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Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures: möglich oder unmöglich?

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  • Bühler, Wolfgang
  • Korn, Olaf

Abstract

Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über Derivate reduziert bzw. ausgeschaltet werden. Da die vorgesehenen Liefertermine bis zu zehn Jahre in der Zukunft lagen, existierten keine laufzeitäquivalenten Ölderivate. Statt dessen kaufte die MGRM eine dem gesamten zukünftigen Liefervolumen entsprechende Anzahl von Terminkontrakten mit kurzer Laufzeit von meist nur einem Monat. Bei Fälligkeit wurden die Positionen in den nächsten kurz laufenden Kontrakt überrollt. Diese Hedgestrategie führte letztlich zu einer Krise des gesamten Konzerns, die im Dezember 1993 in der Ablösung des Vorstandes, der schrittweisen Auflösung der Ölgeschäfte und Verlusten in Milliardenhöhe gipfelte.

Suggested Citation

  • Bühler, Wolfgang & Korn, Olaf, 1998. "Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures: möglich oder unmöglich?," ZEW Discussion Papers 98-20, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  • Handle: RePEc:zbw:zewdip:5200
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    References listed on IDEAS

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    1. Christopher L. Culp & Merton H. Miller, 1995. "Metallgesellschaft And The Economics Of Synthetic Storage," Journal of Applied Corporate Finance, Morgan Stanley, vol. 7(4), pages 62-76.
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