钢铁企业套期保值的定位和策略中英文.doc

钢铁企业套期保值的定位和策略德丰期货公司 石生江2011年5月一、套期保值发展的三个阶段1.传统性套期保值概念 套期保值，英文为hedge，即对冲之意，即指期现对冲。 目前是大部分企业使用应用的理论基础，来源于凯恩斯和希格斯的理论，主要是基于现货市场和期货市场相反的头寸，来规避现货市场的风险，这是基本的套期保值的定义 传统型套期保值遵循的原则商品种类相同商品数量相等月份相同（相近）交易方向相反传统型套期保值的局限性期货与现货数量相等原则难以实现期货价格与现货价格波动不一定完全一致，如果按照1:1的比例套期保值，并不能完全对冲风险期货与鲜活品种相同原则难以实现期货市场品种相对有限，难以满足不同企业的需求传统型套期保值的局限性只有在金融属性不突出，期货与现货价格高度一致的理想化条件下，传统型套期保值才能完全规避风险。销售收入确定原材料价格等各项成本确定目标利润率明确不获取机会利润期货价格符合预期判断2.基差逐利理论霍尔布鲁克沃金(1895-1985)1962年，美国著名的期货理论家沃金提出了基差套期保值的理论，改变了人们对于套期保值的传统认识。套期保值不是直接对价格进行投机，而是对基差进行投机- 2 -期货价格现货价格价差扩大时，平仓了结。价差回归时，平仓了结。期货贴水，或小幅升水，则买进期货保值期货升水，且足够大，则卖出期货保值无论现货价格高低，基差存在足够利润，如此一来，无论现货价格上升还是下降，只要期现价差缩小即可获利。 基本思路：将期货市场当做远期采购原料或销售商品的第二市场，当期货价格比现货价格更为有利则进行套期保值，否则不进行套期保值。 优点：主动基差逐利，锁定较高的经营利润 缺点：当基差不利时，丧失套保机会，不能消除价格大幅波动带来的经营损失在基差不利的情况下，同样需要采取保值措施规避风险螺纹钢主力合约与某市三级钢检尺价格基差 主力合约 HRB400 20mm：某市 检尺北方某钢铁冬储卖出套保，初始平均极差-798，平仓平均基差-245.5，盈利552.5个点10年4月中旬，期货出现平水甚至贴水，根据基差逐利理论丧失一次套保机遇，无法回避期现价格暴跌风险3.现代套期保值理论现代套期保值理论由Johnson、Ederington较早提出，通过采用马科维茨的组合投资理论来解释套期保值概念，即将现货市场和期货市场的头寸作为企业资产来看待，套期保值实际上是资产组合。该理论实际上是利用期货市场的流动性和价格敏感性，通过随时调整期货保值数量来合理地管理风险，在合适的或可承受的风险情况下获得所对应的最好利润，即研究有效保值的操作方法。比如在牛市环境下，卖出保值就可以减少卖出的规模，减少无效保值的量，根据市场情况，允许现货有一定的风险敞口。基本思路：净头寸管理 净头寸=风险敞口=现货净头寸+期货净头寸 现货净头寸=库存-订单 期货净头寸=多头-空头 在大势为牛市中，卖出保值的数量应小于其当时的库存量或产量，使企业的净头寸为现货净多；而买入保值的数量应大于其计划采购量，即企业的净头寸为期货净多。 在大势为熊市中，卖出保值的数量应大于其当时的库存量或产量，使企业的净头寸为期货净空；而买入保值的数量应小于其计划采购量，即企业的净头寸为现货净空。现代保值对传统保值理论原则的拓展商品种类相同 商品种类相同或相关商品数量相等 商品数量净头寸管理月份相同（相近）合约月份合理展期交易方向相反 交易方向相反传统型套期保值新型套期保值注意套期保值的核心原则交易相反原则如果企业的期货净头寸与现货头寸的方向相同，或者期货净头寸超过了对冲全部现货风险所需要的期货头寸，就是投机，而不是套期保值，此时就会出现风险敞口，也就是“单腿”现象。现代套期保值的优势新形势下的套期保值理论扩充及深化模型精细化数量化套期保值机制的建立针对不同企业量身定做基于强大的研发平台二、现代套期保值策略的要点1.现代套期保值策略的三项原则 1、大势逻辑原则。对当前市场运行趋势要有正确的判断，保值的逻辑也要正确。 2、净头寸原则。根据大势调整风险敞口大小，通过调整期货现货净头寸来动态管理企业承担的风险和预期收益。 3、提前量原则。在大势判断的基础上，购销量、库存量随之进行变化，进而在期货保值上也进行相应调整。2.风险衡量是套期保值的关键确定风险上涨风险下跌风险时间周期衡量风险风险大小能否承受制定方案保不保保多少如何保后续控制A-从产业链上确定企业风险对冲原料上涨风险 对冲上涨矿山 冶炼厂 中间商 消费商对冲下跌风险 对冲产品下跌风险 对冲库存风险 对冲库存下跌风险B-从经营环节确定企业风险源采购环节 销售环节 库存环节价格上涨风险 价格下跌风险 价格下跌风险买期套保 卖期套保 卖期套保C-不同企业如何确定风险敞口 生产企业： 现货净头寸=产能+库存-销售订单，其中产能是核心，上涨时需对冲原料风险，下跌时需锁定产能价值 贸易企业： 现货净头寸=采购订单+库存-销售订单，其中库存是核心，上涨时需控制进货成本，下跌时需锁定库存价值，平时可随时进行基差套利 加工企业： 现货净头寸=库存+采购订单-采购需求，其中采购需求是核心，上涨时需对冲原料风险，下跌时需锁定加工利润3.套期保值时机的选择 市场形势分析：供求矛盾转移和价格趋势的变化 企业经营分析：期货盘面价格对应企业采购、销售和库存有合理利润 基差分析：尽量选择基差有利时机，基差不利时可适当减少保值比例4.套期保值流程企业经营目标 套期保值决策 被套保项目的数量 合约选择 所需资金量期货市场动态 具体的套期保值操作 期货市场相关规则生产计划 现货数量/库存量 贸易方案 贸易合同未来价格预测 风险分析 风险承受力三、套期保值的制度设计成功套期保值的要素 制定套期保值计划 合理的组织架构 有效的制度保证 建立适合企业自身的套期保值评价体系1.组织架构总体原则 企业参与期货交易的总体原则是决策、交易与风险监管分开，即设立专门的部门分别从事期货交易的决策和执行，同时由另一个部门（通常为财务部门）负责风险监督和报告。2.严格的风险控制制度集团总部成立期货交易领导小组公司参与期货交易管理条例公司期货交易人员管理条例第一层风险管理财务处从财务方面监督控制风险每天检查期货交易的记录持仓财务监控第二层风险管理期货交易室自身控制风险期货行情分析小组定期分析公司期货头寸风险、运作策略以及操盘小组实施情况第三层风险管理3.建立健全各项制度 内部决策执行程序 风险控制制度 报告制度 财务管理制度 信息披露制度4.建立适合企业的套期保值评价体系 经营评价标准: 套期保值能否实现预期的经营目标 市场评价标准： 套期保值能否实现比单纯现货更高的绩效 适合自身企业的- 5 -谢谢The Locations and Strategies of the Hedging of Steel EnterprisesShi Shengjiang Defeng Futures Co., Ltd. May of 2011I The three phase of the hedging 1. Traditional hedging conceptThe hedge, means hedging, that is the hedge of futures and spot. At present, the theory foundations which are applied by most of the enterprise, rooting in the theory of Keynes and Higgs, it is mainly used to avoid the risks of the spot market on the basis of the opposite positions of spot market and the futures market, this is the basic definition of the hedging. The principles which are abided by traditional hedgeCategories of Commodities are homological;Quantities of Commodities are homological;Same month (or close)Reversed transaction directionsThe limitation of traditional hedgingThe principle of the quantities of futures and spot is difficult to achieve. The prices fluctuations of futures and Cash are not always completely accordant, if the hedging uses the proportion as 1:1, it could not avoid the hedge risk completely;The homology principle of varieties of futures and cash is difficult to achieve;The futures market varieties are limited; it is difficult to satisfy the demands of different enterprisesThe limitation of traditional hedgingOnly when the finance property is not obvious, and in the condition of the futures prices and spot prices are highly accordant, the traditional hedging could avoid the risk completely. The sales revenue is ascertainedThe costs of raw materials and etc are ascertainedThe goal profit margin is definiteNot obtain opportunity profitThe futures price accords with the expectation judgment2. Basis chasing profits theoryHolbrooke Waking(1895-1985)In 1962, the famous futures theoretician, Waking put forward the Basis Hedging Theory, and this changed the traditional understanding of the hedging. The hedgingIts not the speculation for prices, but is the speculation for basis. Futures pricesSpot priceWhen the spread became larger, use Close Position to finish it. When the spread was coming back, use Close Position to finish it. When the futures were agio, or were a bit premium, bid the future to preserve the value. If futures were premium, and big enough, sell the futures to preserve the valueWhatever the spot prices are high or not, the basis has enough profit, so whatever the spot prices are up or down, so long as the spread became smaller, then we could obtain the profits. Basic clue: take the futures market as long-term second market of purchasing raw materials or selling goods, if the futures prices are better than spot price, proceed on hedging, and otherwise dont proceed. Advantage: initiative basis chasing the profits, lock the higher operating profitsShortage: loss the hedge opportunities when the basis was not good, cant eliminate the operation loss which was brought by the big fluctuations of price. So in the condition of bad basis, we also need to hedge in order to avoid the risk. The main contract of deformed steel bar and the price of third class steel cull;Basis main contract of HRB400 20mm steel curl of some citySome steel company in north sale the hedge in winter storage, initial mean range was -798, and close position average basis was -245.5, profit was 552.5 point. In the middle of April, 2010, the futures were par and even agio, according to the basis chasing profits theory, lost one opportunity of hedging and could not avoid the price slump risk of futures and spot. 3. Modern hedge theoryThe modern hedge theory was put forward early by Johnson and Ederington, they explained the hedge concept by the mean-variance analysis of Markowitz, that is taking the positions of future market and cash market as enterprise assets, then the hedge actually is asset combination. In actually this theory was using the fluidities and price sensibilities of futures market, adjusted quantity of futures hedge on time to control the risk, then obtain the best corresponding profit in suitable or bearable risk situations; that also means researching the effective operation methods of hedge. For instance, in the environments of Bull Market, sell the hedge could reduce the scale of sale, then reduce the quantity of invalid hedge, and on the basis of the market, it permits that the spot has a bit risk exposure. The basic clue: net position controlNet position= risk exposure= net position of cash+ net position of futuresNet position of Cash= stock-orderNet position of futures= long position-nominalWhen the general trend is the bull market, the hedging which has be soled should be less than the stocks or outputs of that time, let the net deposit of the enterprise be that the net cash is bull; but the quantities which have been purchased to reserve the value should be more than what you plan to purchase, that is, the net cash of the enterprise is that the position is bull. When the general trend is the bear market, the hedging which has be soled should be more than the stocks or outputs of that time, let the net deposit of the enterprise be that the net cash is bear; but the quantities which have been purchased to reserve the value should be less than what you plan to purchase, that is, the net cash of the enterprise is that the position is bear.The expansibilities of the modern hedge theory principles to the traditional hedge Commodities categories are homological Commodities categories are homological or correlativeThe quantities of commodities are equal net position control of commodities quantitiesSame month (or close) the equitable extension of contract monthReversed transaction directionsThe traditional hedgingThe new type of hedgingAttentionThe core principle of the hedging-transaction reverse principleIf the directions of futures net positions and spot positions are homological, or the futures net position exceeds futures position which are requisite by all of the hedging spot risks, that is speculation but isnt hedging, at this time there would be the exposure, we also call it single leg phenomenon. The predominance of the modern hedgingThe hedging in new situationsTheory expansion and deepeningSegmentation and quantifying of the modelsThe establishment of the hedging mechanismTailor made for different enterprisesThe powerful research and developing platformII The main points of modern hedging strategies1. The three principles of modern hedging strategy1) General trends logic principle. Should have the correct judgment for the present market tendency, the logic of hedge also should be correct. 2) Net position principle. Adjust the size of risk exposure according to general trends control the enterprises risk and expected return dynamically by adjusting net position of futures and spot. 3) Callable principle. On the basis of general trends judgment, adjust the bid and sale quantities, and the stocks are following changed, then adjust the homologous futures hedges. 2. Risk measurement is the hinges of the hedgingAscertain the risksRise riskSlip riskTime cycleMeasure the risksSize of risksBearable or notMaking the planHedge or notHow much should we hedge?How should we hedge?Continuative controlA - Ascertain the enterprise risks from industry chainsHedge the rise risks of raw materials Hedge riseMine and Smelt factory Middleman ConsumerHedge slip risks Hedge product slip risks Hedge stock risks Hedge stock slip risksB - Ascertain the enterprise risk sources from operation linksPurchase links Sale links Stock linksRisks of rising price Risks of slip price Risks of slip price Hedge buying hedge selling hedge selling C - How to ascertain risk exposure for different enterprisesManufacture enterprise:- Net position of spot=capacity+ stock-sale order, among them the capacity is the core, we need to hedge the risks of raw materials when it rises, and lock the capacity value when it slips. Trade enterprises:- net position of spot= purchase order+ stock-sale order, among them the stock is the core, when the price rises we need to control the stock cost, and lock the stock value when it slips, and in peacetime we could proceed the basis arbitrage at any moment. Process enterprises:- Net position of spot= stock+ purchase order-purchase demand , among them the purchase demand is the core, we need to hedge the raw material risks when it rises and lock the process profits when it slips3. The hedging opportunity selectionMarket situation analysis: the supply and demand contradiction metastasis and the change of price trendEnterprise management analysis: market prices of futures are corresponding to the equitable profits of enterprise purchase, sales and stocksBasis analysis: try our best to choose the good opportunities of basis and reduce the hedge proportions when the basis isnt good. 4. The hedging flowEnterprise management goal The hedging decisionThe quantities of items which should be hedged Contract selection The necessary fundThe specific of futures market Concrete hedging operations The correlative rules of futures marketManufacture plan Spot quantity/ stocks Trade plan Trade contractFuture price predication Risks analysis The bearing capacities of risksIII System design of the hedgingThe elements of successful hedgingMaking the hedging planRational organization frameworkEffective system guaranteeEstablish the hedging appraisal system which is suitable to enterprise itself1. The overall principle of organization frameworkThe overall principle of futures trading which the enterprises participate is that divide the transaction and risks supervision control, that is set the special