economicoperatingexposure(外汇风险)资料.pptVIP

Economic/Operating Exposure Outline Lufthansa case Operating Exposure Example Measuring operating exposure Managing operating exposure financial hedges business strategies Lufthansa Jan. ‘85: purchased 20 Boeing 737’s for $500 mln, payable Jan. 1986. What to do with the DM/$ exchange risk? Remain uncovered? Hedge 100% forward? Hedge some forward? Put options? Money market hedge/prepay? Exhibit 1 (Lufthansa) Lufthansa’s Net Cost by Hedging Alternative Lufthansa Herr Rutnau felt the dollar was overvalued, and was likely to depreciate, reducing DM cost of aircraft. But he wasn’t sure. It could appreciate (had done so for 5 years). Sold 50% forward. Exhibit 2 (Lufthansa) What Herr Ruhnau Could See: The Rise Lufthansa Herr Rutnau felt the dollar was overvalued, and was likely to depreciate, reducing DM cost of aircraft. But he wasn’t sure. It could appreciate (had done so for 5 years). Exhibit 3 (Lufthansa) What Herr Ruhnau Couldn’t See: The Fall Exhibit 1 (Lufthansa) Lufthansa’s Net Cost by Hedging Alternative Accusations against Ruhnau Chose wrong time to buy Boeing. Dollar at 1980’s high in Jan. 85. Hedging 50% when he expected the dollar to fall. Should have left the whole exposure unhedged. Using forwards instead of options. Buying Boeing at all. Should have bought Airbus. Should Ruhnau be fired? Operating exposure(a.k.a. economic, competitive or strategic exposure) The impact of unexpected exchange rate changes upon known and unknown but expected future cash flows of the firm, for indefinite future. Firm value = discounted expected future cash flows Operating exposure therefore measures how firm value changes with unexpected changes in exchange rates Simple example U.S. firm expects 10 mln SF/year from exports to Switzerland, indefinitely. Long-term exchange rate forecast =  current spot exchange rate Current rate: 2 SF/$ (.50 $/SF) Required rate of return: 10%/year What if the SF depreciates? Measuring operating exposure Requires a lon