套期保值策略与风险管理课件

1、套期保值策略与风险管理自我介绍高晓宇，现任五矿有色金属股份有限公司副总经理。1993年毕业于中国人民大学，获得经济学硕士学位。工作经历包括中国有色金属进出口总公司、中国有色金属工业贸易集团公司，先后就职于期货部和风险管理部等部门。在有色金属贸易及风险管理方面有十几年工作经验。2内容套期保值概念套期保值策略与流程套期保值管理套期保值风险3MG的案例MGRMMG的美国子公司在能源衍生品交易中遭受巨大损失1993年12月，MG报告其美国子公司损失超过10亿美元MG董事会解雇了MGRM的管理层并命令将剩余头寸全部平仓与120家银行协商取得19亿美元的援救贷款，渡过危机MGRM的保值过程19921993

2、年间与客户签定协议按照固定价格供应510年的汽油和取暖油，价格高于当时的现货价35美元，总量为1.6亿桶。客户在交易所当月油价高于合同价格时可以终止合同，并得到差价的一半与未交付数量相乘的金额。收购一家炼油厂49股权，并买断其全部生产能力采取1：1保值和堆仓后移保值策略，1/3在NYMEX建仓（原油、汽油、取暖油），2/3在OTC市场建仓油价下跌，不断增加的Margin Call造成资金链断裂4MG的案例几个思考题是保值还是投机？（到期时间的不对应）1：1的保值量合适吗？堆仓后移的策略正确吗？（流动性、市场看法、客户选择权）保证金足够吗？交易对手可靠吗？（靶子效应）风险都预计到了吗？（Roll

3、over,Funding,Credit）董事会的平仓决定正确吗？6套期保值定义传统的保值定义以回避现货价格风险为目的的期货交易行为，基本原则包括：“方向相反”“种类相同或相关”“数量相等”“月份相同或相近”“同步平仓”7套期保值分类按买卖方向分类买入保值/卖出保值采购保值/销售保值按被保值的对象分类公允价值保值（Fair Value Hedge），是指对已确认资产或负债、尚未确认的确定承诺，或该资产或负债、尚未确认的确定承诺中可辨认部分的公允价值变动风险进行的套期。 现金流量保值（Cash Flow Hedge），是指对现金流量变动风险进行的套期。该类现金流量变动源于与已确认资产或负债、很可能

4、发生的预期交易有关的某类特定风险，且将影响企业的损益。 境外经营净投资套期（Net Investment Hedge），是指对境外经营净投资外汇风险进行的套期。境外经营净投资，是指企业在境外经营净资产中的权益份额。按保值目的分类对冲保值（Offset）/锁价保值（Price Fix）9保值还是投机？按照传统标准衡量企业保值行为存在的问题企业的实际情况与理论标准间的冲突合理的保值操作有可能被认定为非保值行为广义的保值企业利用金融工具对某种风险进行全部或部分对冲的行为为企业保值提供相对宽松的环境及操作标准；10保值还是不保值？企业是否保值的动机拥有多样化产品的企业倾向不保值没有生存危机的企业倾向不

5、保值负债水平高且需要进一步融资的企业倾向保值行业习惯管理者自身利益（薪酬、职位等）与可控风险直接挂钩的企业倾向保值对代理成本问题比较关注的企业倾向保值管理者偏好11内容套期保值概念套期保值策略与流程套期保值管理套期保值风险12套期保值策略针对具体现货贸易的保值对于一个从采购到销售的完整贸易过程，保值策略可以形成多种组合：采购和销售保值同时建仓，头寸结构表现为跨市或者跨期采购保值建仓在前，销售保值建仓在后销售保值建仓在前，采购保值建仓在后不做采购保值，只进行销售保值不做销售保值，只进行采购保值具体策略组合的采用取决于采购和销售的定价条款、市场趋势判断等因素13套期保值策略针对企业总体风险的保值统

6、计一段时间内企业在某商品上的总体风险量，如企业一年的产量或者消费量，然后按照一定的保值比例通过期货市场进行保值，控制成本或者锁定收入。目的是稳定企业的经营业绩，避免随商品价格波动出现大幅波动，特别是针对可能出现的危及企业生存的不利价格波动提供保护，帮助企业渡过困难时期。着眼于企业的总体风险，保值安排并不明确与具体的购销合同对应，而是服务于企业管理整体风险的战略目的。在生产和消费企业中比较多见。 14套期保值流程风险分析保值政策方案设计实施、监控、优化评估与改进16风险分析总风险与剩余风险铜冶炼企业的例子航空公司的例子17保值政策示例1HedgingThe Groups policy is to

7、 remain unhedged to the gold price. However, hedges are sometimes undertaken on a project specific basis as follows: to protect cash flows at times of significant expenditure, for specific debt servicing requirements, and to safeguard the viability of higher cost operations. Gold Fields may from tim

8、e to time establish currency financial instruments to protect underlying cash flows. Gold Fields has various currency and interest rate financial instruments - those remaining are described in the schedule. It has been decided not to account for these instruments under the hedge accounting rules of

9、IFRS 39, except for the debt portion of the interest rate swap which has been hedge accounted, and accordingly the positions have been marked to market.Gold Fields Limited 19保值政策示例2NIE Energy Supply 30 April 2009 Hedging Policy Statement 3 Hedging Policy In deciding whether a hedge should be purchas

10、ed NIE Energy Supply will need to consider the impact on both the likely price and its variability. If a hedge both lowers the expected price and reduces variability it is likely to be an efficient purchase unless there is an available alternative product that does so to a greater extent. Similarly,

11、 if a hedge reduces variability without affecting the expected price it is likely to be an efficient purchase unless there is a superior product available. If a hedge raises the expected price but reduces variability, NIE Energy will need to take a view on the relative values of those impacts. In do

12、ing so it will be guided by its view of its customers preferences. In assessing the likely price level, NIE Energy will model the cost of SEM purchases, hedge costs and other costs in the circumstances of one or more sets of customer demand and pool price projections. In assessing the variability of

13、 the price level, NIE Energy will consider the likely variability in customer demand, including in response to weather variation, and of generation purchase, hedging and other costs, including in response to variations in pool prices, fuel prices, exchange rates and customer demand. Its calculations

14、 will be based on its evaluation of projections of pool prices and on models of demand and of risk, both of which will be transparent to NIAUR. In assessing whether a hedge should be secured for its regulated customer base, NIE Energy Supply will take into consideration an assessment of the extent t

15、o which the price level, economic conditions and competitive activity may potentially affect the level of forecast customer demand. In hedging costs related to tariffs for the 2009-10 year, NIE Energy Supply is conscious of both the current lack of sophistication of products and also the limited vol

16、umes of hedges available to do so. It will not be possible to hedge its generation purchases completely even if it were otherwise sensible to do so. Hedges may be obtained in a currency other than Sterling. This would result in a currency exposure between the currency denomination of the hedging ins

17、trument and that of the hedged item (Sterling pool cost). Where NIE Energy is exposed to currency risk it may hedge some or all of the associated exposure using an appropriate financial instrument. 20保值政策示例3-1Policy for Board ApprovalThis is a sample of a forex hedging policy with a mixture of targe

18、ts and methods, to be approved by members of the Corporate Board. Mandate One of the responsibilities of the Board of Directors is to periodically review the significant risks and opportunities that may affect the company and its business, and to oversee the actions, systems, and controls that have

19、been put in place to manage and monitor these risks and opportunities. Foreign Currency Risks and Opportunities The company is exposed to the following foreign currency risks and opportunities: Balance Sheet Translation Risk: Existing foreign currency assets or liabilities are subject to an unfavora

20、ble movement in the foreign currency exchange rate, which would have a negative impact on the company. Future Transaction Risk: Future foreign currency transactions creating assets or liabilities are subject to an unfavorable movement in the foreign currency exchange rate, which would have a negativ

21、e impact on the company. Speculative Risk: Management may believe that current foreign currency exchange rates will move in a predictable direction that will have a positive impact on the company. Under adequate authorization and with an aim to limit the potential loss, certain speculative foreign c

22、urrency trading may be approved by the Board. 21保值政策示例3-2Policies The Board of Directors will approve the following policies for managing foreign currency risk exposure: Balance Sheet Foreign Currency Exposure (existing balance sheet amounts) Management will review at least monthly the current expos

23、ure to foreign currencies for assets and liabilities on the balance sheet and determine the net exposure. Management will hedge out a minimum of 75% of the net foreign exposures (assets less liabilities) on those occasions where the exposure exceeds $50,000 USD or an amount in the reporting currency

24、. Anticipated Future Foreign Currency Cash Flows At minimum, management will prepare and update forecasted future foreign currency cash flows (for example, sales to foreign locations or imports). Management will hedge out a minimum of 50% of the highly probable forecasted future foreign currency cas

25、h flow, on those occasions where the exposure exceeds at least $200,000 USD or an amount in the reporting currency. Speculative Trading Management may determine there are investment opportunities in potentially favorable foreign currency changes, although it must keep in mind that certain risks or c

26、ertain costs are associated with speculative foreign currency trading. Management may enter into speculative trading such that the maximum cumulative loss that the company will experience in any financial quarter will not exceed $15,000 USD or an amount in the reporting currency. 22保值政策示例3-3Reportin

27、g Management will prepare quarterly reports for the Board on the net foreign currency exposure for balance sheets, anticipated cash flows, and speculative trading. These reports will include a summary of the results of the hedge trading over the quarter. Counterparty Risk (For a US example) US-based

28、 counterparties must have either a single A credit rating from a major credit rating agency or a minimum of $50 million in Excess Regulatory Capital, as defined in monthly reports to the Commodity Futures Trading Commission (CFTC). Management will implement an Forex Hedging Policy that will include

29、adequate procedures, limits, hedging timelines, authorized hedging products, hedging performance reporting guidelines, approval guidelines, exception polices, and internal controls. 23方案设计内容：保值品种及合约选择交割期选择保值方向保值数量（上下限）保值价格（区间）保证金需求结束交易的时间方案设计必须考虑企业的风险承受能力（现金流、报表影响等）设置最大风险量24效果评估目标法保值前设定明确目标，完成后看目标是否

30、实现；目标可以是相对的，也可以是绝对的;目标设定越具体越好;目标法的问题：对部分业务种类的可操作性不高; 内在的缺陷;结果法能实现利润的保值即为好的保值；实现的利润越多，保值效果越好;结果法的问题：利润并不等同于操作的规范性；利润可能会掩盖一些潜在的问题26内容套期保值概念套期保值策略与流程套期保值管理套期保值风险27优化决策制度，避免决策风险保值政策对企业保值的目标和原则做出规定。保值计划企业每年应制定年度套期保值计划。套期保值计划中明确拟保值的现货品种、计划数量，拟选择的期货品种、计划数量和交易方向。保值方案在保值交易开始前，企业应根据套期保值计划和现货交易具体情况制定保值方案，任何期货交易都必须在保值方案得到批准后方可进行。29规范交易流程，防范操作风险交易人员按照保值方案选择具体时机对外下达指令并完成交易，风险管理人员对交易情况进行监督，结算人员对完成的交易进行核对、记录和确认。建立严格的交易流程，减少错单的出现。Coldelco的损失Juan Pablo Davila，声称他在1993年9月将卖出的指令当成买入当他发现错误时已损失4000万美元他试图通过交易来挽回损失，结果损失