WO2004025531A1 - System for managing commodity transaction in foreign currency - Google Patents

Abstract

There is provided a system for managing commodity transaction in foreign currency capable of selecting and managing a transaction before appropriation requiring management of exchange risk, flexibly coping with the condition modification about the transaction to be managed before appropriation, and time-series management such as balance check at a particular time point in the past. Without distinction of the transaction type such as the in-foreign-currency transaction and hedge transaction, the system stores transaction information generated from all the transactions on which a cash flow can be calculated in a transaction database and manages the transaction information by using the cash flow as the least common denominator of all the transactions. When an arbitrary condition such as a particular date to grasp the exchange risk is specified, whatever the transaction type may be, transaction information required for the condition is selected, a cash flow is calculated, and the capital position under the specified condition is calculated so as to grasp the exchange risk.

Description

 Specification

Foreign currency transaction management system

Life »

 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. In business companies that conduct corporate activities globally, 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.

 Specifically, in general, 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. On the other hand, in 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.

These foreign currency transactions and hedging transactions are not necessarily performed on a one-to-one basis, and multiple hedge transactions are combined for a single foreign currency transaction while observing the trends in the exchange rate. In some cases, hedging transactions are conducted at a time when the exchange rate is deemed to be favorable, and multiple foreign currency transactions are covered. When the relationship between foreign currency transactions and hedging transactions becomes complicated, it is necessary to accurately grasp the situation of foreign exchange risk by accurately correlating them. However, business transactions in foreign currencies are generally managed using a business management computer system to streamline business processing and a financial accounting combination system to manage profits. On the other hand, hedge transactions are unique transactions limited to financial institutions and are often managed independently using exchange-related computer systems. The required data from these different systems Extracting an overnight is complicated and complicated, and makes it difficult for operating companies to manage foreign exchange risk.

 In response to such common problems of operating companies, 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.)

Evolution of the hu

 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). By specifying the identification number of the commercial transaction, the hedge transaction is linked to the foreign currency transaction, and the situation of the excess or shortage of the hedging transaction with the foreign currency transaction is grasped. Some challenges will arise.

 The problem with the correspondence between foreign currency transactions and hedge transactions is that the terms and conditions of receivables and payables arising from foreign currency transactions usually change over time, and the corresponding relationship with hedging transactions accordingly. That means we have to reconsider.

 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.

In the invention described in the above publication, since the transaction between foreign currency transactions and the hedging bow ί is performed at the stage before the allocation process is performed, the above-mentioned condition change and the hedge transaction are performed. After repeated changes and additions, it is possible that the initially matched hedging transaction may not always be a suitable hedging transaction.

 For example, if the delivery of a product related to a foreign currency transaction is delayed and the settlement date is later than expected, 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. On the other hand, if the correspondence is to be reviewed according to 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.

 Further, in the invention described in the above-mentioned publication, when a transaction condition is changed, the corresponding data in the data file is corrected, but the data before the change is updated and overwritten. Then, if it is desired to go back to a certain point in the past to check the balance or grasp the transition, it is not possible to reproduce the state at a specific point in the past, and it is not suitable for chronological management. There is.

 In addition, 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. Of 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.

 According to the present invention, 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 By storing transaction information and using cash flow as a common item for all transactions to organize transaction information, select transactions under arbitrary conditions regardless of the type of transaction and grasp the exchange risk from the cash flow status can do. In order to ascertain foreign exchange risk, 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.

Here, 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. Cash position and Is the excess or deficiency of funds as a result of calculating the balance of funds, and is calculated for each of yen and foreign currency. 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.

 Further, 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. When at least a part of the condition is changed, new transaction information including the changed transaction condition is stored in the transaction information storage means with information specifying the transaction before the change. You can also. 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.

 In order to operate the transaction information, in addition to inputting the transaction information, changing the transaction information according to the change of the transaction conditions, dividing the transaction for internal management purposes, and This includes cases in which each is set in accordance with the transaction conditions after the split. As described in the “Solutions” section, the terms and conditions of foreign currency transactions may change from the initial schedule over time, and the terms and conditions of hedging transactions may change accordingly. In this configuration, when recording these changes in the transaction conditions, the transaction information relating to the new transaction conditions is separately written instead of overwriting the new transaction conditions with the existing transaction information.

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. In addition to storing the original transaction information, 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.

 Further, 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. When the transaction is divided, 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. A transaction information operating means for operating the transaction information stored in the transaction information storage means, wherein the transaction information operation means divides the transaction related to the transaction information stored in the transaction information storage means, 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. For example, if you want to allocate a single hedge transaction performed by the finance department to each business department in order to manage operations by internal business departments, mainly to link foreign currency-denominated commercial transactions and hedge transactions during allocation processing In some cases, such as when one transaction is to be viewed as a unit corresponding to a counterpart transaction, one transaction may be divided for convenience in the system for internal management purposes. Here, such a convenient division is referred to as a transaction division. In this configuration, when recording the division of these transactions, 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. Written.

 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. In addition to storing the original transaction information, 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.

Since both the change record and the division record are recorded for the purpose of excluding transactions for which these records are currently not present and being excluded from management, the change or division record is used. Differences are not necessarily recorded to be apparent Good.

 Further, according to the present invention, when a transaction related to the transaction information stored in the transaction information storage unit is changed in a transaction condition or the transaction is divided a plurality of times, 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. In this configuration, 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.

 Further, according to the present invention, when a transaction related to the transaction information stored in the transaction information storage unit is changed in a transaction condition or the transaction is divided a plurality of times, 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.

 As noted above, the transaction split is for internal management purposes and does not involve external commitments as in normal transactions or changes in transaction terms. In this configuration, 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.

Further, according to the present invention, when the settlement condition relating to the foreign currency transaction is determined, 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.

 In this configuration, 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. In this way, 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. Here, 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.

 Generally, 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.

 Simple theory

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.昍 昍 荬 暴 Hereinafter, preferred embodiments for carrying out the present invention will be described in detail with reference to the drawings.

 Regarding the relationship between changes in foreign currency transactions over time and hedging transactions shown in Fig. 2, as explained as the problem to be solved by the present invention, the transaction conditions for foreign currency Changes are made during the ordering phase, and the hedge transactions may change accordingly. The foreign currency denominated commercial transaction management system according to the present invention is characterized in that it can flexibly respond to these changes. 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.

On the other hand, 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.

 In the present invention, 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. Usually, companies manage information on commercial transactions in the business system, information on the settlement of commercial transactions and hedge transactions in the accounting system, and information on the settlement of hedging transactions in the banking system. With such a configuration, the burden of input is reduced and the efficiency is improved.

 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.

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. As a result, it is possible to manage exchange risks from multiple perspectives by selecting transactions from various perspectives, such as period and business division, and grasping exchange risks. 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. In addition to these examples, tables corresponding to the transaction types may be provided, and detailed information specific to each transaction type may be recorded.

 Once the necessary information is stored in the transaction database 120, 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. When 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.

Regarding the cash flow calculation result, 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. In addition, 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. In addition, even if 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. In this case, as in the above case, 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. In 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. .

 In this 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.

 In the record shown in the example in Fig. 3, 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

In addition, 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. In addition, 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.

 Furthermore, for transactions that have been allocated, 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. By allocating, it is possible to exclude transactions to which the allocation ID is assigned from the target of normal exchange risk management, and to confirm the correspondence of allocation even after allocation processing.

 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. In this example, fields for currency, conversion rate, and the like are omitted for the sake of clarity of processing accompanying the change or division.

 In FIG. 4, 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. In 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.

First, the necessary information is registered on June 25 for the transaction with transaction ID “1” and amount of 1,000. On July 10, the transaction was split into amounts 700 and 300, each with an ID of "10" or "1 1". Here, the record of ID “1”, which is the original transaction, is not deleted, and the date of division is recorded in the field of “Termination Date”. In addition, records related to IDs “1 0” and “1 1” have “Initial ID” and “Previous ID” fields. It records the transaction ID "1".

 “Transactions that record“ Termination D at ej ”are excluded from normal exchange risk management. However, if you want to look at balances as far back as June 30, for example, The transaction corresponding to the record with the transaction ID “1” recorded in the “Initial ID” and “Previous ID” fields while the information on the transaction ID “1” is reflected after reading the Excluded from tally values. Next, on July 15th, the transaction with ID “10” and amount 700 was divided into amounts 500 and 200, and the newly established records were assigned ID “30” and “30” respectively. 3 1 ”is awarded. In the record for ID “10”, July 15 is recorded in “Terminal: ion Data”, and it is excluded from the normal foreign exchange risk management as described above.

 For the records with ID “30” and “3 1”, 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.

 Next, on July 20, the due date of the transaction with the ID “30” was changed from October 10 to September 10 and the newly created record had the ID “ 50 ”. Here, the record relating to ID “30”, which is the immediately preceding transaction, is not deleted, and July 20 is recorded as the date of the change in the field of “Termina a7 i0nDate”. As a result, as described above, while being excluded from the subject of normal foreign exchange risk management, it becomes possible to investigate historical balances and transaction histories, etc.

 In addition, in the record with ID “50”, 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.

Transactions related to transaction IDs “1 0” “1 1” “30” “3 1” While this was a split for internal control purposes, the transaction with transaction ID “50” here involves a substantial change in the terms and conditions of the transaction, such as a change in the due date. If this transaction is a hedge transaction with a bank, the transaction with transaction ID `` 50 '' will be recognized as a new bank transaction because a new contract change will be made with respect to the modification of the terms with the bank. Will be done.

 Therefore, if 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. In this way, by providing 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.

 Next, with reference to FIG. 5, a flow of extracting a foreign currency denominated commercial transaction and a hedge transaction and calculating a cash flow by the foreign currency denominated commercial transaction management system according to the present invention will be described. Note that this flow is an example of a mode using the foreign currency denominated commercial transaction management system according to the present invention, and the flow of cache flow calculation is not limited to this example.

 First, the user of the foreign currency transaction management system according to the present invention 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 been excluded from the record, such as recording the date of change or split, will be reflected in the transaction information after the new change or split. No (S04). On the other hand, for transactions for which no exclusions have been recorded, it is confirmed that the transactions are valid at the present time, and then whether or not each transaction has been allocated is recorded (S 05).

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).

 In order to calculate 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. Thus, it is determined whether or not the transaction requires an exchange rate (S08), and if necessary, conversion conditions are received from a user terminal or the like and set (S09). In this case, 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). Here, the fund position for each currency may be calculated and also displayed on the user terminal.

 Next, 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. In this case, as of October 1, there was a deposit of $ 1,000, but a forward exchange contract of ¥ 1,500 was made for yen purchases. As a result, 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.

However, the export receivable of transaction 100 was generated by the business of Division A, and the forward exchange contract for $ 1,500 was awarded by the foreign exchange for the two businesses, Division A and Division B. Assume that this is a hedging transaction conducted to hedge risk. In this case, as shown in the lower diagram of Fig. 6, if transaction 110 is divided into transaction 1 1 1 and transaction 1 1 2 for internal management purposes, currency risk is completely hedged for division A. Will be.

 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. Here, 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. Here, since all trade payables corresponding to exports in transaction 100 are settled in yen, 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. However, unlike Fig. 8, some of the trade payables are denominated in foreign currencies. 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. Here, in order to hedge the foreign exchange risk created in response to the decrease in export receivables, 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.

 As a result of such a hedging transaction 140, as shown in Figure 10, the currency risk of Business Unit A during October was also hedged. This means that the surplus of the 12,200 yen fund balance has been reduced compared to the case of. This change resulted from the reduction in export receivables and the effect of fluctuations in foreign exchange forward exchange rates between hedge transactions 1 1 1 and hedge transactions 140 (excluding trading spreads). is there.

 As in the examples shown in Figures 6 to 11, the conditions for foreign currency transactions are changed, and the conditions for hedging transactions and the correspondence with foreign currency transactions are revised accordingly. During the period, 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. However, if necessary changes or additions to the hedging transactions are made at any time, there is no need to link and manage the two from the initial stage, and flexible management becomes possible.

 If the conditions of the foreign currency transaction are determined after continuing such management, 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.

In principle, the underlying loan and hedging transactions in foreign currency transactions and hedging transactions are allocated on a case-by-case basis (Fig. 12). In order for the finance department, etc. to conduct a hedge transaction for one underlying loan or debt at a time, it may be assigned on a multiple-for-one basis (Figure 13), Allocate one to multiple transactions in order for departments and others to conduct multiple hedging transactions while monitoring trends in the foreign exchange market. (See Figure 14). In the latter case, it is possible to trade with spot settlement with some foreign exchange risks without hedging all of the underlying receivables and payables, and to allocate funds including the spot settlement (No. 15 Figure). Furthermore, there are cases where both the above situations are entangled and the underlying loan and the hedge transaction are allocated on a multiple-to-multiple basis (Figure 16). In this case as well, it is also possible to trade with spot settlement and take part in spot settlement without losing all of the underlying receivables and payables, and also to assign funds including the spot settlement. 7).

 In this way, in order to enable not only one-to-one correspondence but also various combinations of allocation processing, as shown in the example of transaction data base in Fig. 3, the partner becomes the partner when performing allocation. Instead of specifying the transaction ID of the transaction and directly linking the corresponding transactions, the allocation ID that specifies the transaction group that has performed the allocation is used. With this configuration, the association can be easily managed in the database even if the assignment is a multiple-to-multiple assignment.

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 According to 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.

 In addition, since it is possible to flexibly respond to changes in the conditions of transactions that are subject to management before allocation processing, even if various changes are made until the transaction conditions are determined, excessive load on the system Exchange risk management can be performed continuously without any additional costs.

 In addition, since information on transactions that have been changed or split are also stored along with the date of change or split, chronological management such as checking the balance and checking the progress of transactions back to a specific point in the past is also possible. Will be possible.

Claims

The scope of the claims  1. A foreign currency transaction management system for managing foreign currency transactions and hedging transactions, Transaction information storage means for storing transaction information including information necessary for calculating a cash flow generated by the transaction, for the foreign currency transaction and the hedge transaction, A transaction information selecting unit that selects a transaction corresponding to a specific condition from the transaction information storage unit and acquires transaction information on the transaction; A cash flow calculating means for calculating a cash flow generated by each transaction from the transaction information obtained by the transaction information selecting means; A cash position calculating means for calculating a future cash position by currency from the cash flow calculated by the cash flow calculating means; A foreign currency denominated commercial transaction management system comprising:  2. It is provided with transaction information operation means for operating the transaction information stored in the transaction information storage means, When the transaction information operating unit changes at least a part of the transaction conditions related to the transaction information stored in the transaction information storage unit, the transaction information storage unit stores new transaction information including the changed transaction condition in the transaction information storage unit. 2. The foreign currency denominated commercial transaction management system according to claim 1, wherein information is stored with information identifying the transaction before the change. 3. It is provided with transaction information operation means for operating the transaction information stored in the transaction information storage means, When the transaction information operating means changes at least a part of the transaction conditions related to the transaction information stored in the transaction information storage means, the transaction information is stored in the information storage means. 2. The foreign currency-based business transaction management system according to claim 1, wherein a change record indicating that the transaction condition has been changed is recorded with a change date.  4. Transaction information operating means for operating the transaction information stored in the transaction information storage means, The transaction information operating means operates on transaction information stored in the transaction information storage means. Claim 1. The transaction information storage means stores new transaction information on the transaction after the division with information specifying the transaction before the division when the transaction is divided. Foreign currency transaction management system described in.  5. A transaction information operating means for operating the transaction information stored in the transaction information storage means, When the transaction information operating unit divides the transaction related to the transaction information stored in the transaction information storage unit, the transaction information regarding the transaction before the division stored in the transaction information storage unit includes the divided transaction. 2. The foreign currency denominated commercial transaction management system according to claim 1, wherein the division record indicating the fact is recorded with a division date. 6. If a transaction related to the transaction information stored in the transaction information storage unit is changed in transaction conditions or the transaction is divided a plurality of times, the transaction conditions stored in the transaction information storage unit are changed. The new transaction information after the split of the later or previous transaction will include information identifying the first transaction before all transaction conditions have changed and all transactions have been split. The foreign currency denominated commercial transaction management system according to any one of claims 2 to 5, characterized in that:  7. If a transaction related to the transaction information stored in the transaction information storage unit is changed or divided into a plurality of transactions, the transaction information stored in the transaction information storage unit may be changed. The new transaction information after the change or after the split of the previous term transaction is appended with information specifying the most recent transaction excluding the transaction split. Foreign currency transaction management system described.  8. When the settlement conditions for the foreign currency transactions are determined, the hedging transactions corresponding to the foreign currency transactions can be changed to one transaction to one transaction, one transaction to multiple transactions, multiple transactions to one bow, 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 in correspondence with any one of the above methods. 2. The foreign currency-based commercial transaction management system according to claim 1, wherein the allocated transaction information is recorded in the transaction information on the foreign currency-based commercial transaction and the hedge transaction. 9. The transaction information selection means according to claim 8, wherein the transaction information selection means selects a transaction in which the allocation has not been recorded among the transactions satisfying the conditions. Currency-based transaction management system.  10. A foreign currency transaction management device for managing foreign currency transactions and hedging transactions. A transaction information storage unit for storing transaction information including information necessary for calculating a cash flow generated by the transaction with respect to the foreign currency transaction and the hedge transaction; A transaction information selecting unit that selects a transaction corresponding to a specific condition from the transaction information storage unit and obtains transaction information on the transaction; A cash flow calculating unit for calculating a cash flow generated by each transaction from the transaction information acquired by the transaction information selecting unit; A cash position calculator for calculating a future cash position by currency from the cash flow calculated by the cash flow calculator; A foreign currency denominated commercial transaction management device comprising:  1 1. Once the settlement conditions for foreign currency transactions are determined, the hedging transactions corresponding to the foreign currency transactions can be changed to one transaction to one transaction, one transaction to multiple transactions, multiple transactions to one transaction, or multiple transactions to multiple transactions. A allocating unit for performing a allocating process for determining the correspondence between the foreign currency transaction and the hedge transaction in accordance with the method described above, and the allocating process is performed in the transaction information storage unit. 10. The foreign currency transaction management device according to claim 10, wherein the transaction information relating to the foreign currency transaction and the hedging transaction is recorded as assigned.  1 2. A foreign currency transaction management method for managing foreign currency transactions and hedging transactions. From the transaction information storage device that stores the transaction information including the information necessary for calculating the cash flow generated by the transaction for the foreign currency transaction and the hedge transaction, A transaction information selection step of selecting a corresponding transaction and obtaining transaction information relating to the transaction; A cash flow calculating step of calculating, from the transaction information obtained in the transaction information selecting step, a cash flow generated by each transaction; A step in which the computer calculates a future cash position by currency from the cash flow D-; A method for managing foreign currency-denominated business transactions, comprising:  13. A step in which the computer changes at least a part of transaction conditions relating to the transaction information stored in the transaction information storage device; A step of storing the new transaction information including the changed transaction condition in the transaction information storage device with information identifying the transaction before the change, The management method _c for foreign currency transactions described in claim 12 characterized by having: 14. The computer, wherein the computer changes at least a part of the transaction conditions related to the transaction information stored in the transaction information storage device; A step in which the computer records, with a change date, a change record indicating that the transaction condition has been changed, on the transaction information on the transaction condition before the change stored in the transaction information storage device, 3. The method for managing foreign currency transactions according to claim 12, wherein the method comprises: 15. The computer, wherein the computer divides the transaction related to the transaction information stored in the transaction information storage device; A step in which the computer stores, in the transaction information storage device, new transaction information relating to the transaction after division, with information specifying the transaction before division. 3. The method for managing foreign currency transactions according to claim 12, wherein the method comprises: 16. The computer, wherein the computer divides the transaction related to the transaction information stored in the transaction information storage device; A step in which the computer records transaction information relating to the transaction conditions before the division stored in the transaction information storage device, with a division record indicating a divisional transaction attached with a division date, 3. The method for managing foreign currency transactions according to claim 12, wherein the method comprises: 17. When the settlement conditions for the foreign currency transaction are determined, the computer sets the hedge transaction corresponding to the foreign currency transaction as one transaction to one transaction, one transaction to multiple transactions, multiple transactions to one transaction, or multiple transactions. Allocation processing for performing allocation processing for determining the correspondence between the foreign currency transaction and the hedge transaction by making correspondence in any of a plurality of transactions. Tape and Recording the allocated information in the transaction information relating to the foreign currency denominated commercial transaction and the hedge transaction that have been allocated to the transaction information storage device. Method for managing foreign currency denominated transactions described in Claims 1 and 2 <