钢铁企业套期保值的定位和策略中英文

1、钢铁企业套期保值的定位和策略中英文内部编号：(YUUT-TBBY-MMUT-URRUY-UOOY-DBUYI-O128)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

2、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基差逐利理论霍尔布鲁克沃金(1895-1985)1962年，美国着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

3、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HRB40020mm: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，盈利个点10年4月中旬，期货出现平水甚至贴水，根据基

4、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=

5、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

6、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。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

7、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：-现货净头寸二产能+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：-现货净头寸二米购订单+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：-现货净头寸二库存+采购订单-采购

8、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组织架构总体原则企业参与期货交易的总体原则是决策

9、、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。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

10、纯现货更高的绩效适合自身企业的-5-谢谢TheLocationsandStrategiesoftheHedgingofSteelEnterprisesShiShengjiangDefengFuturesCo.,Ltd.Mayof2011Thethreephaseofthehedging1.TraditionalhedgingconceptThehedge,meanshedging,thatisthehedgeoffuturesandspot.Atpresent,thetheoryfoundationswhichareappliedbymostoftheenterprise,rootingint

11、hetheoryofKeynesandHiggs,itismainlyusedtoavoidtherisksofthespotmarketonthebasisoftheoppositepositionsofspotmarketandthefuturesmarket,thisisthebasicdefinitionofthehedging.TheprincipleswhichareabidedbytraditionalhedgeCategoriesofCommoditiesarehomological;QuantitiesofCommoditiesarehomological;Samemonth

12、(orclose)ReversedtransactiondirectionsThelimitationoftraditionalhedgingTheprincipleofthequantitiesoffuturesandspotisdifficulttoachieve.ThepricesfluctuationsoffuturesandCasharenotalwayscompletelyaccordant,ifthehedgingusestheproportionas1:1,itcouldnotavoidthehedgeriskcompletely;Thehomologyprincipleofv

13、arietiesoffuturesandcashisdifficulttoachieve;Thefuturesmarketvarietiesarelimited;itisdifficulttosatisfythedemandsofdifferententerprisesThelimitationoftraditionalhedgingOnlywhenthefinancepropertyisnotobvious,andintheconditionofthefuturespricesandspotpricesarehighlyaccordant,thetraditionalhedgingcould

14、avoidtheriskcompletely.ThesalesrevenueisascertainedThecostsofrawmaterialsandetcareascertainedThegoalprofitmarginisdefiniteNotobtainopportunityprofitThefuturespriceaccordswiththeexpectationjudgmentBasischasingprofitstheoryHolbrookeWaking(1895-1985)In1962,thefamousfuturestheoretician,Wakingputforwardt

15、heBasisHedgingTheory,andthischangedthetraditionalunderstandingofthehedging.ThehedgingItsnotthespeculationforprices,butisthespeculationforbasis.FuturespricesSpotpriceWhenthespreadbecamelarger,useClosePositiontofinishit.Whenthespreadwascomingback,useClosePositiontofinishit.Whenthefutureswereagio,orwer

16、eabitpremium,bidthefuturetopreservethevalue.Iffutureswerepremium,andbigenough,sellthefuturestopreservethevalueWhateverthespotpricesarehighornot,thebasishasenoughprofit,sowhateverthespotpricesareupordown,solongasthespreadbecamesmaller,thenwecouldobtaintheprofits.Basicclue:takethefuturesmarketaslong-t

17、ermsecondmarketofpurchasingrawmaterialsorsellinggoods,ifthefuturespricesarebetterthanspotprice,proceedonhedging,andotherwisedontproceed.Advantage:initiativebasischasingtheprofits,lockthehigheroperatingprofitsShortage:lossthehedgeopportunitieswhenthebasiswasnotgood,canteliminatetheoperationlosswhichw

18、asbroughtbythebigfluctuationsofprice.Sointheconditionofbadbasis,wealsoneedtohedgeinordertoavoidtherisk.Themaincontractofdeformedsteelbarandthepriceofthirdclasssteelcull;BasismaincontractofHRB40020mmsteelcurlofsomecitySomesteelcompanyinnorthsalethehedgeinwinterstorage,initialmeanrangewas-798,andclose

19、positionaveragebasiswas,profitwaspoint.InthemiddleofApril,2010,thefutureswereparandevenagio,accordingtothebasischasingprofitstheory,lostoneopportunityofhedgingandcouldnotavoidthepriceslumpriskoffuturesandspot.ModernhedgetheoryThemodernhedgetheorywasputforwardearlybyJohnsonandEderington,theyexplained

20、thehedgeconceptbythemean-varianceanalysisofMarkowitz,thatistakingthepositionsoffuturemarketandcashmarketasenterpriseassets,thenthehedgeactuallyisassetcombination.Inactuallythistheorywasusingthefluiditiesandpricesensibilitiesoffuturesmarket,adjustedquantityoffutureshedgeontimetocontroltherisk,thenobt

21、ainthebestcorrespondingprofitinsuitableorbearablerisksituations;thatalsomeansresearchingtheeffectiveoperationmethodsofhedge.Forinstance,intheenvironmentsofBullMarket,sellthehedgecouldreducethescaleofsale,thenreducethequantityofinvalidhedge,andonthebasisofthemarket,itpermitsthatthespothasabitriskexpo

22、sure.Thebasicclue:netpositioncontrolNetposition=riskexposure=netpositionofcash+netpositionoffuturesNetpositionofCash=stock-orderNetpositionoffutures=longposition-nominalWhenthegeneraltrendisthebullmarket,thehedgingwhichhasbesoledshouldbelessthanthestocksoroutputsofthattime,letthenetdepositoftheenter

23、prisebethatthenetcashisbull;butthequantitieswhichhavebeenpurchasedtoreservethevalueshouldbemorethanwhatyouplantopurchase,thatis,thenetcashoftheenterpriseisthatthepositionisbull.Whenthegeneraltrendisthebearmarket,thehedgingwhichhasbesoledshouldbemorethanthestocksoroutputsofthattime,letthenetdepositof

24、theenterprisebethatthenetcashisbear;butthequantitieswhichhavebeenpurchasedtoreservethevalueshouldbelessthanwhatyouplantopurchase,thatis,thenetcashoftheenterpriseisthatthepositionisbear.TheexpansibilitiesofthemodernhedgetheoryprinciplestothetraditionalhedgeCommoditiescategoriesarehomologicalCommoditi

25、escategoriesarehomologicalorcorrelativeThequantitiesofcommoditiesareequalnetpositioncontrolofcommoditiesquantitiesSamemonth(orclose)theequitableextensionofcontractmonthReversedtransactiondirectionsThetraditionalhedgingThenewtypeofhedgingAttentionThecoreprincipleofthehedging-transactionreverseprincip

26、leIfthedirectionsoffuturesnetpositionsandspotpositionsarehomological,orthefuturesnetpositionexceedsfuturespositionwhicharerequisitebyallofthehedgingspotrisks,thatisspeculationbutisnthedging,atthistimetherewouldbetheexposure,wealsocallitsinglelegphenomenon.ThepredominanceofthemodernhedgingThehedgingi

27、nnewsituationsTheoryexpansionanddeepeningSegmentationandquantifyingofthemodelsTheestablishmentofthehedgingmechanismTailormadefordifferententerprisesThepowerfulresearchanddevelopingplatformThemainpointsofmodernhedgingstrategiesThethreeprinciplesofmodernhedgingstrategyGeneraltrendslogicprinciple.Shoul

28、dhavethecorrectjudgmentforthepresentmarkettendency,thelogicofhedgealsoshouldbecorrect.Netpositionprinciple.Adjustthesizeofriskexposureaccordingtogeneraltrendscontroltheenterprisesriskandexpectedreturndynamicallybyadjustingnetpositionoffuturesandspot.Callableprinciple.Onthebasisofgeneraltrendsjudgmen

29、t,adjustthebidandsalequantities,andthestocksarefollowingchanged,thenadjustthehomologousfutureshedges.RiskmeasurementisthehingesofthehedgingAscertaintherisksRiseriskSlipriskTimecycleMeasuretherisksSizeofrisksBearableornotMakingtheplanHedgeornotHowmuchshouldwehedgeHowshouldwehedgeContinuativecontrolA-

30、AscertaintheenterpriserisksfromindustrychainsHedgetheriserisksofrawmaterialsHedgeriseMineandSmeltfactoryMiddlemanConsumerHedgesliprisksHedgeproductsliprisksHedgestockrisksHedgestocksliprisksB-AscertaintheenterpriserisksourcesfromoperationlinksPurchaselinksSalelinksStocklinksRisksofrisingpriceRisksof

31、slippriceRisksofslippriceHedgebuyinghedgesellinghedgesellingC-HowtoascertainriskexposurefordifferententerprisesManufactureenterprise:-Netpositionofspot=capacity+stock-saleorder,amongthemthecapacityisthecore,weneedtohedgetherisksofrawmaterialswhenitrises,andlockthecapacityvaluewhenitslips.Tradeenterp

32、rises:-netpositionofspot=purchaseorder+stock-saleorder,amongthemthestockisthecore,whenthepricerisesweneedtocontrolthestockcost,andlockthestockvaluewhenitslips,andinpeacetimewecouldproceedthebasisarbitrageatanymoment.Processenterprises:-Netpositionofspot=stock+purchaseorder-purchasedemand,amongthemth

33、epurchasedemandisthecore,weneedtohedgetherawmaterialriskswhenitrisesandlocktheprocessprofitswhenitslipsThehedgingopportunityselectionMarketsituationanalysis:thesupplyanddemandcontradictionmetastasisandthechangeofpricetrendEnterprisemanagementanalysis:marketpricesoffuturesarecorrespondingtotheequitab

34、leprofitsofenterprisepurchase,salesandstocksBasisanalysis:tryourbesttochoosethegoodopportunitiesofbasisandreducethehedgeproportionswhenthebasisisntgood.ThehedgingflowEnterprisemanagementgoalThehedgingdecisionThequantitiesofitemswhichshouldbehedgedContractselectionThenecessaryfundThespecificoffutures

35、marketConcretehedgingoperationsThecorrelativerulesoffuturesmarketManufactureplanSpotquantity/stocksTradeplanTradecontractFuturepricepredicationRisksanalysisThebearingcapacitiesofrisksSystemdesignofthehedgingTheelementsofsuccessfulhedgingMakingthehedgingplanRationalorganizationframeworkEffectivesystemguaranteeEstablishthehedgingappraisalsystemwhichissuitabletoenterpriseitselfTheoverallprincipleoforganizationframeworkTheoverallprincipleoffuturestradingwhichtheenterprisesparticipateisthatdividethetransactionandriskssupervisioncontrol,thatisset