汉莎航空公司套保案例

Sw8B00N22TeachingNoteLUFTHANSA:TOHEDGEORNOTTOHEDGE...StephenSapppreparedthisteachingnoteasanaidtoinstructorsintheclassroomuseofthecaseLufthansa:ToHedgeOrNotToHedge,No.9B00N022.Thisteachingnoteshouldnotbeusedinanywaythatwouldprejudicethefutureuseofthecase.IveyManagementServicesprohibitsanyformofreproduction,storageortransmittalwithoutitswrittenpermission.ThismaterialisnotcoveredunderauthorizationfromCanCopyoranyreproductionrightsorganization.Toordercopiesorrequestpermissiontoreproducematerials,contactIveyPublishing,IveyManagementServices,c/oRichardIveySchoolofBusiness,TheUniversityofWesternOntario,London,Ontario,Canada,N6A3K7;phone[phone];fax[phone];e-mail:[e-mail]©2000,IveyManagementServicesVersion:(A)2000-10-24SYNOPSISHeinzRuhnau,Lufthansa’sCEO,neededtodeterminehowtodealwiththeforeignexchangeriskresultingfromthepurchaseof20newaircraft.DuetoLufthansa’srecentgrowth,itneedednewaircraft.ItsofficialpolicywastohavehalfBoeingandhalfAirbusaircraft,soitneededtopurchasesomeaircraftfromBoeingtooffsetitspendingpurchaseofaircraftfromAirbus.RuhnauneededtodeterminehowtodealwiththemassiveforeignexchangeexposurecausedbytheUS$500millionpurchaseprice(LufthansawastheflagshipGermanairlinewiththemajorityofitsrevenuesindeutschemarks).Theexposurewastheresultofthismoneybeingdueinoneyear—upondeliveryoftheaircraft.Hewasconsideringfouralternativestodealwiththisrisk:1)donothing,2)hedgeusingforwardcontracts,3)hedgeusingoptionsor4)usethemoneymarkettolockincurrentexchangerates.DuetotherestrictivecovenantsonLufthansa’sborrowing,thefourthoptionwasnotaviablealternative.OBJECTIVESThiscaseisdesignedforuseinaninternationalfinancecourseorinanintroductoryfinancecourse.Thegoalistointroducestudentstothemostcommonmethodsofhedgingforeignexchange(FX)risk.Itdealswiththepotentialcostsandbenefitsofhedgingthistypeofriskusingeachofthesestandardtechniques.Itintroducesstudentstothedifferencesbetweenusingforwardcontracts,optionsandmoneymarkettransactionstohedgeFXrisk.Theanalysisconcentratesonthefinancialcostsofeachalternativerelativetothebaselinecaseof“doingnothing.”Aninterestingpointthatcanalsobedevelopedinthiscaseisthathedgingchoicesmustberationalizable.RuhnaufacedharshcriticismfromtheLufthansaboardandGermany’sPage28B00N22Transportationminister,basedonhischoiceofhedgingstrategy.Infact,itwasstatedintheFinancialTimesthattheboardwasconsideringfiringhimbecauseofhis“recklesslyspeculatingwithLufthansa’smoney.”ANALYSISTheanalysisofthecasecanstartwithadiscussionofwhytheU.S.dollarwasappreciatingoverthisperiod.Thismaybeagoodtimetointroducethestudentstotheroleofsupplyanddemandofcurrenciesonexchangerates.Inparticular,theFederalReserveBoard’spolicyoftargetingthemoneysupplyresultedinextremelyhighU.S.interestratesatthebeginningofthisperiod.ThiscausedanincreaseindemandforU.S.dollardenominatedfinancialassets.Asaresultofthisincreaseindemandfor,butnoincreaseinthesupplyof,U.S.dollars,thedollarstartedtoappreciateoverthisperiod.TheboomingU.S.economyfurtherincreasedinvestors’desiretoinvestintheU.S.andthusfurtherincreaseddemandforthedollar.LookingatinterestratesatthetimeofcaseExhibit2,onecanseethatU.S.interestratesarestillaboveGermaninterestrates.Thiswouldsuggestthisimbalancebetweensupplyanddemandmaycontinue.(Note:underinterestrateparity,ifweassumeforwardpricesareunbiasedpredictorsofthefuturespotrate,thisinterestratedifferentialwouldsuggestthatthevalueofthedollarisexpectedtodeclineinthefuture.Thisindicatesthattheforwardratewasnotagoodpredictorofthefuturespotrateoverthisperiod.)FollowingdiscussionofthecurrenttrendintheU.S.dollar,thediscussionshouldmoveontohowRuhnaushouldmanagethisposition.Basedonthediscussion,itshouldnotbeclearwhetherornottheU.S.dollarwillstayatitscurrentlevel.Asaresult,Ruhnaushouldconsiderhedgingthisrisk.Therearethreemaintypesofforeignexchangerisk:1)transactionrisk,2)translationriskand3)operationrisk.Thisisaclearcaseoftransactionriskandcanbemanagedusingsomeofthemostcommonhedgingmethods.Thecaseallowsthecostsforeachtobecalculatedandcomparedtooneanotherwithlittlecomplicationfromotherfactors.ManagingthistransactionriskisimportantsincesmallchangesintheexchangeratecouldhaveamajorimpactontheDMpriceofthepurchaseoftheseaircraft(especiallywhencomparedtothisfirm’snetprofits).ToevaluateeachofthealternativesRuhnausees,westartbyconsideringthecostofthedifferentalternativesfacingRuhnauiftheexchangerateweretobe2.4DM/USDinJanuary1986(whatheispredictingtobethemostlikelyandalsothe“bestcase”scenario).Beforeworkingthroughthenumbers,itisworthdiscussingthemotivationforeachalternativeandwhyhemayconsiderhedgingonlyhalfofthepurchaseprice.1.Doingnothing—thiswouldleaveLufthansaexposedtomassiveforeignexchangerisk,butitwouldavoidthecostsofpurchasingthehedgingvehicles.2.Forwardcontract—thiswouldlock-inthepurchasepriceinDMtermswithnorequiredupfrontpayment.Page38B00N223.Putoption—thiswouldallowLufthansatoprofitfromadepreciationintheU.S.dollarbutprotectitfromafurtherappreciationsincethe“put”optionistherighttoselldeutschemarksatasetexchangerate.Unfortunately,thisrequi