MODUL 9

MANAJEMEN RISIKO VALAS

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 Foreign Exchange Risk
Foreign exchange risk is the risk that the domestic currency
value of cash flows, denominated in foreign currency, may
change because of the variation in the foreign exchange rate.
There would not be any foreign exchange risk if the
exchange rates were fixed.

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What is Foreign Exchange Risk?
n Foreign exchange risk is the risk associated with
activities that involve a global firm in currencies
other than its home currency.
n Essentially, it is the risk that a foreign currency
may move in a direction which is financially
destructive to the global firm and government.
n Given our observed potential for adverse
exchange rate movements, firms must:
¨ Assess and Manage their foreign exchange exposures.
Does Foreign Exchange Risk Matter?
What do Global Firms Say
n Nike: “Our international operations and sources of supply are
subject to the usual risks of doing business abroad, such as
possible revaluation of currencies…” (2005).
n Starbucks: “In fiscal 2004, international company revenue [in
US dollars] increased 32%, [in part] because of the
weakening U.S. dollar against both the Canadian dollar and
the British pound.” (2005).
n McDonalds: “In 2000, the weak euro, British pound and
Australian dollar had a negative impact upon reported [US
dollar] results.” (2000).
FX Exposure and the Valuation
of a MNC
n
ì [E (CF$,t )]ü
V = åí t ý
t =1 î (1 + k ) þ

n where E(CF$,t) represents expected cash flows to be

received at the end of period t,
n n represents the number of periods into the future in
which cash flows are received, and
n k represents the required rate of return by investors.

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Impact of Foreign Exchange
Exposure

[
E (CF$,t ) = å E (CF j ,t )´ E (S j ,t ) ]
m

j =1
n where CFj,t represents the amount of cash flow denominated
in a particular foreign currency j at the end of period t,

n Sj,t represents the exchange rate at which the foreign

currency (measured in dollars per unit of the foreign
currency) can be converted to dollars at the end of period t.

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Global Companies and FX Risk
What are the specific risks to a global firm from foreign exchange exposure
Risk?
– Cash inflows and outflows, as measured in home currency
equivalents, associated with foreign operations can be adversely
affected.
• Revenues (profits) and Costs

– Settlement value of foreign currency denominated contracts, in

home currency equivalents, can be adversely affected.
• Loans in foreign currencies.

– The global competitive position of the firm can be affected by

adverse changes in exchange rates.
• Influence on required return.

– End Result: The value (market price) of the firm can be adversely
affected.
Types of Foreign Exchange Risk
• There are three distinct types of foreign exchange
exposures risk that global firms may face as a result of
their international activities.
• These foreign exchange exposures are:
– Transaction exposure
• Any MNC engaged in current transactions involving foreign
currencies.
– Economic exposure
• Results for future and unknown transactions in foreign currencies
resulting from a MNC long term involvement in a particular market.
– Translation exposure (sometimes called “accounting” exposure).
• Important for MNCs with a physical presence in a foreign country.
Transaction Risk
n Transaction Exposure Risk: Results from a firm
taking on “fixed” cash flow foreign currency
denominated contractual agreements.
¨ Examples of translation exposure:
n An Account Receivable denominate in a foreign currency.
n A maturing financial asset (e.g., a bond) denominated in a foreign
currency.
n An Account Payable denominate in a foreign currency.
n A maturing financial liability (e.g., a loan) denominated in a foreign
currency.
Economic Risk
n Economic Exposure Risk: Results from the “physical” entry
(and on-going presence) of a global firm into a foreign
market.
¨ This is a long term foreign exchange exposure resulting from a
previous FDI location decision.
n Over time, the firm will acquire foreign currency denominated
assets and liabilities in the foreign country.
n The firm will also have operating income and operating costs in
the foreign country.
¨ Economic exposure impacts the firm through contracts and
transactions which have yet to occur, but will, in the future, because
of the firm’s location.
n These are really “future” transaction exposures which are
unknown today.
¨ Economic exposure can have profound impacts on a global firm’s
competitive position and on the market value of that firm.
The Two Channels of Economic Exposure
Impact on the home
Foreign currency denominated
asset & liability exposure currency value of
foreign assets and
liabilities

Exchange MNC’s
Rate Competitive
Fluctuations Position and Value

Impact on home
Operating exposure
(Revenues and Costs) currency amount of
future operating
cash flows
Translation Risk
n Translation Exposure Risk: Results from the
need of a global firm to consolidated its financial
statements to include results from foreign
operations.
¨ Consolidation involves “translating” subsidiary
financial statements from local currencies (in the
foreign markets where the firm is located) to the
home currency of the firm (i.e., the parent).
¨ Consolidation can result in either translation gains or
translation losses.
n These are essentially the accounting system’s attempt to
measure foreign exchange “ex post” exposure.
AKIBAT RESIKO-RESIKO TERSEUT DALAM JANGKA
PENDEK DAN JANGKA PANJANG.
n Secara umum, keuntungan dan kerugian yang berasal dari pergerakan nilai tukar mata uang
asing diperlukan sebagai berikut :
¨ Transaksi yang mengakibatkan laba atau rugi ditranslasikan pada nilai mata uang rata-
rata yang berlaku selama tahun berjalan
¨ Aktiva kewajiban dalam neraca penutupan ditransaksikan pada nilai tukar yang berlalu
pada tanggal penutupan laporan
¨ Aktiva bersih pada neraca awal dinyatakan kembali nilai tukar pada saat penutupan,
yaitu selisih dari tahun sebelumnya akan dimasukkan dalam cadangan
¨ Perbedan nilai tukar atas pinjaman dalam bentuk mata uang asing yang secara
langsung dinaikkan atau untuk memberikan pembendung (hedging) terhadap aktiva
tetap di luar negeri akan dimasukkan dalam cadangan dan akan di-offset terhadap
perbedaan nilai tukar atas aktiva tersebut.
¨ Semua keuntungan dan kerugian lainnya telah dimasukkan dalam laporan laba-rugi

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FX Risk From A Business Perspective
A Business Example of Economic
Exposure

An American importer agrees to purchase 400

Australia overcoats at a price of AUD1,200 each, for a
total of AUD480,000. The coats will take 3 months to
produce, and the importer is to pay for them upon
delivery.

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FX Risk From A Business Perspective
(cont’d)
A Business Example of Economic
Exposure (cont’d)

Assume the following exchange rates exist today:

Ø $ per AUD = $0.8073 (direct quotation)

Ø AUD per $ = AUD1.2387 (indirect quotation)

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FX Risk From A Business Perspective
(cont’d)
A Business Example of Economic
Exposure (cont’d)

If the importer paid for the coats today, each coat

would cost the importer:
AUD1,200 x $0.8073/AUD = $968.76
The importer is concerned that the U.S. dollar might
weaken between now and coat delivery time.

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FX Risk From A Business Perspective
(cont’d)
A Business Example of Economic
Exposure (cont’d)

If the dollar strengthens and the value of the AUD to

$0.7500, the cost of each coat will be:
AUD1,200 x $0.7500/AUD = $900.00
If the dollar weakens to an exchange rate of $0.9000,
the cost of each coat will be:
AUD1,200 x $0.9000/AUD = $1,080.00

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FX Risk From An Investment
Perspective
An Investment Example of Economic Exposure

You just placed an order with your broker to purchase 10,000

shares of Kangaroo Lager, trading on the Sydney Stock
Exchange. You can currently purchase the shares for AUD1.45
apiece.

The current exchange rate is $0.5755/AUD. Thus, the shares cost

you:

10,000 x AUD1.45 x $0.5755/AUD = $8,344.75

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FX Risk From An Investment
Perspective (cont’d)
An Investment Example of Economic
Exposure (cont’d)

You hold the Kangaroo shares for six months, at which

time the shares sell for AUD1.95. This is a return of
(1.95 – 1.45)/1.45 = 34.5%

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FX Risk From An Investment
Perspective (cont’d)
An Investment Example of Economic Exposure (cont’d)

In six months, the exchange rate is $0.5500. If you were to sell the
shares, you would receive:

10,000 x AUD1.95 x $0.5500/AUD = $10,725.00

This is a return on investment of

($10,725.00 - $8,344.75)/$8,344.75 = 28.52%

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https://www.youtube.com/watch?v=MhMhg97fmzE
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KESIMPULAN
n Manajemen dalam risiko sangat penting bagi setiap perusahaan. Karena
yang namanya risiko adalah sesuatu yang harus dihadapi, dan
bagaimana risiko itu akan dihadapi tentu sajamembutuhkan manajemen
dan strategi mengatasinya. Seperti yang dibahas di atas, strategi
yangdapat diambil antara lain adalah Bank harus melaksanakan
pengendalian risiko nilai tukar yang bertujuan untuk melindungi
nilai keuntungan dalam denominasi
n Dan mempertimbangkan prinsip kehati-hatian dan pemilihan strategi
lindung nilai yang tepatterhadap penyediaan dana dan transaksi, aktivitas
fungsional atau satuan kerja Bank yang tidakmemiliki limit posisi sehingga
posisi yang tidak memiliki otorisasi dapat segera diidentifikasi dandiatasi
permasalahannya, pengendalian risiko nilai tukar yang tepat harus
ditetapkan danditerapkan secara efektif dalam rangka memenuhi batasan
dan persyaratan yang diatur dalam ketentuan berlaku.

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