套期保值管理策略

1、自我介紹高曉宇，現(xiàn)任五礦有色金屬股份副總經(jīng)理。工作經(jīng)歷包括中國(guó)有色金屬進(jìn)出口總公司、中國(guó)有色金屬工業(yè)貿(mào)易集團(tuán)公司，先后就職于期貨部和風(fēng)險(xiǎn)管理部等部門。在有色金屬貿(mào)易及風(fēng)險(xiǎn)管理方面有十幾年工作經(jīng)驗(yàn)。1內(nèi)容套期保值概念套期保值策略與流程套期保值管理套期保值風(fēng)險(xiǎn)2MG的案例MGRMMG的美國(guó)子公司在能源衍生品交易中遭受巨大損失1993年12月，MG報(bào)告其美國(guó)子公司損失超過10億美元MG董事會(huì)解雇了MGRM的管理層并命令將剩余頭寸全部平倉與120家銀行協(xié)商取得19億美元的援救貸款，渡過危機(jī)MGRM的保值過程19921993年間與客戶簽定協(xié)議按照固定價(jià)格供給510年的汽油和取暖油，價(jià)格高于當(dāng)時(shí)的現(xiàn)貨價(jià)3

2、5美元，總量為1.6億桶。客戶在交易所當(dāng)月油價(jià)高于合同價(jià)格時(shí)可以終止合同，并得到差價(jià)的一半與未交付數(shù)量相乘的金額。收購一家煉油廠49股權(quán)，并買斷其全部生產(chǎn)能力采取1：1保值和堆倉后移保值策略，1/3在NYMEX建倉原油、汽油、取暖油，2/3在OTC市場(chǎng)建倉油價(jià)下跌，不斷增加的Margin Call造成資金鏈斷裂3油價(jià)走勢(shì)MG的案例幾個(gè)思考題是保值還是投機(jī)？到期時(shí)間的不對(duì)應(yīng)1：1的保值量適宜嗎？堆倉后移的策略正確嗎？流動(dòng)性、市場(chǎng)看法、客戶選擇權(quán)保證金足夠嗎？交易對(duì)手可靠嗎？靶子效應(yīng)風(fēng)險(xiǎn)都預(yù)計(jì)到了嗎？Rollover,Funding,Credit董事會(huì)的平倉決定正確嗎？5套期保值定義傳統(tǒng)的保值定義

3、以回避現(xiàn)貨價(jià)格風(fēng)險(xiǎn)為目的的期貨交易行為，根本原那么包括：“方向相反“種類相同或相關(guān)“數(shù)量相等“月份相同或相近“同步平倉6套期保值定義會(huì)計(jì)準(zhǔn)那么中的保值定義財(cái)政部制定?企業(yè)會(huì)計(jì)準(zhǔn)那么第24號(hào)套期保值?中對(duì)套期保值的定義是：指企業(yè)為躲避外匯風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)、商品價(jià)格風(fēng)險(xiǎn)、股票價(jià)格風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)等，指定一項(xiàng)或一項(xiàng)以上套期工具，使套期工具的公允價(jià)值或現(xiàn)金流量變動(dòng)，預(yù)期抵銷被套期工程全部或局部公允價(jià)值或現(xiàn)金流變動(dòng)。在會(huì)計(jì)準(zhǔn)那么中，要求對(duì)保值的效果進(jìn)行測(cè)試，稱為有效性測(cè)試Effectiveness Test。套期有效性是指套期工具的公允價(jià)值或現(xiàn)金流變動(dòng)能夠抵銷被套期風(fēng)險(xiǎn)引起的被套期工程公允價(jià)值或現(xiàn)金流變動(dòng)的

4、程度。準(zhǔn)那么規(guī)定抵銷結(jié)果在80-125的范圍內(nèi)。通過有效性測(cè)試的套期保值稱為有效套期。7套期保值分類按買賣方向分類買入保值/賣出保值采購保值/銷售保值按被保值的對(duì)象分類公允價(jià)值保值Fair Value Hedge，是指對(duì)已確認(rèn)資產(chǎn)或負(fù)債、尚未確認(rèn)確實(shí)定承諾，或該資產(chǎn)或負(fù)債、尚未確認(rèn)確實(shí)定承諾中可識(shí)別局部的公允價(jià)值變動(dòng)風(fēng)險(xiǎn)進(jìn)行的套期。 現(xiàn)金流量保值Cash Flow Hedge，是指對(duì)現(xiàn)金流量變動(dòng)風(fēng)險(xiǎn)進(jìn)行的套期。該類現(xiàn)金流量變動(dòng)源于與已確認(rèn)資產(chǎn)或負(fù)債、很可能發(fā)生的預(yù)期交易有關(guān)的某類特定風(fēng)險(xiǎn)，且將影響企業(yè)的損益。 境外經(jīng)營(yíng)凈投資套期Net Investment Hedge，是指對(duì)境外經(jīng)營(yíng)凈投資外匯

5、風(fēng)險(xiǎn)進(jìn)行的套期。境外經(jīng)營(yíng)凈投資，是指企業(yè)在境外經(jīng)營(yíng)凈資產(chǎn)中的權(quán)益份額。按保值目的分類對(duì)沖保值Offset/鎖價(jià)保值Price Fix8保值還是投機(jī)？按照傳統(tǒng)標(biāo)準(zhǔn)衡量企業(yè)保值行為存在的問題企業(yè)的實(shí)際情況與理論標(biāo)準(zhǔn)間的沖突合理的保值操作有可能被認(rèn)定為非保值行為廣義的保值企業(yè)利用金融工具對(duì)某種風(fēng)險(xiǎn)進(jìn)行全部或局部對(duì)沖的行為為企業(yè)保值提供相對(duì)寬松的環(huán)境及操作標(biāo)準(zhǔn)；9保值還是不保值？企業(yè)是否保值的動(dòng)機(jī)擁有多樣化產(chǎn)品的企業(yè)傾向不保值沒有生存危機(jī)的企業(yè)傾向不保值負(fù)債水平高且需要進(jìn)一步融資的企業(yè)傾向保值行業(yè)習(xí)慣管理者自身利益薪酬、職位等與可控風(fēng)險(xiǎn)直接掛鉤的企業(yè)傾向保值對(duì)代理本錢問題比較關(guān)注的企業(yè)傾向保值管理者偏

6、好10內(nèi)容套期保值概念套期保值策略與流程套期保值管理套期保值風(fēng)險(xiǎn)11套期保值策略針對(duì)具表達(dá)貨貿(mào)易的保值對(duì)于一個(gè)從采購到銷售的完整貿(mào)易過程，保值策略可以形成多種組合：采購和銷售保值同時(shí)建倉，頭寸結(jié)構(gòu)表現(xiàn)為跨市或者跨期采購保值建倉在前，銷售保值建倉在后銷售保值建倉在前，采購保值建倉在后不做采購保值，只進(jìn)行銷售保值不做銷售保值，只進(jìn)行采購保值具體策略組合的采用取決于采購和銷售的定價(jià)條款、市場(chǎng)趨勢(shì)判斷等因素12套期保值策略針對(duì)企業(yè)總體風(fēng)險(xiǎn)的保值統(tǒng)計(jì)一段時(shí)間內(nèi)企業(yè)在某商品上的總體風(fēng)險(xiǎn)量，如企業(yè)一年的產(chǎn)量或者消費(fèi)量，然后按照一定的保值比例通過期貨市場(chǎng)進(jìn)行保值，控制本錢或者鎖定收入。目的是穩(wěn)定企業(yè)的經(jīng)營(yíng)業(yè)績(jī)

7、，防止隨商品價(jià)格波動(dòng)出現(xiàn)大幅波動(dòng)，特別是針對(duì)可能出現(xiàn)的危及企業(yè)生存的不利價(jià)格波動(dòng)提供保護(hù)，幫助企業(yè)渡過困難時(shí)期。著眼于企業(yè)的總體風(fēng)險(xiǎn)，保值安排并不明確與具體的購銷合同對(duì)應(yīng)，而是效勞于企業(yè)管理整體風(fēng)險(xiǎn)的戰(zhàn)略目的。在生產(chǎn)和消費(fèi)企業(yè)中比較多見。 13套期保值策略針對(duì)具體資源開發(fā)工程的保值資源開發(fā)工程的主要風(fēng)險(xiǎn)之一來自產(chǎn)品價(jià)格波動(dòng)，在市場(chǎng)時(shí)機(jī)有利時(shí)，利用期貨市場(chǎng)進(jìn)行套期保值控制本錢、鎖定收入，對(duì)于控制工程風(fēng)險(xiǎn)、保障工程成功都有積極意義。這種策略在資源開發(fā)工程中比較普遍，企業(yè)可以通過保值安排有效降低工程風(fēng)險(xiǎn)，改善融資條件，穩(wěn)定投資回報(bào)。 14套期保值流程風(fēng)險(xiǎn)分析保值政策方案設(shè)計(jì)實(shí)施、監(jiān)控、優(yōu)化評(píng)估與改進(jìn)

8、15風(fēng)險(xiǎn)分析總風(fēng)險(xiǎn)與剩余風(fēng)險(xiǎn)銅冶煉企業(yè)的例子航空公司的例子16保值政策保值政策是企業(yè)保值工作的指導(dǎo)方針，對(duì)企業(yè)保值的目標(biāo)和原那么作出規(guī)定。制定保值政策需要考慮多種因素：風(fēng)險(xiǎn)分析，收入、本錢分析，風(fēng)險(xiǎn)是否可以轉(zhuǎn)移？風(fēng)險(xiǎn)偏好、保值的本錢與收益、財(cái)務(wù)目標(biāo)，保值還是不保值？可用于保值的資金規(guī)模保值政策的內(nèi)容：保值比例上下限保值時(shí)間跨度保值價(jià)格確定的原那么可選擇的期貨交易工具保值政策應(yīng)經(jīng)過企業(yè)高層決策者批準(zhǔn)17保值政策例如1HedgingThe Groups policy is to remain unhedged to the gold price. However, hedges are somet

9、imes 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 time to time establish currency financial instruments to protect

10、 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 IFRS 39, except for the debt portion of the interest rate swa

11、p which has been hedge accounted, and accordingly the positions have been marked to market.Gold Fields Limited 18保值政策例如2NIE Energy Supply 30 April 2021 Hedging Policy Statement 3 Hedging Policy In deciding whether a hedge should be purchased NIE Energy Supply will need to consider the impact on both

12、 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, if a hedge reduces variability without affecting the expecte

13、d 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 doing so it will be guided by its view of its customers prefere

14、nces. 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 the price level, NIE Energy will consider the likely variabi

15、lity 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 will be based on its evaluation of projections of pool price

16、s 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 to which the price level, economic conditions and competitive

17、activity may potentially affect the level of forecast customer demand. In hedging costs related to tariffs for the 2021-10 year, NIE Energy Supply is conscious of both the current lack of sophistication of products and also the limited volumes of hedges available to do so. It will not be possible to

18、 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 instrument and that of the hedged item (Sterling pool cost). Whe

19、re NIE Energy is exposed to currency risk it may hedge some or all of the associated exposure using an appropriate financial instrument. 19保值政策例如3-1Policy for Board ApprovalThis is a sample of a forex hedging policy with a mixture of targets and methods, to be approved by members of the Corporate Bo

20、ard. 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 been put in place to manage and monitor these risks and oppor

21、tunities. 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 unfavorable movement in the foreign currency exchange rate, which wou

22、ld 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 negative impact on the company. Speculative Risk: Management may bel

23、ieve 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 currency trading may be approved by the Board. 20保值政策例如3-2Poli

24、cies 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 exposure to foreign currencies for assets and liabilities on the b

25、alance 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. Anticipated Future Foreign Currency Cash Flows At minimum,

26、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 cash flow, on those occasions where the exposure exceeds at leas

27、t $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 certain costs are associated with speculative foreign currency

28、 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. 21保值政策例如3-3Reporting Management will prepare quarterly reports for the Board on

29、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 counterparties must have either a single A credit rating fro

30、m 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 adequate procedures, limits, hedging timelines, authorized he

31、dging products, hedging performance reporting guidelines, approval guidelines, exception polices, and internal controls. 22方案設(shè)計(jì)內(nèi)容：保值品種及合約選擇交割期選擇保值方向保值數(shù)量上下限保值價(jià)格區(qū)間保證金需求結(jié)束交易的時(shí)間方案設(shè)計(jì)必須考慮企業(yè)的風(fēng)險(xiǎn)承受能力現(xiàn)金流、報(bào)表影響等設(shè)置最大風(fēng)險(xiǎn)量23實(shí)施、監(jiān)控、優(yōu)化實(shí)施：一線人員的自由裁量權(quán)監(jiān)控：完善的報(bào)告體系優(yōu)化：根據(jù)市場(chǎng)情況對(duì)原有方案的必要調(diào)整和優(yōu)化24效果評(píng)估目標(biāo)法保值前設(shè)定明確目標(biāo)，完成后看目標(biāo)是否實(shí)現(xiàn)；目標(biāo)可以是相對(duì)的，

32、也可以是絕對(duì)的;目標(biāo)設(shè)定越具體越好;目標(biāo)法的問題：對(duì)局部業(yè)務(wù)種類的可操作性不高; 內(nèi)在的缺陷;結(jié)果法能實(shí)現(xiàn)利潤(rùn)的保值即為好的保值；實(shí)現(xiàn)的利潤(rùn)越多，保值效果越好;結(jié)果法的問題：利潤(rùn)并不等同于操作的標(biāo)準(zhǔn)性；利潤(rùn)可能會(huì)掩蓋一些潛在的問題25內(nèi)容套期保值概念套期保值策略與流程套期保值管理套期保值風(fēng)險(xiǎn)26構(gòu)建組織體系，授權(quán)別離、相互制衡一般可以按照高層決策者、前臺(tái)、中臺(tái)、后臺(tái)的分工進(jìn)行保值業(yè)務(wù)的組織。高層決策者對(duì)保值業(yè)務(wù)中重大問題進(jìn)行決策，包括：保值政策，重大保值方案，經(jīng)紀(jì)公司選擇，授權(quán)安排，風(fēng)險(xiǎn)事故處理前臺(tái)交易部門市場(chǎng)研究，保值方案設(shè)計(jì)，保值方案實(shí)施中臺(tái)風(fēng)險(xiǎn)管理部門經(jīng)紀(jì)公司評(píng)估與管理，保值方案審核，保值方案實(shí)施監(jiān)督，風(fēng)險(xiǎn)評(píng)估，風(fēng)險(xiǎn)報(bào)告后臺(tái)結(jié)算部門頭寸管理，現(xiàn)金流管理，檔案管理27優(yōu)化決策制度，防止決策風(fēng)險(xiǎn)保值政策對(duì)企業(yè)保值的目標(biāo)和原那么做出規(guī)定。保值方案企業(yè)每年應(yīng)制定年度套期保值方案。套期保值方案中明確擬保值的現(xiàn)貨品種、方案數(shù)量，擬選擇的期貨品種、方案數(shù)量和交易方向。保值方案在保值交易開始前，企業(yè)應(yīng)根據(jù)套期保值方案和現(xiàn)貨交易具體情況制定保值方案，任何期貨交易都必須在保值方案得到批準(zhǔn)前方可進(jìn)行。28標(biāo)準(zhǔn)交易流程，防范操作風(fēng)險(xiǎn)交易人員按照保值方案選擇具體時(shí)機(jī)對(duì)外下達(dá)指令并完成交易，風(fēng)險(xiǎn)管理人員對(duì)交易情況進(jìn)行監(jiān)督，結(jié)算人員對(duì)完成的交易進(jìn)行核對(duì)、記錄和確認(rèn)。建立嚴(yán)格的交易流程，減少錯(cuò)單