钢铁企业套期保值的定位和策略中英文
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-0128）
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，盈利个点
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 Enterprises Shi Shengjiang Defeng Futures Co., Ltd.
May of 2011
I The three phase of the hedging 1. Traditional hedging concept
The 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 hedge
Categories of Commodities are homological;
Quantities of Commodities are homological;
Same month (or close)
Reversed transaction directions
The limitation of traditional hedging
The 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 enterprises
The limitation of traditional hedging
Only 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 ascertained
The costs of raw materials and etc are ascertained
The goal profit margin is definite
Not obtain opportunity profit
The futures price accords with the expectation judgment
2. Basis chasing profits theory
Holbrooke 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 hedging
It's not the speculation for prices, but is the speculation for basis.
Futures prices
Spot price
When 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 value
Whatever 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 don't proceed.
Advantage: initiative basis chasing the profits, lock the higher operating profits
Shortage: loss the hedge opportunities when the basis was not good, can't 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 city
Some steel company in north sale the hedge in winter storage,
initial mean range was -798, and close position average basis was , profit was 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 theory
The 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 control
Net position= risk exposure= net position of cash+ net position of futures
Net position of Cash= stock-order
Net position of futures= long position-nominal
When 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 correlative
The quantities of commodities are equal net position control of commodities quantities
Same month (or close) the equitable extension of contract month
Reversed transaction directions
The traditional hedging
The new type of hedging
Attention
The core principle of the hedging
--transaction reverse principle
If 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 isn't hedging, at this time there would be the exposure, we also call it " single leg" phenomenon.
The predominance of the modern hedging
The hedging in new situations
Theory expansion and deepening
Segmentation and quantifying of the models
The establishment of the hedging mechanism
Tailor made for different enterprises
The powerful research and developing platform
II The main points of modern hedging strategies
1. The three principles of modern hedging strategy
1) 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 enterprise's 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 hedging
Ascertain the risks
Rise risk
Slip risk
Time cycle
Measure the risks
Size of risks
Bearable or not
Making the plan
Hedge or not
How much should we hedge
How should we hedge
Continuative control
A - Ascertain the enterprise risks from industry chains
Hedge the rise risks of raw materials Hedge rise
Mine and Smelt factory Middleman Consumer
Hedge slip risks Hedge product slip risks Hedge stock
risks Hedge stock slip risks
B - Ascertain the enterprise risk sources from operation links
Purchase links Sale links Stock links
Risks 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 enterprises
Manufacture 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
slips
3. The hedging opportunity selection
Market situation analysis: the supply and demand contradiction metastasis and the change of price trend
Enterprise management analysis: market prices of futures are corresponding to the equitable profits of enterprise purchase, sales and stocks
Basis analysis: try our best to choose the good opportunities of basis and reduce the hedge proportions when the basis isn't good.
4. The hedging flow
Enterprise management goal The hedging decision
The quantities of items which should be hedged Contract selection The necessary fund
The specific of futures market Concrete hedging operations The correlative rules of futures market
Manufacture plan Spot quantity/ stocks Trade plan Trade contract
Future price predication Risks analysis The bearing capacities of risks
III System design of the hedging
The elements of successful hedging
Making the hedging plan
Rational organization framework
Effective system guarantee
Establish the hedging appraisal system which is suitable to enterprise itself
1. The overall principle of organization framework
The overall principle of futures trading which the enterprises participate is that divide the transaction and risks supervision control, that is set the special department and let them deal with the decision making and execution of futures trading separately, at the same time let another department( usually should be finance department ) response for the risks supervision and report.
2. Rigorous risks control system
Set up futures trading leadership group in group headquarters
Company participate futures trading control ordinances
The personnel management ordinance of company futures trading
First layer risk management
The finance department supervises and controls the risks from finance
Check the futures trading records of holding position everyday Finance supervision
The second layer risk management
Futures trading room control risks by themselves
Futures market analysis group analyze the company futures position risks at regular intervals
, operation strategies and the implement situations of stock
dealer group
The third layer risk management
3. Establish and perfect the rules and regulations
Interior decision execution program
Risks control system
Report system
Financial management system
Information disclosure system
4. Establish the hedging appraisal system which is suitable to the enterprise
Business appraisal standard:
- If the hedging is able to achieve the operation goal
Market appraisal standard:
- If the hedging is able to achieve higher performance than spot The features suitable for enterprise itself
Thank you!