Creating the great business leaders

MANAJEMEN KEUANGAN INTERNASIONAL

Eksposur Keuangan Internasional
 Fakultas Ekonomi dan Bisnis
School of Economic and Business Topik Bahasan
Telkom University

PERTEMUAN BAHASAN
1 Bisnis Global dan Sistem Moneter Internasional
2 Perusahaan Multinasional dan Capital Budgeting untuk perusahaan MNC
3 Pasar Tak Sempurna, Investasi Internasional dan Instrumen Pasar Internasional
4 Pasar Valuta Asing
5 Hukum Paritas
6 Perbandingan PPP, IRP dan IFE
7 Kebijakan Ekspor Impor Indonesia serta perhitungan perpajakan yang terkena padanya.
8 Ujian Tengah Semester
9 Pengukuran Eksposur (Ekonomi dan Transaksi)
10 Pasar Modal dan Uang Internasional
11 Interest SWAP, Currency SWAP dan Debt-equity SWAP
12 Investasi Portofolio Internasional
13 Dasar-dasar Perdagangan Internasional
14 Alokasi Sumber Daya dan Pasar Kompetitif
15 Efisiensi Pasar
16 Ujian Akhir Semester

2 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Is Exchange Rate Risk Relevant? (1)
Telkom University
Purchasing Power Parity Argument
 Exchange rate movements will be matched by price movements.
 PPP does not necessarily hold.
The Investor Hedge Argument
 MNC shareholders can hedge against exchange rate fluctuations on their own.
 The investors may not have complete information on corporate exposure. They may
not have the capabilities to correctly insulate their individual exposure too.

3 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Is Exchange Rate Risk Relevant? (2)
Telkom University
Currency Diversification Argument
 An MNC that is well diversified should not be affected by exchange rate
movements because of offsetting effects.
 This is a naive presumption.
Stakeholder Diversification Argument
 Well diversified stakeholders will be somewhat insulated against losses
experienced by an MNC due to exchange rate risk.
 MNCs may be affected in the same way because of exchange rate risk.

4 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Is Exchange Rate Risk Relevant? (3)
Telkom University

Response from MNCs

 Many MNCs have attempted to stabilize their earnings with hedging
strategies because they believe exchange rate risk is relevant.

5 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Is Exchange Rate Risk Relevant?
Telkom University

6 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Types of Exposure
Telkom University

7 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University

8 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business

Telkom University

Transaction Exposure
 Sejauh mana nilai transaksi tunai masa depan dapat
dipengaruhi oleh fluktuasi nilai tukar disebut sebagai eksposur
transaksi.
 Untuk mengukur eksposur transaksi:
1. memperkirakan arus kas masuk bersih atau arus keluar dalam setiap
mata uang, dan
2. mengukur dampak potensial dari paparan terhadap mata uang
tersebut.

9 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University
 Sensitivitas transaksi kontraktual perusahaan terhadap pergerakan nilai
tukar mata uang asing disebut sebagai eksposur transaksi.
 Untuk menilai eksposur transaksi, sebuah MNC harus
(1) Perkirakan arus kas bersihnya dalam setiap mata uang.
o MNC perlu memproyeksikan jumlah bersih konsolidasi dalam arus
masuk mata uang (atau arus keluar) untuk semua anak perusahaannya
yang dikategorikan dalam mata uang yang digunakan.
o Memperkirakan arus kas bersih konsolidasi per mata uang berguna
ketika menilai eksposur MNC karena hal itu membantu menentukan
posisi keseluruhannya dalam setiap mata uang.
(2) Ukur kemungkinan efek eksposurnya terhadap portofolio.
o Arus kas bersih dolar dari MNC dihasilkan dari portofolio mata uang.
o Eksposur portofolio mata uang dapat diukur dengan standar deviasi
portofolio, yang menunjukkan bagaimana nilai portofolio dapat
menyimpang dari apa yang diharapkan.

10 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University
 Estimating Net Cash Flows
 Example: Miami Co.
 Miami Co. conducts its international business in four currencies. The
company’s objective is first to measure its exposure in each currency over
the next quarter and then to estimate its consolidated cash flows based on
expected transaction for one quarter ahead.
 Miami expects as follows:
o British pound inflow of £17 million and outflows of £7 million over the
next quarter and expected exchange rate at the end of the quarter is
$1.50.
o Canadian dollar inflow of C$12 million and outflows of C$2 million over
the next quarter and expected exchange rate at the end of the quarter is
$0.80.
o Swedish krona inflow of SK20 million and outflows of SK120 million over
the next quarter and expected exchange rate at the end of the quarter is
$0.15.
o Mexican peso inflow of MXP90 million and outflows of MXP10 million
over the next quarter and expected exchange rate at the end of the
quarter is MXP0.10.
11 Creating the great business leaders
 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University
 Estimating Net Cash Flows
 Example: Miami Co.

 Consolidated Net Cash Flow Assessment of Miami Co.

 Miami Co. will be favorably affected by appreciation of the pound, Canadian dollar, and Mexican
peso; it will be adversely affected by appreciation of the Swedish krona.

12 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University
 Estimating Net Cash Flows
 Example: Miami Co.
 Because the net inflows or outflows in each foreign currency are uncertain and because the
exchange rates at the end of the period are uncertain, Miami Co. will develop a range of possible
exchange rate for each currency:

13 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University
 Measuring MNC’s Portfolio Exposure
 Arus kas bersih dolar dari MNC dihasilkan dari portofolio mata uang.
 Eksposur portofolio mata uang dapat diukur dengan standar deviasi portofolio, yang menunjukkan bagaimana nilai
portofolio dapat menyimpang dari apa yang diharapkan.
 Pertimbangkan MNC yang akan menerima pembayaran dalam dua mata uang asing.
 Risiko (yang diukur dengan standar deviasi perubahan persentase bulanan) dari dua portofolio mata uang yang
dilambangkan dengan σp, dapat diperkirakan sebagai berikut:

 Persamaan menunjukkan bahwa eksposur MNC terhadap berbagai mata uang dipengaruhi oleh variabilitas setiap mata
uang dan korelasi pergerakan antar mata uang.

14 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University
 Example: Miami Co.
 Arus kas bersih dolar dari MNC dihasilkan dari portofolio mata uang.
 Eksposur portofolio mata uang dapat diukur dengan standar deviasi portofolio, yang
menunjukkan bagaimana nilai portofolio dapat menyimpang dari apa yang diharapkan.
 Pertimbangkan MNC yang akan menerima pembayaran dalam dua mata uang asing.
 Risiko (yang diukur dengan standar deviasi perubahan persentase bulanan) dari dua portofolio
mata uang yang dilambangkan dengan σp, dapat diperkirakan sebagai berikut:

15 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School Economics and Business

Transaction Exposure
International Financial Exposure

16 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University
 Eksposur transaksi ada ketika transaksi tunai masa depan
perusahaan dipengaruhi oleh fluktuasi nilai tukar.
 Ketika eksposur transaksi ada, perusahaan menghadapi tiga tugas
utama:
 Identifikasi tingkat eksposur transaksi.
 Putuskan apakah ingin melindungi eksposur ini.
 Pilih teknik hedging jika memutuskan untuk melakukan lindung nilai sebagian
atau seluruh eksposur.

17 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Transaction Exposure
Telkom University
 Untuk mengidentifikasi eksposur transaksi bersih, kelompok
terpusat mengkonsolidasikan semua laporan anak perusahaan
untuk menghitung posisi bersih yang diharapkan dalam setiap mata
uang asing untuk seluruh MNC.
 Perhatikan bahwa kadang-kadang, perusahaan mungkin dapat
mengurangi eksposur transaksi dengan menetapkan harga
ekspornya dalam mata uang yang sama yang akan digunakan untuk
membayar impornya.

18 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Techniques to Eliminate Transaction Exposure
Telkom University
 Teknik hedging meliputi:
• Futures hedge,
• Forward hedge,
• Money market hedge, and
• Lindung nilai opsi mata uang.
 MNC biasanya akan membandingkan arus kas yang diharapkan dari
masing-masing teknik hedging sebelum menentukan teknik mana
yang akan diterapkan.

19 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Futures and Forward Hedges
Telkom University
 Untuk melindungi hutang masa depan (piutang), perusahaan dapat membeli
(menjual) mata uang berjangka, atau menegosiasikan kontrak forward untuk
membeli (menjual) mata uang ke depan.
 Keputusan hedge-versus-no-hedge dapat dibuat dengan membandingkan hasil
hedging yang diketahui dengan hasil yang mungkin dari unhedged yang tersisa,
dan mempertimbangkan tingkat keengganan risiko perusahaan.
 Biaya nyata lindung nilai (RHC) mengukur biaya tambahan di luar yang terjadi
tanpa lindung nilai.
 Real cost of hedging payables (RCHp) = nominal cost of payables with hedging – nominal cost of
payables without hedging
 Real cost of hedging receivables (RCHr) = nominal revenues received without hedging –
nominal revenues received with hedging
 Jika biaya hedging riil negatif, maka lindung nilai lebih menguntungkan daripada
tidak melakukan hedging.
 Untuk menghitung nilai yang diharapkan dari biaya hedging riil, pertama
kembangkan distribusi probabilitas untuk kurs spot di masa depan. Kemudian
gunakan untuk mengembangkan distribusi probabilitas untuk biaya lindung nilai
nyata.

20 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Futures and Forward Hedges
Telkom University
 The Real Cost of Hedging for Each £ in Payables
For each £ in payables,
expected RCH =  Pi RCHi = $0.0295
Nominal Cost Nominal Cost Real Cost
Probability With Hedging Without Hedging of Hedging
5% $1.40 $1.30 $0.10
10 $1.40 $1.32 $0.08
15 $1.40 $1.34 $0.06
20 $1.40 $1.36 $0.04
20 $1.40 $1.38 $0.02
15 $1.40 $1.40 $0.00
10 $1.40 $1.42 – $0.02
5 $1.40 $1.45 – $0.05

21 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Futures and Forward Hedges
Telkom University
 The Real Cost of Hedging for Each £ in Payables

There is a 15% chance that the real cost of hedging will be negative.
25%

20%
Probability

15%

10%

5%

0%
-$0.05 -$0.02 $0.00 $0.02 $0.04 $0.06 $0.08 $0.10

22 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Futures and Forward Hedges
Telkom University
 If the forward rate is an accurate predictor of the future spot rate,
the real cost of hedging will be zero.
 If the forward rate is an unbiased predictor of the future spot rate,
the real cost of hedging will be zero on average.

23 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Money Market Hedge
Telkom University
 A money market hedge involves taking a money market position to
cover a future payables or receivables position.
 For payables:
 Borrow in the home currency (optional)
 Invest in the foreign currency
 For receivables:
 Borrow in the foreign currency
 Invest in the home currency (optional)

24 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Money Market Hedge
Telkom University

A firm needs to pay NZ$1,000,000 in 30 days.

Borrows at 8.40%
for 30 days
1. Borrows $646,766 3. Pays $651,293

Effective
Exchange at $0.6500/NZ$ exchange rate
$0.6513/NZ$

Lends at 6.00% for 30 days

2. Holds NZ$995,025 3. Receives NZ$1,000,000

25 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Money Market Hedge
Telkom University

A firm expects to receive S$400,000 in 90 days.

Borrows at 8.00%
for 90 days
1. Borrows S$392,157 3. Pays S$400,000

Effective
Exchange at $0.5500/S$ exchange rate
$0.5489/S$

Lends at 7.20% for 90 days

2. Holds $215,686 3. Receives $219,568

26 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Money Market Hedge
Telkom University
 If interest rate parity (IRP) holds, and transaction costs do not exist,
a money market hedge will yield the same results as a forward
hedge.
 This is so because the forward premium on a forward rate reflects
the interest rate differential between the two currencies.

27 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Currency Option Hedge
Telkom University
 A currency option hedge uses currency call or put options to hedge
transaction exposure.
 Since options need not be exercised, they can insulate a firm from
adverse exchange rate movements, and yet allow the firm to benefit
from favorable movements.
 Currency options are also useful for hedging contingent exposure.

28 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Hedging with Currency Options
Telkom University
Hedging Payables with Currency Hedging Receivables with Currency
Call Options Put Options
Strike price = $1.60 Strike price = $0.50
Premium = $ .04 Premium = $ .03
Nominal Cost for each £ Nominal Income for each NZ$
$1.66 $.52
With Hedging
With
$1.62 $.48 Hedging

$1.58 $.44
Without Hedging Without Hedging

0 $1.58 $1.62 $1.66 0 $.44 $.48 $.52

Future Spot Rate Future Spot Rate
29 Creating the great business leaders
 Fakultas Ekonomi dan Bisnis
School of Economic and Business Review of Hedging Techniques
Telkom University

To Hedge Payables To Hedge Receivables

Futures Purchase currency Sell currency

hedge futures contract(s). futures contract(s).

Forward Negotiate forward Negotiate forward

hedge contract to buy contract to sell
foreign currency. foreign currency.

Money Borrow local Borrow foreign

market currency. Convert currency. Convert
hedge to foreign currency. to local currency.
Invest till needed. Invest till needed.

Currency Purchase currency Purchase currency

option call option(s). put option(s).
hedge

30 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Limitation of Repeated Short-Term Hedging
Telkom University

Repeated Hedging of Foreign Payables

When the Foreign Currency is Appreciating

Forward Rate
Costs are
increasing … Spot Rate

although there are

savings from
hedging.

0 1 2 3 Year
The forward rate often moves in tandem with the spot rate.
Thus, an importer who uses one-period forward contracts continually will have to pay increasingly
higher prices during a strong-foreign-currency cycle.

31 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Hedging Long-Term Transaction Exposure
Telkom University

Long-Term Hedging of Foreign Payables

when the Foreign Currency is Appreciating

Spot Rate

Savings from
hedging
3-yr
2-yr forward
1-yr forward
forward
0 1 2 3 Year
If the hedging techniques can be applied to longer-term periods, they can more effectively insulate
the firm from exchange rate risk over the long run.

32 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Hedging Long-Term Transaction Exposure
Telkom University
 MNCs that can accurately estimate foreign currency cash flows for
several years may use long-term hedging techniques.
 Long-term forward contracts, or long forwards, with maturities of up
to five years or more, can be set up for very creditworthy customers.
 In a currency swap, two parties, with the aid of brokers, agree to
exchange specified amounts of currencies on specified dates in the
future.
 A parallel loan, or back-to-back loan, involves an exchange of
currencies between two parties, with a promise to re-exchange the
currencies at a specified exchange rate and future date.

33 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Cross-Hedging
Telkom University
 When a currency cannot be hedged, another currency that can be
hedged and is highly correlated may be hedged instead.
 The stronger the positive correlation between the two currencies,
the more effective the cross-hedging strategy will be.

34 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Currency Diversification
Telkom University
 An MNC may reduce its exposure to exchange rate movements
when it diversifies its business among numerous countries.
 Currency diversification is more effective when the currencies are
not highly positively correlated.

35 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School Economics and Business

Economic Exposure
International Financial Exposure

36 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Economic Exposure
Telkom University
 Eksposur ekonomi mengacu pada dampak fluktuasi nilai tukar dapat
terjadi pada arus kas masa depan perusahaan.
 Ingat bahwa arus kas perusahaan dapat dipengaruhi oleh
pergerakan nilai tukar dengan cara yang tidak terkait langsung
dengan transaksi asing.
The economic impact of currency exchange rates on us is complex
because such changes are often linked to variability in real growth,
inflation, interest rates, governmental actions, and other factors. These
changes, if material, can cause us to adjust our financing and operating
strategies.
PepsiCo

37 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Economic Exposure
Telkom University
 Penggunaan Laporan Penghasilan untuk Menilai Eksposur Ekonomi
o Sebuah MNC dapat menentukan eksposurnya dengan menilai sensitivitas arus
kas masuk dan arus keluar ke berbagai kemungkinan skenario nilai tukar.
o MNC kemudian dapat mengurangi eksposurnya dengan merestrukturisasi
operasinya untuk menyeimbangkan arus kas yang sensitif nilai tukar.
o Perhatikan bahwa spreadsheet komputer sering digunakan untuk
mempercepat analisis.

38 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Economic Exposure
Telkom University
 Managing Madison Inc.’s Economic Exposure
 Original Impact of Exchange Rate Movements on Earnings: Madison, Inc. (In Millions)

39 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Economic Exposure
Telkom University
 Managing Madison Inc.’s Economic Exposure
 Penghasilan Madison sebelum pajak berbanding terbalik dengan kekuatan
dolar Kanada, karena biaya yang lebih tinggi lebih dari mengimbangi
pendapatan yang lebih tinggi ketika dolar Kanada menguat.
 Madison dapat mengurangi eksposurnya dengan meningkatkan penjualan
Kanada, mengurangi pesanan bahan Kanada, dan meminjam lebih sedikit
dalam dolar Kanada.
 Bagaimana Restrukturisasi Dapat Mengurangi Eksposur Ekonomi:
o Restrukturisasi untuk mengurangi eksposur ekonomi melibatkan menggeser sumber biaya atau
pendapatan ke lokasi lain untuk mencocokkan arus masuk dan arus kas masuk dalam mata
uang asing.
o Struktur yang diusulkan kemudian dievaluasi dengan menilai sensitivitas arus kas masuk dan
arus keluar ke berbagai kemungkinan skenario nilai tukar.

40 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Economic Exposure
Telkom University
 Managing Madison Inc.’s Economic Exposure
 Impact of Possible Exchange Rate Movements on Earnings under Two Alternative Operational
Structures (in Millions)

41 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Economic Exposure
Telkom University
 Managing Madison Inc.’s Economic Exposure
 Economic Exposure Based on the Original and Proposed Operating Structures

42 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Economic Exposure
Telkom University
 Issues Involved in the Restructuring Decision
 Restructuring may involve:
 increasing/reducing sales in new or existing foreign markets,
 increasing/reducing dependency on foreign suppliers,
 establishing/eliminating production facilities in foreign markets, and/or
 increasing/reducing the level of debt denominated in foreign currencies.

43 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Economic Exposure
Telkom University
 How to Restructure Operations to Balance the Impact of Currency
Movements on Cash Inflows and Outflows

44 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School Economics and Business

Transalation Exposure
International Financial Exposure

45 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Translation Exposure
Telkom University
 Translation exposure terjadi ketika MNC menerjemahkan data
keuangan masing-masing anak ke mata uang asalnya untuk
pelaporan keuangan yang terkonsolidasi.
 Eksposur translasi tidak secara langsung mempengaruhi arus kas,
tetapi beberapa perusahaan mengkhawatirkannya karena potensi
dampaknya terhadap laba konsolidasi yang dilaporkan.

46 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Translation Exposure
Telkom University
 Use of Forward Contracts to Hedge Translation Exposure
 To hedge translation exposure, forward or futures contracts can be used.
Specifically, an MNC may sell the currency that its foreign subsidiary receive as
earnings forward, thus creating an offsetting cash outflow in that currency.
Example:
 A U.S.-based MNC has a British subsidiary.
 The forecasted British earnings of £20 million (to be entirely reinvested) will be translated at
the weighted average £ value over the year.
 To hedge this expected earnings, the MNC sells £20 million one year forward.
 If the £ depreciates, the gain generated from the forward contract position will help to
offset the translation loss.

47 Creating the great business leaders

 Fakultas Ekonomi dan Bisnis
School of Economic and Business Translation Exposure
Telkom University
 Limitations of Hedging Translation Exposure
 Increased transaction exposure
 If the foreign currency appreciates during the fiscal year, the transaction loss
generated by a forward contract position will somewhat offset the translation gain.
 The translation gain is simply a paper gain, while the loss resulting from the hedge is
a real loss.

48 Creating the great business leaders

Fakultas Ekonomi dan Bisnis
School Economics and Business

49 Creating the great business leaders