After-Tax Transaction Exposure
本文指出跨国公司常用的货币风险暴露报告忽略了不同国家税率差异导致的税务影响，提出了一种税后风险暴露报告来更准确地管理外汇交易损失。
Multinational firms often centrally manage their worldwide exposure to foreign exchange transaction losses by netting their positions in each currency on a consolidated currency exposure report. While it is effective on a pretax basis, standard currency exposure report fails to consider tax exposures because of differing tax rates among countries in which firm operates. This paper reviews traditional transaction exposure reporting, and proposes an after-tax exposure report to correct deficiency described above. Possible applications of report are also explored. INTRODUCTION Exchange rates have exhibited much greater volatility since fixed exchange rates were abandoned in 1973. The strong appreciation of US dollar from 1980-1985, its fall in 19851987 and wide swings since then have demonstrated in a concrete way that foreign currency exposure management is important. Executives in multinational corporations (MNC's) appear to be increasingly aware of foreign exchange exposure in general and in particular are sensitive to foreign currency transaction exposure. Reporting on a recent survey by Bank of America of 200 MNC's, World of Banking (1995) notes that 90% of responding films adjust their foreign currency positions at least monthly and 30% do so daily. Malindretos and Tsanacas (1995) surveyed CFO's of small-sized MNC's, and report that 92% of respondents could correctly identify definition of transaction exposure from among several alternatives, and that 90% of respondents reported that they hedge transaction exposure. In addition, 68% said that transaction exposure was most important type of foreign exchange exposure for their firm. In interviews with 17 major British industrial corporations, Belk and Glaum (1990, p.5) found that for 14 of 17 firms, day-to-day management of transaction exposures was centerpiece of their foreign exchange risk management. In spite of greater sophistication, MNC's may often miss tax implications of transaction exposure. Laretan and Prentiss (1994) exhort treasury managers to consult with their tax experts to determine tax impact of exposure, and caution that ignoring taxes may result in a firm's being fully hedged on a pretax basis but not satisfactorily protected after taxes. This paper discusses impact of taxes on transaction exposure and proposes a technique for managing after-tax exposure. TRANSACTION EXPOSURE Madura (1995, p. 269) defines transaction exposure as the degree to which value of future cash transactions can be affected by exchange rate fluctuations. Transaction exposure occurs when a firm commits to paying or receiving an amount in a currency which is foreign to that entity. A firm experiences a gain or loss on paper when exchange rate applicable to this commitment changes, and a realized gain or loss when firm pays or receives foreign currency amount. For example, a French firm which maintains its accounts in French francs incurs transaction exposure when it issues an invoice denominated in British pounds. Should British pound decline in relation to French franc prior to payment, firm will have a foreign exchange loss on paper on receivable; once French firm receives payment, loss is realized. Eiteman, Stonehill and Moffett (1995, p.183) note that transaction exposure differs from other foreign exchange exposure in that realized gains and losses are usually taxable. A cursory review by author of Price Waterhouse's (1993-1995) guidebooks on overseas operations (Doing Business in Japan, etc.) confirms that all G-7 nations consider transaction gains and losses to be taxable. Transaction gains and losses are taxable because amount firm actually receives or pays changes when exchange rate changes, and thus income or expense related to transaction which generated this exposure also changes. For example, a German firm which invoices a French company for FF9,000 when exchange rate is DM. …