Döviz riski yönetimi

Abstract

Döviz piyasaları son yıllarda artan uluslararası ticaret hacimlerine paralel olarak gelişmiş ve günümüz dünya piyasaları arasında çok önemli bir konuma gelmiştir. Özellikle 70'li yılların başlarından sonra gerçekleşen hızlı gelişmelerle piyasalardaki yerleşik standartlar terk edilmiş, kısa bir süre içerisinde sabit kur sistemlerinden serbest kur sistemine geçilmiştir. Ülkeler arası anlaşmalar ve korumacı müdahelelerin getirdiği kısıtlamalar terk edilmemiş olmasına rağmen, piyasaların dalgalanırlığı önemli ölçüde artmış, olası kur hareketlerinin yönü ve derecesinin öngörülmesi zorlaşmıştır. Piyasaların bu yeni özellikleri, bilançolarında döviz kalemleri taşıyan işletmeleri yeni risklerle karşı karşıya bırakmıştır. Finans alanında, işletmelere döviz kuru, likidite ve faiz risklerinden korunmalarına yardımcı olabilecek yeni araçlar geliştirilmiştir. Döviz riskinden korunmada işletmelerin başvurduğu vadeli işlemlere son yıllarda döviz gelecek(future) ve döviz opsiyon işlemleri ile bunlardan türetilmiş yeni ürünler eklenmiştir. Birbirleri ile karşılaştırıldığında oldukça farklı işlem aşamaları içeren bu ürünler, işletmelerin karşı karşıya bulunduğu risk çeşitleri, gelecekteki piyasa hareketleri ile ilgili beklentileri ve genel korunma stratejilerine bağlı olarak döviz riski yönetimi amacıyla yaygın olarak kullanılmaya başlanmıştır. Ülkemizde gerek bazı ekonomik koşulların oluşmamış olması gerekse ilgili düzenlemelerin eksikliği nedeniyle döviz piyasası araçlarının çok kısıtlı kullanımı olduğu görülmektedir. Türkiye uygulamasının gelişmesi için gelecekten beklentiler, ekonomik yapıda ve finans sektöründeki gelişmelerin yapıcı düzenlemelerle desteklenerek, döviz piyasası işlemlerinin derinlik kazanması için gerekli koşulların oluşturulmasıdır.

The management of foreign exchange risk has become more important and more difficult in the last 20 years and especially so in the current decade. Foreign exchange exposure arises when a corporation has transactions dominated in currencies other than the domestic currency. As foreign exchange rates change, the value of the transactions or the value of net assets or liabilities in foreign currency changes when translated into the domestic currency. Accordingly, foreign exchange gains and losses arise. The magnitude of gains and losses will depend to a large extent on how the related risks are defined. Accounting standards in most developed industrial countries vary and, accordingly, definitions of exposure and method selections for foreign exchange risk hedging do as well. Furthermore, companies themselves, even if they are located in the same financial environment and are using the same accounting standards, define exposures in various ways using different concepts. Also, the variety of financial instruments available, makes the decision process faced by many firms a difficult one. Actual hedging (protection) techniques are as numerous and as imaginative as one would expect from the highly competent international treasurers and bankers who work in this area. Basically, the techniques can be broken down into three general categories: forward cover in the foreign exchange market; management of balance shoet assets and liabilities; and anticipatory price planning. At this point, it should be mentioned that only the first of these three strategies was of basic interest in this work. A similar classification of hedging techniques can be made with the distinction between internal and external hedges. Internal hedges are actioned by a company as a way to avoid or reduce exposure from arising in the first place. Methods mentioned above, namely, matching of balance sheet assets and liabilities or hedging through pricing actions fall under this category. External hedges should in general be used to eliminate or reduce exposure remaining after use of internal techniques. External hedging techniques are actioned outside the company, and mainly consist of covers in the money and foreign exchange markets. They aim at insuring against the possibility that losses will result from an exposed position that internal hedges were not able to eliminate. For the major convertible currencies there are several actions one can take, either through the local money market or in the international foreign exchange market, to protect against exchange rate losses. Examples of forward hedge in the foreign exchange market are forward contracts (outright forward, spot/forward, forward/forward or forward options), currency options and currency futures. A common failing of exposure management in many companies is that the management of currency risk does not begin until after the exposure has been generated. Decision-making in foreign exchange risk management should begin before exposures have been generated. Companies should take necessary actions to clearly define potential risks that are caused by fluctuating market rates, and develop their strategies prior to facing a loss situation. The above definitions of foreign currency risk are true for companies all oyer the world. However, when we look at the situation of turkish firms facing such exposures, we observe that the hedging alternatives they can utilize are very limited. Current economic conditions in turkey and the weakness of turkish lira with comparison to major currencies are the two main factors delaying the integration process of the turkish market with world markets. The purpose of this study is to outline some basic concepts in currency risk management. An attempt has also been made to describe the current position, and to foresee the near future of the turkish market. The first section of the study gives a brief review of historical developments in the international foreign exchange market. The history of the foreign exchange market starts with the gold standard period. Until 1930's governments were using a fixed exchange rate system based on gold and silver standards, and stood ready to redeem currencies they had issued against a specified amount of gold or silver. The era of gold convertibility came to an end with the coming of the great depression. The basis of the post-war economic system was laid in 1 944 at an international conference held in Bretton Woods. The Bretton Woods System was a return to gold standard, and was also pegging par-values of convertible currencies against U.S.dollar. This system of fixed exchange rates continued without much problem until late 1960's, but in 1973 with the recognition that fixed exchange rates no longer worked, the era of floating rates started. The introduction of the floating exchange rates which replaced the Bretton Woods system of fixed exchange rates, and increasing government intervention policies by most westernised economies brought the foreign exchange market to its current status. Increased volatility that came with the floating rates, caused both companies and financial institutions to be more careful about the management of their foreign currency exposure. Third section of the study gives a description of currency and liquidity risks and attempts to present some tools that can be used by companies in defining their risks. With the definition of "foreign currency position", firms have a tool to identify in their books the currencies where they have potential risks. The classification of "overbought", "oversold" and "square" positions gives an idea on the direction and extent of the currency risk at any one time. In the second part of this section, liqudity risk of firms is reviewed. The effect of changing rates on non-matching amounts and maturities on the debit and credit sides of the balance sheet is shown. After the introduction to the liquidity risk problem, a useful tool, "The Maturities Balance Sheet" is presented. In the ideal case, where all foreign currency assets and liabilities match with respect to their amounts and maturities, firms will not face the problem of unwanted currency exposures. However, this will rarely be the case. Instead, companies will continuously carry some amount of unmatched items in their balance sheets. The breakdown of all receivable and payable items in maturities is not seen on the balance sheet. The maturities balance sheet can be used to meet this requirement. It gives a detail of all gaps between receivable and payable amounts, and presents these starting with the nearest maturity. Having defined the risks caused by exchange rate movements, in the fourth section new financial instruments that can be used in hedging against these risks, are introduced. Firstly, spot foreign exchange transactions and the methodology of currency rate quotations are reviewed. After the introduction to the transaction mechanism in the market, forward foreign exchange transactions, currency options and currency future contracts, the three basic types of hedging instruments are examined. The different natures of the products and various possible combinations of these, enable hedgers to protect themselves from their company-specific exposures. With an analysis of advantages and disadvantages of hedging instruments, it also became evident that there can be no "general best choice". A comparison of hedging alternatives on a firm scenario with foreign currency exposure, and under a set of assumptions about the market conditions is handled in section five. The comparison of a simple instrument, a forward exchange contract is made with several currency option strategies. The different hedge alternatives illustrated several strengths and weaknesses depending on the risk faced by the firm. The results obtained under the existing assumptions showed that the optimum hedging decision is mostly determined by the firm's view of future exchange rates. In the last section, the condition in the turkish market is shown with reference to related regulations and limitations brought by the current economic structure. Approaches to accounting and taxation standards in developed markets are also shown to form a basis of comparison. The short survey illustrated that realization of full convertibility of turkish lira and new regulatory adjustments are basic needs for the development of turkish markets and for the integration with international markets.