鋼鐵企業(yè)套期保值的定位與策略

1、鋼鐵企業(yè)套期保值的定位和策略德豐期貨公司 石生江2011年5月一、套期保值進展的三個時期1.傳統(tǒng)性套期保值概念套期保值，英文為hedge，即對沖之意，即指期現(xiàn)對沖。目前是大部分企業(yè)使用應(yīng)用的理論基礎(chǔ)，來源于凱恩斯和希格斯的理論，要緊是基于現(xiàn)貨市場和期貨市場相反的頭寸，來規(guī)避現(xiàn)貨市場的風(fēng)險，這是差不多的套期保值的定義 傳統(tǒng)型套期保值遵循的原則商品種類相同商品數(shù)量相等月份相同（相近）交易方向相反傳統(tǒng)型套期保值的局限性期貨與現(xiàn)貨數(shù)量相等原則難以實現(xiàn)期貨價格與現(xiàn)貨價格波動不一定完全一致，假如按照1:1的比例套期保值，并不能完全對沖風(fēng)險期貨與鮮活品種相同原則難以實現(xiàn)期貨市場品種相對有限，難以滿足不同企業(yè)

2、的需求傳統(tǒng)型套期保值的局限性只有在金融屬性不突出，期貨與現(xiàn)貨價格高度一致的理想化條件下，傳統(tǒng)型套期保值才能完全規(guī)避風(fēng)險。銷售收入確定原材料價格等各項成本確定目標(biāo)利潤率明確不獵取機會利潤期貨價格符合預(yù)期推斷2.基差逐利理論霍爾布魯克沃金(1895-1985)1962年，美國聞名的期貨理論家沃金提出了基差套期保值的理論，改變了人們關(guān)于套期保值的傳統(tǒng)認(rèn)識。套期保值不是直接對價格進行投機，而是對基差進行投機- PAGE 1 -期貨價格現(xiàn)貨價格價差擴大時，平倉了結(jié)。價差回歸時，平倉了結(jié)。期貨貼水，或小幅升水，則買進期貨保值期貨升水，且足夠大，則賣出期貨保值不管現(xiàn)貨價格高低，基差存在足夠利潤，如此一來，不

3、管現(xiàn)貨價格上升依舊下降，只要期現(xiàn)價差縮小即可獲利。差不多思路：將期貨市場當(dāng)做遠(yuǎn)期采購原料或銷售商品的第二市場，當(dāng)期貨價格比現(xiàn)貨價格更為有利則進行套期保值，否則不進行套期保值。優(yōu)點：主動基差逐利，鎖定較高的經(jīng)營利潤缺點：當(dāng)基差不利時，喪失套保機會，不能消除價格大幅波動帶來的經(jīng)營損失在基差不利的情況下，同樣需要采取保值措施規(guī)避風(fēng)險螺紋鋼主力合約與某市三級鋼檢尺價格基差 主力合約 HRB400 20mm：某市 檢尺北方某鋼鐵冬儲賣出套保，初始平均極差-798，平倉平均基差-245.5，盈利552.5個點10年4月中旬，期貨出現(xiàn)平水甚至貼水，依照基差逐利理論喪失一次套保機遇，無法回避期現(xiàn)價格暴跌風(fēng)險3

4、.現(xiàn)代套期保值理論現(xiàn)代套期保值理論由Johnson、Ederington較早提出，通過采納馬科維茨的組合投資理論來解釋套期保值概念，立即現(xiàn)貨市場和期貨市場的頭寸作為企業(yè)資產(chǎn)來看待，套期保值實際上是資產(chǎn)組合。該理論實際上是利用期貨市場的流淌性和價格敏感性，通過隨時調(diào)整期貨保值數(shù)量來合理地治理風(fēng)險，在合適的或可承受的風(fēng)險情況下獲得所對應(yīng)的最好利潤，即研究有效保值的操作方法。比如在牛市環(huán)境下，賣出保值就能夠減少賣出的規(guī)模，減少無效保值的量，依照市場情況，同意現(xiàn)貨有一定的風(fēng)險敞口。差不多思路：凈頭寸治理凈頭寸=風(fēng)險敞口=現(xiàn)貨凈頭寸+期貨凈頭寸現(xiàn)貨凈頭寸=庫存-訂單期貨凈頭寸=多頭-空頭在大勢為牛市中，

5、賣出保值的數(shù)量應(yīng)小于其當(dāng)時的庫存量或產(chǎn)量，使企業(yè)的凈頭寸為現(xiàn)貨凈多；而買入保值的數(shù)量應(yīng)大于其打算采購量，即企業(yè)的凈頭寸為期貨凈多。在大勢為熊市中，賣出保值的數(shù)量應(yīng)大于其當(dāng)時的庫存量或產(chǎn)量，使企業(yè)的凈頭寸為期貨凈空；而買入保值的數(shù)量應(yīng)小于其打算采購量，即企業(yè)的凈頭寸為現(xiàn)貨凈空?，F(xiàn)代保值對傳統(tǒng)保值理論原則的拓展商品種類相同 商品種類相同或相關(guān)商品數(shù)量相等 商品數(shù)量凈頭寸治理月份相同（相近）合約月份合理展期交易方向相反 交易方向相反傳統(tǒng)型套期保值新型套期保值注意套期保值的核心原則交易相反原則假如企業(yè)的期貨凈頭寸與現(xiàn)貨頭寸的方向相同，或者期貨凈頭寸超過了對沖全部現(xiàn)貨風(fēng)險所需要的期貨頭寸，確實是投機，而

6、不是套期保值，現(xiàn)在就會出現(xiàn)風(fēng)險敞口，也確實是“單腿”現(xiàn)象?，F(xiàn)代套期保值的優(yōu)勢新形勢下的套期保值理論擴充及深化模型精細(xì)化數(shù)量化套期保值機制的建立針對不同企業(yè)量身定做基于強大的研發(fā)平臺二、現(xiàn)代套期保值策略的要點1.現(xiàn)代套期保值策略的三項原則1、大勢邏輯原則。對當(dāng)前市場運行趨勢要有正確的推斷，保值的邏輯也要正確。 2、凈頭寸原則。依照大勢調(diào)整風(fēng)險敞口大小，通過調(diào)整期貨現(xiàn)貨凈頭寸來動態(tài)治理企業(yè)承擔(dān)的風(fēng)險和預(yù)期收益。3、提早量原則。在大勢推斷的基礎(chǔ)上，購銷量、庫存量隨之進行變化，進而在期貨保值上也進行相應(yīng)調(diào)整。2.風(fēng)險衡量是套期保值的關(guān)鍵確定風(fēng)險上漲風(fēng)險下跌風(fēng)險時刻周期衡量風(fēng)險風(fēng)險大小能否承受制定方案保

7、不保保多少如何保后續(xù)操縱A-從產(chǎn)業(yè)鏈上確定企業(yè)風(fēng)險對沖原料上漲風(fēng)險 對沖上漲礦山 冶煉廠 中間商 消費商對沖下跌風(fēng)險 對沖產(chǎn)品下跌風(fēng)險 對沖庫存風(fēng)險 對沖庫存下跌風(fēng)險B-從經(jīng)營環(huán)節(jié)確定企業(yè)風(fēng)險源采購環(huán)節(jié) 銷售環(huán)節(jié) 庫存環(huán)節(jié)價格上漲風(fēng)險 價格下跌風(fēng)險 價格下跌風(fēng)險買期套保 賣期套保 賣期套保C-不同企業(yè)如何確定風(fēng)險敞口生產(chǎn)企業(yè)：現(xiàn)貨凈頭寸=產(chǎn)能+庫存-銷售訂單，其中產(chǎn)能是核心，上漲時需對沖原料風(fēng)險，下跌時需鎖定產(chǎn)能價值貿(mào)易企業(yè)：現(xiàn)貨凈頭寸=采購訂單+庫存-銷售訂單，其中庫存是核心，上漲時需操縱進貨成本，下跌時需鎖定庫存價值，平常可隨時進行基差套利加工企業(yè)：現(xiàn)貨凈頭寸=庫存+采購訂單-采購需求，其

8、中采購需求是核心，上漲時需對沖原料風(fēng)險，下跌時需鎖定加工利潤3.套期保值時機的選擇市場形勢分析：供求矛盾轉(zhuǎn)移和價格趨勢的變化企業(yè)經(jīng)營分析：期貨盤面價格對應(yīng)企業(yè)采購、銷售和庫存有合理利潤基差分析：盡量選擇基差有利時機，基差不利時可適當(dāng)減少保值比例4.套期保值流程企業(yè)經(jīng)營目標(biāo) 套期保值決策 被套保項目的數(shù)量 合約選擇 所需資金量期貨市場動態(tài) 具體的套期保值操作 期貨市場相關(guān)規(guī)則生產(chǎn)打算 現(xiàn)貨數(shù)量/庫存量 貿(mào)易方案 貿(mào)易合同以后價格預(yù)測 風(fēng)險分析 風(fēng)險承受力三、套期保值的制度設(shè)計成功套期保值的要素制定套期保值打算合理的組織架構(gòu)有效的制度保證建立適合企業(yè)自身的套期保值評價體系1.組織架構(gòu)總體原則 企業(yè)

9、參與期貨交易的總體原則是決策、交易與風(fēng)險監(jiān)管分開，即設(shè)立專門的部門分不從事期貨交易的決策和執(zhí)行，同時由另一個部門（通常為財務(wù)部門）負(fù)責(zé)風(fēng)險監(jiān)督和報告。2.嚴(yán)格的風(fēng)險操縱制度集團總部成立期貨交易領(lǐng)導(dǎo)小組公司參與期貨交易治理條例公司期貨交易人員治理條例第一層風(fēng)險治理財務(wù)處從財務(wù)方面監(jiān)督操縱風(fēng)險每天檢查期貨交易的記錄持倉財務(wù)監(jiān)控第二層風(fēng)險治理期貨交易室自身操縱風(fēng)險期貨行情分析小組定期分析公司期貨頭寸風(fēng)險、運作策略以及操盤小組實施情況第三層風(fēng)險治理3.建立健全各項制度內(nèi)部決策執(zhí)行程序風(fēng)險操縱制度報告制度財務(wù)治理制度信息披露制度4.建立適合企業(yè)的套期保值評價體系經(jīng)營評價標(biāo)準(zhǔn):套期保值能否實現(xiàn)預(yù)期的經(jīng)營目

10、標(biāo)市場評價標(biāo)準(zhǔn)：套期保值能否實現(xiàn)比單純現(xiàn)貨更高的績效適合自身企業(yè)的- PAGE 5 -感謝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,

11、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 princi

12、ples 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 pric

13、es 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 t

14、o 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 ascertained

15、The 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 Hed

16、ging 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

17、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 lon

18、g 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

19、 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 mai

20、n 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 mi

21、ddle 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 ex

22、plained 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

23、 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

24、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= l

25、ong 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 t

26、han 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; b

27、ut 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 homologic

28、al 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

29、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 wou

30、ld 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 a

31、nd 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

32、 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, the

33、n 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

34、 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 linksRis

35、ks 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

36、 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 c

37、ould 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 s

38、electionMarket 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 o

39、pportunities 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 correl

40、ative 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

41、 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 de