奧運比賽實在太精彩, 國家隊已經拿到35面金牌, 超越上一界的32面金牌, 而且仲有得繼續爭奪金牌的機會. 筆者睇比賽睇得好開心, 好興奮, 如癡如醉. 所以暫時無時間睇945和2318的業績報告, 要遲d先再update.
今次想講下國際性金融公司如何處理Forex Exposure. 國際性金融集團例如匯豐或者宏利, 在唔同國家或地區都有業務. 於是在Balance sheet上有唔同貨幣的資產與負債, 另外, 在Income Statement上, 也有唔同貨幣的profit, 無論係Realized 或者Unrealized. 而貨幣匯率係時刻在變動中, 於是, 國際性金融集團就會承受外匯的風險.
一間公司在唔同國家的業務, 從當地的立場去睇, 賺取的盈利係本地貨幣Local Currency, 以宏利為例, 宏利在加拿大, 美國, 香港, 日本等國家和地區都有業務. 於是香港業務賺取的盈利係港元, 所以從香港業務的角度, Local currency 就係港元, 日本業務賺取的盈利係日元, 所以從日本業務的角度,Local currency 就係日元, 但宏利的Reporting currerency 係加元, 於是所有非加元的資產,負債和利潤都係外幣資產,負債和利潤. 都要承受外匯變動的風險. 所以如何處理外匯風險係非常重要的.
筆者所知, 一些國際性金融集團都會為外幣的資產,負債和利潤做對沖. 每一日, 每個國家或地區都會結算當日的Profit, 包括Realized 和 Unrealized, 例如已經除左息仍然未收到的股息, accrued coupon等等, 然後做對沖. 其實難度係非常高, 而且成本都唔少. Realized Profit 相對容易一些, Unrealized profit 就困難一些, 因為今日有Unrealized profit , 明天, 可能變成Unrealized loss, 或者仍然有Unrealized profit , 不過profit 少左.
以下的例子, 這間金融公司某地區業務的local currency 係 GBP, 而reporting currency 係USD.
For an example, the company buy 10,000 stock at 10 GBP, and the exchange rate is 1.5 USD/GBP.
Now the company has 100,000 GBP stock asset, and 100,000 GBP liability (“what the company has paid / funds going out / overdraft”), on the sterling books. The current dollar equivalent asset is 150,000 USD, and the liability is 150,000 USD.
At the moment, exchange rate changes will equally affect the dollar equivalent value of the asset and liability, so the company does not have an forex exposure.
Suppose the stock price now rises to 11 GBP.
The company now has an unrealised profit of 10,000 GBP, an asset of 110,000 GBP and the liability is still 100,000 GBP. While the dollar equivalent asset is now 165,000 USD, and the liability is 150,000 USD.
The dollar equivalent unrealised profit is 165,000 - 150,000 = 15,000 USD.
Scenario 1: Suppose the company does not hedge the position and the exhange rate now changes to 1.4 USD/GBP.
The dollar equivalent asset is now 154,000 USD, and USD liability is 150,000 . The dollar equivalent unrealised profit is now only 154,000 - 150,000 = 4,000 USD.
So, as soon as the company has a profit/loss (i.e. a difference between the asset value and the liability value) , the dollar equivalent profit/loss will vary depending on the exchange rate. This is called forex exposure.
To remove this potential variation due to forex rate changes, the company can use the GBP profit to buy dollars, i.e. to convert the profit to dollars. This brings the GBP liability back to equal the GBP asset.
Scenario 2: Buy dollars to the value of 10,000 GBP (the profit), at 1.46 USD/GBP, ie 14,600 USD. This is called an “exposure hedge trade”.
Now the company has an asset of 110,000 GBP, a liability of 110,000 GBP, and the dollar books now have an asset of 14,600 USD.
If the exhange rate now changes to 1.4 USD/GBP, the profit remains at 14,600 USD which is from the exposure hedge trade.
To conclude, exposure hedge trades are made when the company has a non-dollar profit, and wants to fix the dollar profit to be independent of exchange rate shifts.
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2 年前
市場先生，大口仔寫幾篇有關渣打銀行2008中期業績的分析系列，將會於今個星期陸續刊出，有空請到敝BLOG一看，大家交流下。 :)
回覆刪除http://tabodiary.blogspot.com
Thank you for the explanation. This is something I did not understand.
回覆刪除Could I ask a question about the shareholding records in HK Stock Exchange? e.g. HSBC is holding less than 19.9% of #3328, Bank of Communication, according to (Chairman of Asia Pacific) Cheng Hoi Chuen's comment yesterday. This is also China's regulation. But in the Exchange records, it shows 40.67%. Does it mean only the share circulation in Hong Kong?
dawn
Hedging 真係好重要,我地有個英國software maint 要40000 GBP 一年, 前幾年400幾K 港元到而家600幾K港元.
回覆刪除年年做budget 時真係唔知點做.
In the statement "Now the company has an asset of 110,000 GBP, a liability of 110,000 GBP, and the dollar books now have an asset of 14,600 USD.", should the asset & liabilities be 100,000 GBP instead ?
回覆刪除回應大口仔: 你對渣打銀行2008中期業績的分析寫得好好.
回覆刪除回應dawn: 40.67%只係計H股, 19.9%係計全部發行股數(A+H).
回應ngkf: Forex exposure Hedging 成本好高, 另外, 實施Basel II 也是好昂費的.
回應三無: the asset is 110,000 GBP, becasue in this case, the share price is still 11 GBP, hence asset = 10,000 x 11 = 110,000 GBP. While the liability is 110,000 GBP because the company uses 10,000 GBP to buy USD, hence liability = 100,000 + 10,000 = 110,000 GBP. As long as Foreign currency asset and liability are tied, there will be no forex exposure risk, that is the purpose of hedging.
我地公司近幾年會用 bond 來做hedging.買入不同年期的bond.
回覆刪除不過做budget又唔係完全用finance 個條數.真係吹漲
Thank you for clarifications.
回覆刪除I have another qusetion. I assume the company is using GBP liabilities to fund GBP investment. In scenario 1, should the USD equivalent liabilities be 100,000 GBP*1.4 = 140,000 USD, and unrealised profit = (110,000-100,000) GBP * 1.4 = 14,000 USD ?
回應ngkf: fixed income 通常係賺大錢的部門, 幾惡架.
回覆刪除回應三無 : no, USD equivalent liability still remains 150,000 USD. For example, you borrow 150,000 USD as funding cost to buy 100,000 GBP asset, assume the rate is 1.5 on the transaction date. No matter the rate changes, you still have a debt of 150,000 USD. On the other side, the USD equivalent of the GBP asset will vary depending on the rate changes.
sorry that i get confused. Are you mentioning the case of using USD liabilities to fund GBP investment, and if there is any unrealized GBP profit, the GBP liabilities should be raised to minimized fx risk, right?
回覆刪除回應三無: yes, if there is any unrealized profit in foreign currency, say GBP in this case, the company should hedge the foreign currency profit as soon as possible to minimize fx risk. When the company translates the GBP profit to USD asset, then the liability in GBP will be in line with asset in GBP again, hence fx risk is removed.
回覆刪除Sorry, may i clear my mind:
回覆刪除The fx risk can be hedged by matching the assets and liabilities (in the same amount & currency).
when there is any profit/loss in foreign currency (e.g. GBP), either one of the following ways can be done:
1) convert the profit/loss to the reporting currency (from GBP to USD);
2) increase/decrease the liabilities (in GBP) such that they agree with assets again.
it seems that both approaches are very costly, especially when unrealized profit/loss is changing everyday.
回應三無 : you are right, managing fx exposure is a costly and complicated process. So I guess only those tier one financial groups will do so.
回覆刪除