套期保值策略與風險管理課件

1、套期保值策略與風險管理自我介紹高曉宇，現(xiàn)任五礦有色金屬股份有限公司副總經(jīng)理。1993年畢業(yè)于中國人民大學，獲得經(jīng)濟學碩士學位。工作經(jīng)歷包括中國有色金屬進出口總公司、中國有色金屬工業(yè)貿易集團公司，先后就職于期貨部和風險管理部等部門。在有色金屬貿易及風險管理方面有十幾年工作經(jīng)驗。2內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險3MG的案例MGRMMG的美國子公司在能源衍生品交易中遭受巨大損失1993年12月，MG報告其美國子公司損失超過10億美元MG董事會解雇了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MGRM的保值過程19921993

2、年間與客戶簽定協(xié)議按照固定價格供應510年的汽油和取暖油，價格高于當時的現(xiàn)貨價35美元，總量為1.6億桶?？蛻粼诮灰姿斣掠蛢r高于合同價格時可以終止合同，并得到差價的一半與未交付數(shù)量相乘的金額。收購一家煉油廠49股權，并買斷其全部生產能力采取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市場建倉油價下跌，不斷增加的Margin Call造成資金鏈斷裂4MG的案例幾個思考題是保值還是投機？（到期時間的不對應）1：1的保值量合適嗎？堆倉后移的策略正確嗎？（流動性、市場看法、客戶選擇權）保證金足夠嗎？交易對手可靠嗎？（靶子效應）風險都預計到了嗎？（Roll

3、over,Funding,Credit）董事會的平倉決定正確嗎？6套期保值定義傳統(tǒng)的保值定義以回避現(xiàn)貨價格風險為目的的期貨交易行為，基本原則包括：“方向相反”“種類相同或相關”“數(shù)量相等”“月份相同或相近”“同步平倉”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象分類公允價值保值（Fair Value Hedge），是指對已確認資產或負債、尚未確認的確定承諾，或該資產或負債、尚未確認的確定承諾中可辨認部分的公允價值變動風險進行的套期。 現(xiàn)金流量保值（Cash Flow Hedge），是指對現(xiàn)金流量變動風險進行的套期。該類現(xiàn)金流量變動源于與已確認資產或負債、很可能

4、發(fā)生的預期交易有關的某類特定風險，且將影響企業(yè)的損益。 境外經(jīng)營凈投資套期（Net Investment Hedge），是指對境外經(jīng)營凈投資外匯風險進行的套期。境外經(jīng)營凈投資，是指企業(yè)在境外經(jīng)營凈資產中的權益份額。按保值目的分類對沖保值（Offset）/鎖價保值（Price Fix）9保值還是投機？按照傳統(tǒng)標準衡量企業(yè)保值行為存在的問題企業(yè)的實際情況與理論標準間的沖突合理的保值操作有可能被認定為非保值行為廣義的保值企業(yè)利用金融工具對某種風險進行全部或部分對沖的行為為企業(yè)保值提供相對寬松的環(huán)境及操作標準；10保值還是不保值？企業(yè)是否保值的動機擁有多樣化產品的企業(yè)傾向不保值沒有生存危機的企業(yè)傾向不

5、保值負債水平高且需要進一步融資的企業(yè)傾向保值行業(yè)習慣管理者自身利益（薪酬、職位等）與可控風險直接掛鉤的企業(yè)傾向保值對代理成本問題比較關注的企業(yè)傾向保值管理者偏好11內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險12套期保值策略針對具體現(xiàn)貨貿易的保值對于一個從采購到銷售的完整貿易過程，保值策略可以形成多種組合：采購和銷售保值同時建倉，頭寸結構表現(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，只進行銷售保值不做銷售保值，只進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條款、市場趨勢判斷等因素13套期保值策略針對企業(yè)總體風險的保值統(tǒng)

6、計一段時間內企業(yè)在某商品上的總體風險量，如企業(yè)一年的產量或者消費量，然后按照一定的保值比例通過期貨市場進行保值，控制成本或者鎖定收入。目的是穩(wěn)定企業(yè)的經(jīng)營業(yè)績，避免隨商品價格波動出現(xiàn)大幅波動，特別是針對可能出現(xiàn)的危及企業(yè)生存的不利價格波動提供保護，幫助企業(yè)渡過困難時期。著眼于企業(yè)的總體風險，保值安排并不明確與具體的購銷合同對應，而是服務于企業(yè)管理整體風險的戰(zhàn)略目的。在生產和消費企業(yè)中比較多見。 14套期保值流程風險分析保值政策方案設計實施、監(jiān)控、優(yōu)化評估與改進16風險分析總風險與剩余風險銅冶煉企業(yè)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方案設計內容：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）保值價格（區(qū)間）保證金需求結束交易的時間方案設計必須考慮企業(yè)的風險承受能力（現(xiàn)金流、報表影響等）設置最大風險量24效果評估目標法保值前設定明確目標，完成后看目標是否

30、實現(xiàn)；目標可以是相對的，也可以是絕對的;目標設定越具體越好;目標法的問題：對部分業(yè)務種類的可操作性不高; 內在的缺陷;結果法能實現(xiàn)利潤的保值即為好的保值；實現(xiàn)的利潤越多，保值效果越好;結果法的問題：利潤并不等同于操作的規(guī)范性；利潤可能會掩蓋一些潛在的問題26內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險27優(yōu)化決策制度，避免決策風險保值政策對企業(yè)保值的目標和原則做出規(guī)定。保值計劃企業(yè)每年應制定年度套期保值計劃。套期保值計劃中明確擬保值的現(xiàn)貨品種、計劃數(shù)量，擬選擇的期貨品種、計劃數(shù)量和交易方向。保值方案在保值交易開始前，企業(yè)應根據(jù)套期保值計劃和現(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后方可進行。29規(guī)范交易流程，防范操作風險交易人員按照保值方案選擇具體時機對外下達指令并完成交易，風險管理人員對交易情況進行監(jiān)督，結算人員對完成的交易進行核對、記錄和確認。建立嚴格的交易流程，減少錯單的出現(xiàn)。Coldelco的損失Juan Pablo Davila，聲稱他在1993年9月將賣出的指令當成買入當他發(fā)現(xiàn)錯誤時已損失4000萬美元他試圖通過交易來挽回損失，結果損失