使用外匯衍生性商品從事外匯避險之行為探討－以中華電信個案為例

Abstract

台灣的外匯交易中，使用外匯衍生性商品的比重逐年提升，然而歷史上，自1980年代起，美國衍生性商品市場即多次發生巨額虧損，沒想到在保守的台灣匯市，於2008年3月中華電信對外公佈因為操作一個名目本金10.4億美元，合約期間為10年的外匯衍生性商品，而產生高達40億新台幣的驚人匯損，因為這是台灣少有的外匯衍生性商品鉅損，故本研究以此個案出發，從中華電信選擇該外匯衍生性商品為避險工具開始探討、該避險交易對於中華電信的影響以及中華電信面對鉅額虧損後應該如何做事後處理，釐清外界質疑的不合理決策。最終希望從行為財務學的角度，去探討企業於應用衍生性金融商品規避外匯風險時所應有的態度，不論是簡單型衍生性商品或是更複雜之非標準型衍生性商品（奇異型衍生性商品），冀望企業避險人員能先建立正確的態度再去選擇適當的避險工具，企業經理人能檢視避險人員呈報的避險決策是否並未受到過多的心理因素影響，讓企業能更聰明更安心地使用外匯衍生性商品，進而免於外匯風險的侵襲。本研究之重要發現與結論如下： 1. 該避險交易對中華電信造成的現金流量影響為每期台幣數百萬元左右，然而該交易列入交易目的之金融資產與負債，公平價值的變動須認列於損益表上，故該交易對中華電信的營運影響不大，但對於每股盈餘造成嚴重的影響。 2. 以過度自信與盲目樂觀的理論解釋發現，降低避險成本的框架、公司財務政策風向的變化、中央銀行干預的代表性原則偏誤與後見之明的匯率預期，皆造成中華電信當時決策行為的偏差。 3. 因損益表上公平價值的決定是依照當下時間點的匯率、匯率波動度、台北兩國利差、執行價格及距離契約到期時間等因素去推估未來每期現金流量的折現值，而市場預期台幣匯率將逐漸回檔，故建議中華電信繼續維持合約，等到市場條件有利時再做適當處置。 4. 以中華電信的公司治理來看，除了因為財務部室對衍生性商品不熟悉，造成避險提案輕易核准外，中華電信董事會亦缺乏要求風險分析的評估。 5. 企業除了挑選最適合本身財務需要的避險商品外，建議交易前從「確保對交易有充分了解」、「確保避險為最終目的」、「全面性評估匯率走勢」三方面確保正確的避險商品使用心態，最後再輔以簽核會計師之意見。

The using ratio of foreign derivatives is getting higher by year in Taiwan foreign currency transactions. However, historically, since the mid-1980s there have been some spectacular losses in American derivative market. Surprisingly, of the conservative Taiwan currency market, Chunghwa Telecom Co. (CT) announced that it’s unrealized currency lost reached 4 billion NT dollars as a result of trading a 10-year, 1.4 billion notional amount foreign currency derivative. Because this mishap is hard to be seen in Taiwan currency market, our study will be illustrated by this case at first, from why Chunghwa Telecom Co. chose this financial instrument to hedge, what impact have been made on CT to what proper actions should be taken by CT in order to clear so many irrational decisions made by CT. Furthermore, this study aims to propose the proper attitude an enterprise should has from the view of Behavioral Finance when using foreign currency derivatives, standard or exotic derivatives, to hedge before choosing the most suitable derivatives. The main discoveries and arguments are as follows: 1. The hedging brings CT a lost around a few millions per period in cash flow. However, its Fair-value has to be listed on income statement because of its trading purpose. Thus, this hedging made a small impact on working capital but a sheer drop in EPS. 2. Explained by the theory of over confidence and blind optimism, the aberration in decision behavior of CT could result from the framework of hedging cost, the change of finance policy and enterprise environment, representativeness heuristic in the intervention of central bank of the republic of China, hindsight in the forecast of exchange rate. 3. Suggest CT continue this hedging contract until the opportune time. 4. From the view of corporate governance, unfamiliarity with derivatives and lack of risk analysis made this hedging proposal approved too easily. Thus, not only the hedger and manager but also the board should be responsible for the losses of investors. 5. Besides choosing the most suitable hedging instrument, enterprise is suggested to examine its attitude from 3 aspects: ensure you fully understand the trades you are doing, ensure a hedger does not become a speculator, and ensure you thoroughly forecast exchange rate. Finally, consult with your certifying certified public accountant.