营风险及其管理 Managing Operating Exposure 情景分析 公司可以通过情景分析的方法来对未预期的汇率波动作出计划 首先根据一个预测汇率水平分别预计损益表项目的现金流量水平 然后改变预测的汇率，并预计损益表项目的新的现金流量水平 通过分析损益表中税前利润随不同的预测汇率变化而变化的值，企业就可以衡量汇率变动对企业税前利润和现金流量的影响 弹性投资策略 Investments in flexibility can reduce a company’s operating exposure. 86
- 87. 经营风险及其管理讨论: Domestic facilities that supply foreign markets normally entail more greater exchange risk than do foreign facilities that supply local markets. The explanation is that material and labor used in a domestic plant are paid for in the home currency, whereas the products are sold in a foreign currency. However, firms often neglect those effects when analyzing a proposed foreign investment. 进一步思考：中国的巨额外汇储备是否意味着很高的外汇暴露风险？需仔细考察中国的收入和支付结构。87
- 88. 经营风险及其管理讨论: A facility producing solely for the domestic market and using only domestic sources of inputs can be strongly affected by currency changes, even though its accounting and transaction exposures are zero. Competitive position 88
- 89. 经营风险及其管理 Managing Operating Exposure 示例：欧洲车厂的外汇风险管理 背景：2003年，欧元汇率节节高升！过去18个月来，欧元对美元的汇率已经上涨超过25% 欧元汇率上涨侵蚀欧洲车厂获利 汇率的“隐形补贴”与“隐形壁垒” 欧洲车厂的解决方案 本土化生产以分散汇率风险 靠近主要市场 参与远期外汇市场89
- 90. 小结外汇风险管理基础：三种外汇暴露类型及其比较分析/外汇风险管理目标及其实施程序/外汇风险管理组织及其内部控制 会计风险及其管理：汇率折算方法的选择/会计风险套期保值/会计风险管理的基本原则 交易风险及其管理：交易风险的衡量/交易风险管理工具/交易风险管理工具的选择 经营风险及其管理：经营风险的主要影响因素/经营风险管理方法 90
- 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=
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