WO2004025531A1 - Systeme de gestion de transaction de marchandises en monnaie etrangere - Google Patents

Systeme de gestion de transaction de marchandises en monnaie etrangere Download PDF

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Publication number
WO2004025531A1
WO2004025531A1 PCT/JP2003/011518 JP0311518W WO2004025531A1 WO 2004025531 A1 WO2004025531 A1 WO 2004025531A1 JP 0311518 W JP0311518 W JP 0311518W WO 2004025531 A1 WO2004025531 A1 WO 2004025531A1
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Prior art keywords
transaction
transaction information
transactions
foreign currency
information
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PCT/JP2003/011518
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English (en)
Japanese (ja)
Inventor
Takeshi Kasai
Tadashi Ishizawa
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Ufj Bank Limited
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Ufj Bank Limited filed Critical Ufj Bank Limited
Priority to AU2003262027A priority Critical patent/AU2003262027A1/en
Priority to JP2004522004A priority patent/JPWO2004025531A1/ja
Publication of WO2004025531A1 publication Critical patent/WO2004025531A1/fr

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Definitions

  • the present invention provides a foreign currency-denominated business transaction management system for managing foreign currency denominated transactions generated by import / export and hedging transactions such as foreign exchange contracts and currency options to avoid foreign exchange risks related to foreign currency denominated transactions.
  • the present invention relates to a commercial transaction management device and a method for managing foreign currency-denominated commercial transactions.
  • cross-border transactions such as imports and exports are often conducted in foreign currencies, and contracts, settlements and foreign exchange risks related to these foreign currency transactions are performed. Operations related to foreign exchange, such as the management of foreign exchange, are extremely complicated and complicated.
  • the business divisions carry out purchases and sales in line with their business plans, while executing individual transactions, including import and export transactions in foreign currencies.
  • the finance division while checking the transaction status of these business divisions, in order to avoid foreign exchange risks arising from transactions denominated in foreign currencies, hedge, foreign exchange, etc. In order to prevent losses due to fluctuations in market prices, it is common to conduct transactions.
  • inventions relating to a management system capable of efficiently associating foreign currency transactions and hedging transactions are disclosed (for example, Japanese Patent Application (See 2-4 175 0 gazette.)
  • the invention described in the above publication assigns an identification number to each foreign currency transaction (“commercial transaction” in the patent document), and corresponds to the corresponding foreign currency transaction in the hedging transaction (“foreign exchange transaction” in the patent document).
  • commercial transaction in the patent document
  • foreign exchange transaction in the patent document.
  • Fig. 2 shows an example of the relationship between changes in foreign currency transactions over time and hedging transactions.
  • Hedge transactions may be executed prior to foreign currency transactions, depending on exchange rate conditions. After that, it will take more time for the order to be finalized after negotiations, and for the specific details of the receivables and payables arising from the transaction, such as the timing of settlement and the amount of settlement, to be determined. If the terms and conditions of the receivables and payables are changed during this time, the terms of the hedge transaction and new hedging transactions will be carried out at the timing and amount when settlement in foreign currency is required. After these conditions are changed, when the settlement conditions for foreign currency transactions and the corresponding hedge transactions are finally determined, a process called “assignment” is performed to determine the correspondence between the two. Excluded from foreign exchange risk management.
  • the Sojji transaction is transferred to the hedge of another foreign currency transaction, which was originally matched. New hedging transactions may be conducted, but in such cases, leaving the initial correspondence will deviate from the actual situation.
  • a new correspondence process must be performed. As the number of transactions in foreign currencies increases and the number of associations increases, such processing becomes extremely complicated and complicated.
  • the foreign currency-denominated commercial transactions that have undergone allocation processing are excluded from management in terms of foreign exchange risk management because the correspondence relationship with hedging transactions is fixed and the exchange conditions are fixed. Since the relationship between association and allocation processing is not clear in, the status of hedging for each individual transaction can be confirmed, but for example, transactions before allocation processing can be selectively extracted by specific dates or business units To check the cash position by currency (the situation of excess or deficiency in the funds as a result of calculating the balance of funds) and to use it to manage exchange rate risks.
  • the present invention responds to such problems by selecting and managing transactions before allocation processing that requires exchange rate risk management, and changing conditions for transactions to be managed before allocation processing.
  • foreign currency denominated business transaction management systems foreign currency denominated business transaction management devices, and foreign currency denominated business transactions. It aims to provide a management method.
  • the present invention employs the following means in order to solve such a problem.
  • the present invention relates to a foreign currency transaction management system for managing a foreign currency transaction and a hedge transaction, wherein the foreign currency transaction and the hedge transaction are each: A transaction information storage unit for storing transaction information including information necessary for calculating a cash flow generated by the transaction; and a transaction corresponding to a specific condition from the transaction information storage unit, and A transaction information selection means for acquiring transaction information, a cash flow calculation means for calculating a cash flow generated by each transaction from the transaction information acquired by the transaction information selection means, and a cash flow calculation means for calculating And a cash position calculating means for calculating a future cash position by currency from the cash flow thus obtained.
  • transaction information that can calculate the cash flow (cashf 1 ow, fund balance) generated from each transaction, regardless of the type of transaction, whether it is a foreign currency transaction or a hedge transaction
  • cash flow cash flow
  • select transactions under arbitrary conditions regardless of the type of transaction and grasp the exchange risk from the cash flow status can do.
  • select specific conditions such as due date, period, business division, etc., extract relevant transactions, calculate the cash flow of the extracted transactions, and confirm the position of each currency by currency By doing so, it is possible to grasp the exchange rate risk under the specified conditions.
  • a foreign currency transaction refers to a business transaction such as an import / export transaction that is settled in a currency other than yen, such as the US dollar.
  • Hedging transactions include foreign exchange transactions such as foreign exchange contracts and currency options for hedging foreign exchange risks arising from foreign currency transactions.
  • Cash flow refers to the amount of funds deposited and withdrawn from the settlement of a transaction.
  • the transaction information includes, in addition to the settlement date and settlement amount required for calculating the cash flow, various information on the transaction content, such as the type of transaction and the counterparty.
  • the conditions specified here can be any conditions, such as all existing transactions, transaction types, and external transactions, in addition to the above-mentioned conditions such as the date and business division.
  • the transaction information for all transactions includes information for calculating cash flows, so that any combination can be compared based on cash flows. All cash flows can be determined by using time and amount as components, making it possible to compare and contrast various transactions based on these components, and enable multi-dimensional management of currency risk It becomes.
  • Foreign currencies may include multiple currencies, in which case the cash position is calculated for each currency. If the foreign currency cash position is in excess or shortage, there will be a corresponding foreign exchange risk.
  • the present invention includes a transaction information operating means for operating the transaction information stored in the transaction information storage means, wherein the transaction information operation means relates to the transaction relating to the transaction information stored in the transaction information storage means.
  • the transaction information operation means relates to the transaction relating to the transaction information stored in the transaction information storage means.
  • new transaction information including the changed transaction condition is stored in the transaction information storage means with information specifying the transaction before the change.
  • a transaction information operating means for operating the transaction information stored in the transaction information storing means wherein the transaction information operating means changes at least a part of the transaction conditions relating to the transaction information stored in the transaction information storing means. Then, in the transaction information relating to the transaction conditions before the change stored in the transaction information storage means, a change record indicating that the transaction conditions have been changed is recorded with a change date and recorded. Good.
  • the transaction information relating to the original transaction conditions will be excluded from subsequent management by recording the change, but the transaction information itself is stored and by recording the date of the change, It is possible to check the balance back to a specific date.
  • the transaction information relating to the new transaction conditions includes an identification number that identifies the original transaction information. You can also see the transition of Changes in transaction terms, such as trading price and delivery date This is not limited to the case where the terms and conditions specified in the sales contract are changed, but also includes, for example, cases where the contract entered into the prospective stage of the contract and the contract was finalized under different terms.
  • the present invention includes a transaction information operating means for operating the transaction information stored in the transaction information storage means, wherein the transaction information operation means operates on the transaction information stored in the transaction information storage means.
  • the transaction information storage means may store new transaction information relating to the transaction after the division with information specifying the transaction before the division.
  • the transaction information related to the transaction before the division stored in the information storage means may be characterized in that a division record indicating the division is recorded with a division date attached thereto.
  • one transaction may be divided for convenience in the system for internal management purposes.
  • a convenient division is referred to as a transaction division.
  • the transaction conditions for the conventional transaction information are preserved as they are, and the transaction information for all newly created transactions after the division is separately recorded.
  • the transaction information related to the original transaction conditions is excluded from subsequent management by being recorded as a division, but the transaction information itself is stored and the date of the division must be recorded together Thus, it is possible to check the balance back to a specific date.
  • the transaction information relating to the new transaction records an identification number etc. that identifies the original transaction information. Changes in conditions can also be checked.
  • the transaction information stored in the transaction information storage unit is stored in the transaction information storage unit.
  • the new transaction information after the change of the transaction conditions or the split of the previous transaction will include information identifying the first transaction before all the transaction conditions are changed and all transactions are split. It can also be characterized.
  • the transaction information newly recorded by the change or division records the identification number etc. that identifies the transaction information before or after the change, so that the transaction can be traced back, It is possible to check the balance.
  • an identification number or the like that identifies the transaction information entered at the beginning before any changes or divisions are made is attached, so that the transaction starting point and the initial transaction conditions can be easily confirmed. Can be done.
  • the transaction information stored in the transaction information storage unit is stored in the transaction information storage unit.
  • the new transaction information after the change of the transaction conditions or the split of the previous term transaction may be characterized by adding information identifying the most recent transaction excluding the transaction split.
  • the transaction split is for internal management purposes and does not involve external commitments as in normal transactions or changes in transaction terms.
  • the transaction split by recording the transactions with the most recent external commitments, excluding transaction splits, it is possible to identify externally valid transactions, for example, in the management of contracts with banks in hedging transactions. Can be easily extracted and managed.
  • the hedging transaction corresponding to the foreign currency transaction is changed to one transaction to one transaction, one transaction to multiple transactions, multiple transactions to one transaction or multiple transactions to multiple transactions.
  • Allocation processing means for performing allocation processing for determining the correspondence between the foreign currency transaction and the hedging transaction by making correspondence in any one of the above-mentioned methods.
  • the allocation information is recorded in the transaction information on the foreign currency transaction and the hedging transaction in which the transaction is performed. You can also.
  • the transaction information selecting means may select a transaction in which the allocation is not recorded, among transactions that satisfy the condition.
  • allocation processing is performed for foreign currency transactions and hedging transactions whose settlement conditions have been determined, and the allocated transactions are recorded for the transactions that have been allocated. Can be excluded from the management target.
  • the purpose of the allocation process is to exclude the transaction from being managed.Therefore, it is not always necessary to make one-to-one correspondence between foreign currency transactions and hedging transactions. Is also good. In a company that conducts foreign currency transactions, it is usually more efficient to collectively assign multiple transactions because multiple transactions are performed in parallel.
  • the allocation process means that when converting a foreign currency transaction into yen, the corresponding hedge transaction is linked and the settlement rate is fixed, the correspondence between the foreign currency transaction and the hedge transaction and the yen conversion Refers to the process of determining the amount.
  • allocation processing is performed before and after settlement when the yen-converted amount is finalized. Therefore, if the cash flow is calculated afterwards for the purpose of managing foreign exchange risk, transactions that have undergone allocation processing are excluded from the calculation of cash flows even if they are transactions before settlement. Transactions for which allocation processing has been performed in this way are already excluded from the management of foreign exchange risks because the yen conversion amount has already been finalized, and therefore, even if the above conditions are met, they will not be included in the calculation of the cash position. Excluded.
  • the present invention relates to a foreign currency transaction management system having functions corresponding to the foreign currency transaction management system according to each configuration of the present invention, and management of foreign currency transaction using the respective systems. It can also be configured as a method.
  • FIG. 1 is a block diagram showing the configuration of a foreign currency transaction management system according to the present invention.
  • Fig. 2 shows an example of the relationship between changes in foreign currency transactions over time and hedging transactions.
  • FIG. 3 is a diagram showing an example of a transaction data base according to the present invention.
  • FIG. 4 is an example of a case where the transaction recorded in the transaction database is changed and divided by the foreign currency transaction management system according to the present invention.
  • FIG. 5 is a flowchart for calculating a cash flow by extracting a foreign currency denominated commercial transaction and a hedge transaction by the foreign currency denominated commercial transaction management system according to the present invention.
  • FIG. 6 is a first example of calculating a cash flow on a specific date by the foreign currency transaction management system according to the present invention.
  • FIG. 7 is a second example of calculating a cash flow on a specific date by the foreign currency transaction management system according to the present invention.
  • FIG. 8 is a first example of calculating a cash flow in a specific period by the foreign currency transaction management system according to the present invention.
  • FIG. 9 is a second example of calculating a cash flow in a specific period by the foreign currency transaction management system according to the present invention.
  • FIG. 10 is a third example in which a cash flow for a specific period is calculated by the foreign currency transaction management system according to the present invention.
  • FIG. 11 shows an example of a case where a foreign currency-denominated commercial transaction is changed and a foreign exchange risk is analyzed from a cash flow to add a hedging transaction due to a change in a foreign currency-denominated commercial transaction according to the present invention.
  • Fig. 12 is a diagram showing the case where the underlying receivables and payables and the hedging transactions related to foreign currency-denominated business transactions are allocated on a case-by-case basis.
  • Fig. 13 is a diagram showing the case where the underlying receivables and payables and the hedging transactions related to foreign currency transactions are allotted on a multiple-for-one basis.
  • Fig. 14 is a diagram showing the case where the underlying receivables and payables and hedge transactions related to foreign currency denominated transactions are allotted one-on-one basis.
  • Fig. 15 is a diagram showing the case where the underlying receivables and payables and the hedging transactions (including spot settlement) related to the foreign currency denominated commercial transactions are allocated on a case-by-case basis.
  • Figure 16 is a diagram showing the case in which the underlying receivables and payables and the hedging transactions related to foreign currency-denominated commercial transactions are allocated on a multiple-to-multiple basis.
  • Fig. 17 is a diagram showing the case where the underlying receivables and payables related to foreign currency transactions and the hedging transactions (including spot settlement) are allocated on a multiple-to-multiple basis.
  • FIG. 18 is a diagram showing an outline of a foreign currency transaction management system according to the present invention. ⁇ ⁇ ⁇ ⁇
  • FIG. 18 is a diagram showing an outline of a foreign currency transaction management system according to the present invention. ⁇ ⁇ ⁇ ⁇
  • FIG. 18 shows an outline of a foreign currency transaction management system according to the present invention.
  • the foreign-currency-based commercial transaction management system 100 according to the present invention stores transaction information such as foreign-currency-based business transactions related to import / export and hedge transactions performed to reduce the exchange risk of the instruments used in these transactions.
  • the transaction data base 120 to be stored and the processing device 110 configured to calculate cash flows and fund positions from these transaction information are processed by the input / output device 200 such as a personal computer.
  • the calculation result of the cash flow and the fund position calculated by the processing device 110 is possible, and is displayed on the display of the input / output device 200.
  • the calculation result may be printed out from an output device 210 dedicated to output such as printing.
  • the input / output device 200 may be configured to be connected to the foreign currency transaction management system 100 through a communication network such as Internet.
  • the processing unit 110 of the foreign currency transaction management system 100 is connected to external systems such as the business processing system 300, the accounting system 400, and the bank system 500, and necessary data is transmitted from these systems. It can also be configured to acquire.
  • FIG. 1 shows a more detailed configuration of the foreign currency transaction management system according to the present invention.
  • the processing device 110 includes a CPU 111, a RAM 112, a ROM 113, and an HDD 114.
  • the processing device 110 starts up various basic programs for hardware control such as input control and output control stored in the ROM 113 for a series of application programs stored in the HDD 11. Then, the CPU 111 performs arithmetic processing while the RAMI 12 functions as a work area of the application program.
  • HDD 1 14 has the necessary transactions It stores application programs for selecting information, calculating cash flows from transaction information, and calculating cash positions from cash flows.
  • the transaction database 120 has tables of a transaction information table 121, an export transaction table 122, an import transaction table 123 and a hedge transaction table 124.
  • information on all foreign currency denominated commercial transactions and hedging transactions to be managed is stored in the transaction database 120.
  • the method of storing the information in the transaction data base 120 may be that individual information may be input from the terminal device 200 via the processing device 110, the business processing system 300, and the accounting processing system 400. And an external system such as a bank system 500 via the processing device 110.
  • Transaction data pace 120 includes information related to foreign currency denominated commercial transactions and hedging transactions, as well as information related to cash flows required to manage foreign exchange risks, such as purchase settlement in yen and denomination in yen. Includes information on borrowing. This information includes information that can be used to calculate the resulting cash flows for all transactions.
  • the transaction information table 1221 On a transaction data basis 120, in the transaction information table 1221, a record is set for each transaction in principle for all transactions, regardless of the type of transaction, and each record has a cash record. Stores transaction information including information from which a flow can be calculated.
  • the transaction information related to all transactions stored in this table contains the information necessary to calculate the cash flow, and any combination of transactions is selected and compared based on the cash flow.
  • the information required to calculate the cash flow includes, for example, the expected date of transfer of funds, transaction amount, and currency type.
  • the transaction information table 1 2 1 stores items common to all transactions, such as information necessary for calculating the cash flow, whereas detailed information such as transaction conditions specific to each transaction type is It is stored in a table for each transaction information such as the export transaction table 1 2 2, the import transaction table 1 2 3, the page transaction table 1 2 4, and the transaction information table 1 2 1 using a unique identification number for each transaction Associated with this record.
  • tables corresponding to the transaction types may be provided, and detailed information specific to each transaction type may be recorded.
  • the user can use the input / output device 200 to determine the exchange risk in order to obtain the necessary information to manage the exchange risk. Enter conditions such as, period, and business unit.
  • the processor 110 receives the data concerning the input conditions, the hardware control program stored in the ROM 113 is started, and the RAM 111 is used as a working area and the HDD 111 is used as a working area.
  • a program for selecting necessary transaction information stored in the transaction database is read out, and the CPU 111 performs arithmetic processing using the transaction information on the relevant transaction acquired from the transaction database 120.
  • This transaction information includes information that can calculate the cash flow, reads the cash flow calculation program stored in the HDD 114, and calculates the cash flow by the CPU 111. Processing is performed.
  • the cash flow is output for each currency type, creates data for displaying the calculation result, and sends it to the input / output device 200 or the output device 210.
  • the cash position for each currency may be calculated from the result, and information on the cash position may be displayed.
  • the program for calculating the fund position is also stored in the HDD 114, which is read out and the CPU 111 calculates the fund position using the RAM 112 as a working area.
  • a fixed exchange rate may be temporarily set when calculating the cash flow, so that the fund position under a certain condition can be simulated.
  • the temporary exchange rate may be configured to be input from the input / output device 200, or may be configured to acquire the exchange rate of the future from an external database that records market information.
  • the hedge transaction includes a transaction in which the conditions for exercising a currency option or the like are specified, it may be necessary to temporarily place the exchange rate in order to calculate the cash flow and mesh flow.
  • a configuration may be adopted in which a constant exchange rate is applied.
  • FIG. 3 shows an example of a transaction information table 122 of a transaction database 120 according to the present invention.
  • this table regardless of the type of transaction, all transactions including foreign currency transactions and hedging transactions are provided with records that store information on each transaction on the same table. .
  • foreign currency transactions can be considered as future or past foreign currency cash flows, and hedging transactions are considered as future or past foreign currency cash flows and yen-based cash flows or second currency foreign currency-based cash flows. Since all transactions can be regarded as cash flow transactions, it is possible to manage information consistent with cash flow calculation as a common term and to manage them consistently regardless of the type of transaction. Become.
  • a transaction ID that identifies the transaction is determined for every transaction including foreign currency transactions and hedge transactions, and each transaction type is identified as an export transaction, hedging transaction, etc.
  • the transaction type ID is recorded.
  • the transaction information table 122 stores mainly the basic information for calculating the cash flow, which is common to all transactions, but information unique to each transaction type that is not stored in this table is stored in a different table. Transactions in the transaction information table 1 2 1 and transactions in the table that records unique information can be related using the transaction ID as a key. Records provided for each transaction include fields such as transaction date, currency, transaction amount by currency, and exchange rate as information necessary for calculating cash flow. When currency and specific dates are specified to determine currency risk, search the corresponding fields to identify the corresponding transaction, calculate cash flow and capital position, and determine currency risk Provide information to help
  • a record provided for each transaction records the ID for identifying the original transaction information and the immediately preceding transaction information in the event that the conditions are changed or the transaction is split Fields can be provided.
  • changes or splits Transactions that have been changed or split are recorded as ⁇ Termi nation on Date '', thereby excluding them from ordinary foreign exchange risk If you want to perform a reconciliation or follow-up, you can use this information to set up the system to select valid transactions on a specific date.
  • the same allocation ID is assigned to the foreign currency denominated commercial transaction and the hedge transaction that has been allocated in accordance with the transaction, and a field for recording the allocation ID is assigned.
  • FIG. 4 shows an example of a case where information on a transaction stored in the transaction database 120 is changed and divided by the foreign currency transaction management system according to the present invention.
  • fields for currency, conversion rate, and the like are omitted for the sake of clarity of processing accompanying the change or division.
  • the “Transaction ID” field is an ID assigned to identify a transaction when information on a new transaction is recorded.
  • the “Initial ID” records the ID attached to the first recorded transaction condition before the transaction is changed or split, and the “Last ID” records the most recently changed transaction. Alternatively, the ID attached to the record relating to the transaction conditions of the transaction that originated the split is recorded.
  • the “Last Bank Transaction ID” the ID attached to the record concerning the transaction conditions of the most recently executed transaction with the bank, including changes in conditions, etc., is recorded. It will be possible to identify the contract number with the bank from the transaction. Note that “1” recorded in the “Reason for change” field indicates a transaction split and “2” indicates a change in the transaction.
  • the fields of “Initial ID” and “Previous ID” have ID “1” that identifies the original transaction, and the previous transaction is identified. ID "10” is recorded. From these records, it is possible to determine whether or not the information should be included in the target even if a survey of the balance or transaction history that goes back in the past is performed.
  • the fields of “Initial ID” and “Previous ID” have ID “1” identifying the original transaction and ID “30” identifying the previous transaction, respectively. Has been recorded. Based on these records, it is possible to determine whether or not the information should be included in the target, as in the case described above, even when an investigation of the balance or transaction history that goes back in the past is performed.
  • the transaction associated with transaction ID “500” is further divided into amounts 200 and 300 for internal management purposes, the transaction associated with transaction ID “600” and “61” will be Is recorded as "50" in the "Last Banking Transaction ID” field.
  • the field of “last bank transaction ID” it is possible to clarify the effective hedging transaction with the bank, and to determine whether the transaction was split after execution with the bank. Regardless, it is possible to directly extract the valid banking transactions at that time and easily create a list of trade management with the bank.
  • the user of the foreign currency transaction management system specifies a range for which he / she wants to know the exchange risk, such as a date and a period, and specifies conditions for the relevant transaction (S01).
  • the transaction information on the transaction corresponding to the specified condition is obtained from the transaction data table at a time (S02), and it is determined whether or not each transaction has been changed or split to record the exclusion. Confirm (SO 3).
  • Transactions that have already been assigned are not subject to foreign exchange risk management because the exchange rates for foreign currency transactions that are subject to the transaction have already been determined and are not subject to foreign exchange risk management. No transaction information is acquired (S06). On the other hand, for transactions for which transactions have not been allocated, transaction information including information for calculating cash flows is acquired from the transaction data base as transactions subject to foreign exchange risk management ( S07).
  • the cash flow it may be necessary to set a constant exchange rate, for example, in order to set whether or not to exercise options for currency options and other conditions.
  • a constant exchange rate for example, in order to set whether or not to exercise options for currency options and other conditions.
  • the cash flow is calculated using the received conversion condition, and if no exchange rate is required, the cash flow is calculated as it is (S10).
  • the calculated cash flow is displayed on the user terminal together with the transaction information (S11).
  • the fund position for each currency may be calculated and also displayed on the user terminal.
  • FIGS. 6 to 11 An example of calculating a cash position from a cash flow and managing currency exchange risks will be described with reference to FIGS. 6 to 11. Note that these examples are examples of using the foreign currency-based transaction management system according to the present invention, and the method of calculating the cash position and managing the foreign exchange risk is not limited to these examples.
  • Figure 6 shows the result of calculating the cash position from the cash flow, subject to the transaction on October 1, 2010.
  • October 1 there was a deposit of $ 1,000, but a forward exchange contract of ⁇ 1,500 was made for yen purchases.
  • the dollar is in shortfall of $ 500, and as of October 1, it is necessary to raise $ 500 at the spot rate, which is the exchange rate risk. I understand that there is.
  • Figure 7 shows the results of calculating the cash position from cash flow under the same conditions as above, subject to the transaction on October 1, with respect to Business Unit A.
  • the hedging transaction assigned to Division A by the above-mentioned split is clear, so the dollar fund position for Division A is zero, and the currency risk is completely reduced. You can see that there is.
  • Figure 8 shows the results of calculating the cash position from the cash flow under the above-mentioned conditions, setting the terms and conditions for the transaction and period for Business Unit A for the October term.
  • the dollar's cash position remains at zero and exchange risks are completely reduced. You can see that there is. Also, the cash position of the yen
  • the figure is a positive figure of ⁇ 200,000, and it can be seen from the fund balance that a profit of ⁇ 200,000 is expected in October.
  • Fig. 9 shows the results of calculating the cash position from Kya and Sössflo under the conditions illustrated in Fig. 7 by setting the terms and conditions for the transaction and period for Business Unit A on the 10th month.
  • Transaction 120 is a payment of $ 250, so you must raise $ 250 at the spot rate on October 10th, which is a currency risk.
  • Figure 10 shows that, under the situation illustrated in Figure 8, if the amount of export receivables related to Transaction 100 is $ 900 due to changes in transaction conditions, It shows the results of calculating the cash position from the cash flow by setting the conditions for the transaction and the period.
  • a $ 100 exchange contract was made to sell the yen in transaction 140, resulting in a zero dollar cash position and a currency exchange. Risks are reduced.
  • FIG. 11 shows the history of the hedge transaction 140 performed in FIG. First, due to the change in the export price, the trading position of Division A on the 1st of October will result in a negative $ 100 cash position in US dollars. I'm here In order to raise $ 100 USD as of October 1, it is desirable to make forward contracts for yen sales and dollar purchases. Here, $ 100 dollars are bought at the exchange rate of ⁇ 122, and the exchange rate is fixed and the foreign exchange risk is reduced.
  • the conditions for foreign currency transactions are changed, and the conditions for hedging transactions and the correspondence with foreign currency transactions are revised accordingly.
  • the correspondence between foreign currency transactions and hedging transactions is not fixed, and the exchange risk is calculated by calculating the required date, period, and cash flow for the business units as in these examples.
  • the exchange risk is calculated by calculating the required date, period, and cash flow for the business units as in these examples.
  • allocation processing will be performed to link the corresponding hedge transaction and determine the yen-converted amount. Transactions for which allocation processing has been performed will be extracted as transactions for which the yen-converted amount has already been finalized and are no longer subject to foreign exchange risk management, even if a condition search as shown in Fig. 6 etc. is performed thereafter. It will not be done.
  • Figures 12 to 16 show the pattern of the relationship between the underlying receivables and payables in foreign currency transactions and the hedge transactions in the above allocation process.
  • the underlying loan and hedging transactions in foreign currency transactions and hedging transactions are allocated on a case-by-case basis (Fig. 12).
  • Fig. 12 case-by-case basis
  • Figure 13 multiple-for-one basis
  • Figure 14 See Figure 14.
  • the partner becomes the partner when performing allocation.
  • the allocation ID that specifies the transaction group that has performed the allocation is used.
  • the present invention when conditions to be managed are specified, it is possible to select a transaction before allocation processing that requires the management of foreign exchange risk and manage the foreign exchange risk from a fund position by currency. .
  • As conditions in addition to specific dates and deadlines, it is also possible to specify the transaction type, business unit, etc., so that users can use the same database and use various exchanges according to management purposes from various viewpoints. Risk management can be performed.

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  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

La présente invention concerne un système de gestion de transaction de marchandises en monnaie étrangère permettant de sélectionner et de gérer une transaction avant affectation nécessitant une gestion du risque de change, de maîtriser de manière flexible la modification des conditions relatives à la transaction à gérer avant affectation, et la gestion des séries chronologiques telles que le contrôle du solde à un moment particulier dans le passé. Sans distinction du type de transaction telle que la transaction en monnaie étrangère et la transaction de couverture, le système stocke des informations de transaction générées par l'ensemble des transactions sur lesquelles un flux de trésorerie peut être calculé dans une base de données de transaction et gère les informations de transaction par utilisation du flux de trésorerie en tant que plus petit dénominateur commun de l'ensemble des transactions. Lorsqu'une condition arbitraire telle qu'une date particulière d'évaluation du risque d'échange est spécifiée, quel que soit le type de transaction, les informations de transaction requises pour la condition sont sélectionnées, un flux de trésorerie est calculé et la situation du compte capital dans la condition spécifiée est calculée de manière à évaluer le risque d'échange.
PCT/JP2003/011518 2002-09-11 2003-09-09 Systeme de gestion de transaction de marchandises en monnaie etrangere WO2004025531A1 (fr)

Priority Applications (2)

Application Number Priority Date Filing Date Title
AU2003262027A AU2003262027A1 (en) 2002-09-11 2003-09-09 System for managing commodity transaction in foreign currency
JP2004522004A JPWO2004025531A1 (ja) 2002-09-11 2003-09-09 外貨建商取引管理システム、外貨建商取引管理装置及び外貨建商取引の管理方法

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
JP2002-264999 2002-09-11
JP2002264999 2002-09-11

Publications (1)

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WO2004025531A1 true WO2004025531A1 (fr) 2004-03-25

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Country Status (4)

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JP (1) JPWO2004025531A1 (fr)
AU (1) AU2003262027A1 (fr)
TW (1) TW200413987A (fr)
WO (1) WO2004025531A1 (fr)

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* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
JP2009533730A (ja) * 2006-04-07 2009-09-17 ブルームバーグ・ファイナンス・エル・ピー 外貨管理を容易にするシステムおよび方法
US20220029814A1 (en) * 2021-06-02 2022-01-27 Fujitsu Limited Non-transitory computer-readable storage medium, information processing method, and information processing apparatus
JP2022526688A (ja) * 2019-03-18 2022-05-25 ヒュコア カンパニー リミテッド 財務リスク管理システム

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WO2001079963A2 (fr) * 2000-04-14 2001-10-25 E-Vantage International, Inc. Procede et systeme permettant d'apporter des solutions avisees de gestion des risques sur les placement en devises etrangeres pour un marche donne
JP2002041750A (ja) * 2000-07-27 2002-02-08 Toray Ind Inc 事業管理システムおよび方法
WO2002056130A2 (fr) * 2000-11-24 2002-07-18 Principia Partners Llc Systeme comptable pour l'etat dynamique du rapport de portefeuille

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WO2001079963A2 (fr) * 2000-04-14 2001-10-25 E-Vantage International, Inc. Procede et systeme permettant d'apporter des solutions avisees de gestion des risques sur les placement en devises etrangeres pour un marche donne
JP2002041750A (ja) * 2000-07-27 2002-02-08 Toray Ind Inc 事業管理システムおよび方法
WO2002056130A2 (fr) * 2000-11-24 2002-07-18 Principia Partners Llc Systeme comptable pour l'etat dynamique du rapport de portefeuille

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"Product brief page of banc ware convergence", BANCWARE, 6 October 1999 (1999-10-06), XP002976521, Retrieved from the Internet <URL:http://www.bancware.com/converge.htm> *

Cited By (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
JP2009533730A (ja) * 2006-04-07 2009-09-17 ブルームバーグ・ファイナンス・エル・ピー 外貨管理を容易にするシステムおよび方法
JP2022526688A (ja) * 2019-03-18 2022-05-25 ヒュコア カンパニー リミテッド 財務リスク管理システム
JP7217383B2 (ja) 2019-03-18 2023-02-02 ヒュコア カンパニー リミテッド 財務リスク管理システム
US20220029814A1 (en) * 2021-06-02 2022-01-27 Fujitsu Limited Non-transitory computer-readable storage medium, information processing method, and information processing apparatus

Also Published As

Publication number Publication date
AU2003262027A1 (en) 2004-04-30
TW200413987A (en) 2004-08-01
JPWO2004025531A1 (ja) 2006-01-12

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