ofTransactionExposure(国际财务管理-英文版)

INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition13ChapterThirteenManagementofTransactionExposureChapterObjective:Thischapterdiscussesvariousmethodsavailableforthemanagementoftransactionexposurefacingmultinationalfirms.ChapterOutlineForwardMarketHedgeMoneyMarketHedgeOptionsMarketHedgeCross-HedgingMinorCurrencyExposureHedgingContingentExposureHedgingRecurrentExposurewithSwapContractsChapterOutline(continued)HedgingThroughInvoiceCurrencyHedgingviaLeadandLagExposureNettingShouldtheFirmHedge?WhatRiskManagementProductsdoFirmsUse?ForwardMarketHedgeIfyouaregoingtooweforeigncurrencyinthefuture,agreetobuytheforeigncurrencynowbyenteringintolongpositioninaforwardcontract.Ifyouaregoingtoreceiveforeigncurrencyinthefuture,agreetoselltheforeigncurrencynowbyenteringintoshortpositioninaforwardcontract.YouareaU.S.importerofBritishwoolensandhavejustorderednextyear’sinventory.Paymentof£100Misdueinoneyear.Question:Howcanyoufixthecashoutflowindollars?ForwardMarketHedge:anExampleAnswer:Onewayistoputyourselfinapositionthatdelivers£100Minoneyear—alongforwardcontractonthepound.MoneyMarketHedgeThisisthesameideaascoveredinterestarbitrageMoneyMarketHedgeTheimporterofBritishwoolenscanhedgehis£100millionpayablewithamoneymarkethedge:Borrow$112.05millionintheU.S.Translate$112.05millionintopoundsatthespotrateS($/£)=$1.25/£Invest£89.64millionintheUKati£=11.56%foroneyear.Inoneyearyourinvestmentwillhavegrownto£100million.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%MoneyMarketHedgeWheredothenumberscomefrom?Weoweoursupplier£100millioninoneyear—soweknowthatweneedtohaveaninvestmentwithafuturevalueof£100million.Sincei£=11.56%weneedtoinvest£89.64millionatthestartoftheyear.Howmanydollarswillittaketoacquire£89.64millionatthestartoftheyearifthespotrateS($/£)=$1.25/£?1.1156?00?9.64?.25$1.00?9.64$112.05MoneyMarketHedgeSupposeyouwanttohedgeapayableintheamountof£ywithamaturityofT:i.Borrow$xatt=0onaloanatarateofi$peryear.(Notethat$x=£y/(1+i£)Tatthespotrate.)ii.Exchange$xfor£y/(1+i£)Tattheprevailingspotrate,invest£y/(1+i£)Tati£forthematurityofthepayabletoachieve£y.Atmaturity,youwillowea$x(1+i$).YourBritishinvestmentswillhavegrownenoughtoserviceyourpayableandyouwillhavenoexposuretothepound.MoneyMarketHedgeSupposeyouwanttohedgea£receivableintheamountof£ywithamaturityofT:i.Borrow£y/(1+i£)Tatt=0.ii.Exchange£y/(1+i£)Tfor$xattheprevailingspotrate.Atmaturity,youwillowea$ywhichcanbepaidwithyourreceivable.Youwillhavenoexposuretothedollar-poundexchangerate.OptionsMarketHedgeOptionsprovideaflexiblehedgeagainstthedownside,whilepreservingtheupsidepotential.Tohedgeaforeigncurrencypayablebuycallsonthecurrency.Ifthecurrencyappreciates,yourcalloptionletsyoubuythecurrencyattheexercisepriceofthecall.Tohedgeaforeigncurrencyreceivablebuyputsonthecurrency.Ifthecurrencydepreciates,yourputoptionletsyousellthecurrencyfortheexerciseprice.Cross-HedgingMinorCurrencyExposureThemajorcurrenciesarethe:U.S.dollar,Canadiandollar,Britishpound,Frenchfranc,Swissfranc,Mexicanpeso,Italianlira,Germanmark,Japaneseyen,andnowtheeuro.Everythingelseisaminorcurrency,likethePolishzloty.Itisdifficult,expensive,orimpossibletousefinancialcontractstohedgeexposuretominorcurrencies.Cross-HedgingMinorCurrencyExposureCross-Hedginginvolveshedgingapositioninoneassetbytakingapositioninanotherasset.Theeffectivenessofcross-hedgingdependsuponhowwelltheassetsarecorrelated.AnexamplewouldbeaU.S.importerwithliabilitiesinCzechkorunahedgingwithlongorshortforwardcontractsontheeuro.Ifthekorunaisexpensivewhentheeuroisexpensive,orevenifthekorunaischeapwhentheeuroisexpensiveitcanbeagoodhedge.Buttheyneedtoco-varyinapredictableway.HedgingContingentExposureIfonlycertaincontingenciesgiverisetoexposure,thenoptionscanbeeffectiveinsurance.Forexample,ifyourfirmisbiddingonahydroelectricdamprojectinCanada,youwillneedtohedgetheCanadian-U.S.dollarexchangerateonlyifyourbidwinsthecontract.Yourfirmcanhedgethiscontingentriskwithoptions.HedgingRecurrentExposurewithSwapsRecallthatswapcontractscanbeviewedasaportfolioofforwardcontracts.Firmsthathaverecurrentexposurecanverylikelyhedgetheirexchangeriskatalowercostwithswapsthanwithaprogramofhedgingeachexposureasitcomesalong.Itisalsothecasethatswapsareavailableinlonger-termsthanfuturesandforwards.HedgingthroughInvoiceCurrencyThefirmcanshift,share,ordiversify:shiftexchangerateriskbyinvoicingforeignsalesinhomecurrencyshareexchangerateriskbypro-ratingthecurrencyoftheinvoicebetweenforeignandhomecurrenciesdiversifyexchangerateriskbyusingamarketbasketindexHedgingviaLeadandLagIfacurrencyisappreciating,paythosebillsdenominatedinthatcurrencyearly;letcustomersinthatcountrypaylateaslongastheyarepayinginthatcurrency.Ifacurrencyisdepreciating,giveincentivestocustomerswhooweyouinthatcurrencytopayearly;payyourobligationsdenominatedinthatcurrencyaslateasyourcontractswillallow.ExposureNettingAmultinationalfirmshouldnotconsiderdealsinisolation,butshouldfocusonhedgingthefirmasaportfolioofcurrencyposi