外匯風險概述

1、 Economic/Operating Exposure Outline Lufthansa case Operating Exposure Example Measuring operating exposure Managing operating exposure financial hedges business strategiesLufthansa Jan. 85: purchased 20 Boeing 737s for $500 mln, payable Jan. 1986. What to do with the DM/$ exchange risk? Remain unco

2、vered? Hedge 100% forward? Hedge some forward? Put options? Money market hedge/prepay?Exhibit 1 (Lufthansa) Lufthansas Net Cost by Hedging AlternativeLufthansa Herr Rutnau felt the dollar was overvalued, and was likely to depreciate, reducing DM cost of aircraft. But he wasnt sure. It could apprecia

3、te (had done so for 5 years). Sold 50% forward. Exhibit 2 (Lufthansa) What Herr Ruhnau Could See: The RiseLufthansa Herr Rutnau felt the dollar was overvalued, and was likely to depreciate, reducing DM cost of aircraft. But he wasnt sure. It could appreciate (had done so for 5 years). Sold 50% forwa

4、rd. Outcome: Dollar did depreciate: down 28%! Rutnau heavily criticized for selling forward. Exhibit 3 (Lufthansa) What Herr Ruhnau Couldnt See: The FallExhibit 1 (Lufthansa) Lufthansas Net Cost by Hedging AlternativeAccusations against Ruhnau Chose wrong time to buy Boeing. Dollar at 1980s high in

5、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 une

6、xpected 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 ratesSimple example U.S. firm ex

7、pects 10 mln SF/year from exports to Switzerland, indefinitely. Long-term exchange rate forecast = current spot exchange rate Current rate: 2 SF/$ (.50 $/SF) Required rate of return: 10%/year What if the SF depreciates?E$ CF$5 mln$5 mln$5 mln .V10%Perpetuity formula: V = C / rYear 1 2 3 .SFSF10 mlnS

8、F10 mlnSF10 mln .forecast:.50 $/SF.50 $/SF.50 $/SF .So V = $5 mln / .10 = $50 mlnE$ CF$5 mln$5 mln$5 mln .10%What if SF depreciates 2%, to .49 $/DM?Year 1 2 3 .SFSF10 mlnSF10 mlnSF10 mln .forecast:.50 $/SF.50 $/SF.50 $/SF .$50 mlnE$ CF V10%New exchange rate implies new X-rate forecastsYear 1 2 3 .SF

9、SF10 mlnSF10 mlnSF10 mln .forecast:.49 $/SF.49 $/SF.49 $/SF .E$ CF$4.9 mln$4.9 mln$4.9 mln . V10%and new projected dollar cash flowsYear 1 2 3 .SFSF10 mlnSF10 mlnSF10 mln .forecast:.49 $/SF.49 $/SF.49 $/SF .E$ CF$4.9 mln$4.9 mln$4.9 mln .$49 mln10%and reduces the value of the firm by $1 mln.Year 1 2

10、 3 .SFSF10 mlnSF10 mlnSF10 mln .forecast:.49 $/SF.49 $/SF.49 $/SF .Year 1 2 3 .SFSF10 mlnSF10 mlnSF10 mln .Operating exposure:$1 mln change in firm value for every 2% change in the current$/SF rate Measuring operating exposure Requires a longer-term perspective: viewing the firm as an ongoing concer

11、n with price and cost competitiveness affected by exchange rate changes Requires an overall assessment of the industry: Nationality of competitors & suppliers firms degree of market powerExample: Volvo Structure: Imports supplies from Germany produces in Sweden Sells in U.S. Major competition: Germa

12、n cars (BMW, Mercedes, Audi) Most important risks Swedish krona vs. DM (not especially vs. $) Swedish interest rates German producer pricesMeasuring operating exposure Types of firms: Price-taking firms Price-setting firms with market powerPrice-taking firms 1. Analyze impact of unexpected, persiste

13、ntexchange rate changes upon local-currencyforeign market prices, for indefinite futureWhos the competition? 2. Analyze impact on home-currency cash flows 3. Decide what to do about the exchange rate- related operating exposure.Simple example, revisited U.S. firm expects 10 mln SF/year from exports

14、to Switzerland, indefinitely. Assumptions: Competing with Swiss firms. SF price unaffected by $/SF fluctuations Consequently, $ revenues heavily affected by $/SF changes: 10% SF depreciation lowers discounted expected revenues 10%. SF appreciation has the opposite effect.Example #2: U.S. chemical fi

15、rm exporting to Canada Major competition: other U.S. firms. Chemical industry sets C$ prices based on U.S. $ costs. IF the Canadian dollar depreciates 10%: C$ prices rise overall by 10%. Reduction in total Canadian sales by 2%. Local currency result: C$ revenues up 8%. U.S. $ revenues for this firm

16、fall 2%. Operating exposure not severe.Price-setting firms with (some) market power Some ability to raise local-currency prices in foreign markets to offset FX depreciation. How much ability? Depends on the price elasticity of demand for that firms products.Example: 1985-87 dollar depreciation of 50

17、% against DM11.522.533.5PlazaLouvreDM/DOLLAR EXCHANGE RATE, 1974-97DM/$747678808284868890929496Example: 1985-87 dollar depreciation of 50% against DM Mercedes, BMW: Raise $ prices to (partly) maintain DM revenues? Leave $ prices unchanged to maintain market share/sales volume? Policy: Raised $ price

18、s 30-40% Intense advertising campaign to differentiate German cars.Managing Operating Exposure Financial management contractual hedges Strategic management marketing initiatives production initiativesFinancial Management of Operating Exposure If have stable, predictable FC earnings, various contract

19、ual/financial hedges are feasible for the medium term (1-5 years) long-term forward contracts local-currency debt (matching) currency swaps long-term put optionsExamples Merck (pharmaceuticals) R&D, production in U.S. Sales in U.S., abroad Sales predictable (niche-market) Local-currency prices often

20、 regulated abroad Kodak (film) Concerned w/ maintaining foreign market share (against Fuji) Pioneer Hi-Bred Has foreign subsidiaries Long-term forward contracts Waterford Crystal Costs in Irish punt Revenues in U.S. dollars Sold anticipated $ revenues forward out 2 years Difficult to hedge forward b

21、eyond 5 yearsFinancial Management of Operating ExposureFinancial Management of Operating Exposure If have stable SF revenues want to finance them with stable SF debt so that only net SF revenues at risk.Year 1 2 3 .SF revenuesSF10 mlnSF10 mlnSF10 mln .SF interestliabilities-SF9 mln-SF9 mln-SF9 mln .

22、Net SF revenues SF1 mln SF1 mln SF1 mln .Example: Swiss subsidiary of U.S. firm If well-established, can directly issue SF debt If new, use a currency swap U.S. firm issues dollar debt U.S. firm swaps that debt for SF debt with a swap dealerCurrency swap1. U.S. firm issues $ debtU.S. firm$ liabiliti

23、esCurrency swap2. U.S. firm enters into a currency swapU.S. firm$ liabilitiesswapdealerPays SFReceives $Currency swap$ revenues cover $ liabilitiesU.S. firm$ liabilitiesswapdealerPays SFReceives $Currency swapNet effect: U.S. firm has effectively issued SFdebt to finance its foreign subsidiaryU.S. f

24、irm$ liabilitiesswapdealerPays SFReceives $Strategic Management of Operating Exposure In medium- to long-run, all firms have exchange rate-related operating exposure. Example: “domestic” U.S. car company (Chrysler?) Costs in U.S. dollars Sales, revenues in U.S. dollars Yen depreciation makes Japanes

25、e cars more competitive, reducing Chryslers revenues Real exchange rate movements affect the overall competitive environment monitoring/measuring such effects important hedging can be difficult (and questionable) Firms respond strategically to exchange rate-related problems and opportunities marketi

26、ng initiatives production initiatives Goodyear-Mexico 37% Mexico peso devaluation 12/94 Previously sold tires in Mexico Became major exporter to U.S., Europe, South AmericaExamplesExamples U.S. textile industry U.S. cannot compete in labor-intensive textiles Major investment in capital-intensive tex

27、tiles niches Industrial fabrics Sheets, towels Increased service component Quick Reponse computerized inventory management and ordering program for coordinating textile mills/apparel manufacturers/retailersStrategic Management of Operating Exposure Marketing Initiatives Market selection Product Stra

28、tegy Pricing Strategy Promotional Strategy Production Initiatives Product sourcing Input mix Plant location Raising productivity Market selection & diversification Move into/out of various foreign markets, depending on competitiveness Example: Waterford Crystal (Irish) When $ weakened in late 1980s,

29、 went increasingly after Asian, European markets.Marketing InitiativesMarketing Initiatives Product Strategy Altering product niche depending on competitiveness New-product introduction Product line decisions Product innovation Example: Volkswagen (1970s) 1960s: low-priced cars with few features DM

30、appreciation in early 1970s, rising German labor costs VW revised product line towards higher-priced cars for middle-income consumersMarketing Initiatives Pricing Strategy For firms with some market power: decision between market share profit margins when setting local-currency prices following a cu

31、rrency appreciation/depreciation. Promotional Strategy Example: Early 1980s: strong $.1.European countries advertised Alpine skiing heavily in U.S.Production Initiatives Changing Input Mix foreign outsourcing of component inputs Example: Caterpillar. 50% of pistons are foreign (Brazil) Shifting productio