鋼鐵企業(yè)套期保值的定位和策略中英文

鋼鐵企業(yè)套期保值的定位和策略德豐期貨公司石生江2023年5月一、套期保值發(fā)展的三個階段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，主要是基于現(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，這是基本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）搏交易方向相乏反填傳統(tǒng)型套期岸保值的局限器性究期貨與現(xiàn)貨艙數(shù)量相等原陰則難以實現(xiàn)釀期貨價格與裳現(xiàn)貨價格波拾動不一定完漲全一致，如俯果按照1:家1濃的比例套期債保值，并不站能完全對沖槍風(fēng)險錦期貨與鮮活綢品種相同原五則難以實現(xiàn)償期貨市場品隨種相對有限雜，難以滿足霉不同企業(yè)的瑞需求勻傳統(tǒng)型套期歪保值的局限兩性存只有在金融澆屬性不突出節(jié)，期貨與現(xiàn)驕貨價格高度慚一致的理想循化條件下，牙傳統(tǒng)型套期精保值才能完庭全規(guī)避風(fēng)險爬。焦銷售收入確只定且原材料價格嚇等各項成本警確定幟目標(biāo)利潤率轉(zhuǎn)明確旗不獲取機(jī)會角利潤豬期貨價格符摧合預(yù)期判斷撿2.嫌基差逐利理蜓論孫霍爾布魯克持·誼沃金啊(1895幅-1985濾)鑒1962年慨，美國著名逃的期貨理論堵家沃金提出鞏了基差套期蝶保值的理論盯，改變了人仿們對于套期箭保值的傳統(tǒng)存認(rèn)識。套期保值蜜不是直接對棉價格進(jìn)行投周機(jī)，而是對側(cè)基差進(jìn)行投句機(jī)歇懸-PAGE像1撕-期貨價格現(xiàn)貨價格掙價差擴(kuò)大時京，平倉了結(jié)脾。者價差回歸時晝，平倉了結(jié)尾。鳴期貨貼水，鳴或小幅升水乘，則買進(jìn)期耽貨保值希期貨升水，家且足夠大，院則賣出期貨斧保值駐無論現(xiàn)貨價攤格高低，基祥差存在足夠影利潤，如此池一來，無論寇現(xiàn)貨價格上浮升還是下降考，只要期現(xiàn)露價差縮小即鼻可獲利。掘基本思路：運(yùn)將期貨市場磨當(dāng)做遠(yuǎn)期采木購原料或銷怎售商品的第晝二市場，當(dāng)悉期貨價格比餓現(xiàn)貨價格更托為有利則進(jìn)波行套期保值果，否則不進(jìn)答行套期保值末。獄優(yōu)點：爬主動基差逐愿利，鎖定較積高的經(jīng)營利窄潤棉缺點：威當(dāng)基差不利讓時，喪失套春保機(jī)會，不拔能消除價格相大幅波動帶曲來的經(jīng)營損抽失酷在基差不利跡的情況下，灰同樣需要采完取保值措施街規(guī)避風(fēng)險豆螺紋鋼主力么合約與某市濃三級鋼檢尺傳價格腳基差主力缸合約HR全B400摩20mm：庸某市檢尺化北方某鋼鐵欄冬儲賣出套紋保，初始平做均極差-7沒98，平倉衰平均基差-書245.5曾，盈利55高2.5個點蕉10年4月困中旬，期貨往出現(xiàn)平水甚液至貼水，根鏡據(jù)基差逐利嶄理論喪失一頃次套保機(jī)遇拾，無法回避鋒期現(xiàn)價格暴港跌風(fēng)險經(jīng)3.篩現(xiàn)代套期保槍值理論?，F(xiàn)代套期保淋值理論由J傍ohnso蜓n、Ede利ringt般on較早提狹出，通過采逐用馬科維茨天的組合投資壞理論來解釋震套期保值概跟念，即將現(xiàn)陜貨市場和期通貨市場的頭弱寸作為企業(yè)番資產(chǎn)來看待寫，套期保值顛實際上是資憐產(chǎn)組合。她該理論實際謀上是利用期錄貨市場的流斃動性和價格蜂敏感性，通自過隨時調(diào)整少期貨保值數(shù)準(zhǔn)量來合理地父管理風(fēng)險，牽在合適的或煉可承受的風(fēng)仗險情況下獲誠得所對應(yīng)的她最好利潤，誓即研究有效則保值的操作抓方法。比如袋在牛市環(huán)境國下，賣出保拜值就可以減水少賣出的規(guī)然模，減少無短效保值的量冒，根據(jù)市場唯情況，允許阿現(xiàn)貨有一定串的風(fēng)險敞口咐?？椿舅悸罚菏鍍纛^寸管理司凈頭寸汗=故風(fēng)險敞口賴=巡現(xiàn)貨凈頭寸駕+恥期貨凈頭寸疼現(xiàn)貨凈頭寸疏=門庫存逢-你訂單督期貨凈頭寸蹲=更多頭親-歉空頭艙在大勢為牛斗市中，賣出勾保值的數(shù)量邊應(yīng)小于其當(dāng)孟時的庫存量央或產(chǎn)量，使拌企業(yè)的凈頭游寸為現(xiàn)貨凈票多；而買入腎保值的數(shù)量免應(yīng)大于其計行劃采購量，進(jìn)即企業(yè)的凈納頭寸為期貨堵凈多。犯在大勢為熊嚼市中，賣出防保值的數(shù)量荒應(yīng)大于其當(dāng)數(shù)時的庫存量蠻或產(chǎn)量，使勁企業(yè)的凈頭弓寸為期貨凈柳空；而買入沃保值的數(shù)量及應(yīng)小于其計沉劃采購量，葛即企業(yè)的凈霸頭寸為現(xiàn)貨培凈空。陡現(xiàn)代保值對暈傳統(tǒng)保值理旁論原則的拓部展勢商品種類相師同騰商品種類相布同或相關(guān)歷商品數(shù)量相勝等北商品數(shù)量凈努頭寸管理吃月份相同（教相近）合約市月份合理展芝期醉交易方向相坑反墨交易方向相莫反淋傳統(tǒng)型套期熔保值壁新型套期保趣值注意抖套期保值的桐核心原則枕——滔交易相反原證則聚如果企業(yè)的若期貨凈頭寸體與現(xiàn)貨頭寸俊的方向相同擾，或者期貨削凈頭寸超過娘了對沖全部客現(xiàn)貨風(fēng)險所癢需要的期貨糖頭寸，就是信投機(jī)，而不怨是套期保值棒，此時就會政出現(xiàn)風(fēng)險敞芳口，也就是愉“儉單腿濫”佩現(xiàn)象。理現(xiàn)代套期保臭值的優(yōu)勢種新形勢下的表套期保值反理論擴(kuò)充及邀深化濾模型精細(xì)化任數(shù)量化傾套期保值機(jī)桶制的建立肆針對不同企糊業(yè)量身定做盯基于強(qiáng)大的慮研發(fā)平臺壯二、現(xiàn)代套饅期保值策略擦的要點寬1.源現(xiàn)代套期保字值策略的三川項原則狂1低、大勢邏輯泡原則。對當(dāng)鋼前市場運(yùn)行膨趨勢要有正且確的判斷，槳保值的邏輯慎也要正確。晴2帝、凈頭寸原沾則。根據(jù)大孔勢調(diào)整風(fēng)險害敞口大小，床通過調(diào)整期徑貨現(xiàn)貨凈頭腹寸來動態(tài)管拉理企業(yè)承擔(dān)螞的風(fēng)險和預(yù)癢期收益。水3舉、提前量原黃則。在大勢忌判斷的基礎(chǔ)灰上，購銷量機(jī)、庫存量隨測之進(jìn)行變化新，進(jìn)而在期央貨保值上也室進(jìn)行相應(yīng)調(diào)扔整。組2.風(fēng)險衡甘量是套期保重值的關(guān)鍵確定風(fēng)險上漲風(fēng)險下跌風(fēng)險時間周期衡量風(fēng)險風(fēng)險大小能否承受制定方案保不保保多少如何保后續(xù)控制介A-從產(chǎn)業(yè)償鏈上確定企針業(yè)風(fēng)險拜對沖原料上餅漲風(fēng)險醫(yī)對沖上漲愛礦山冶煉滿廠中間商高消費(fèi)商拉對沖下跌風(fēng)篇險對沖產(chǎn)折品下跌風(fēng)險稻對沖庫存競風(fēng)險對沖軌庫存下跌風(fēng)躺險骨B-從經(jīng)營博環(huán)節(jié)確定企睛業(yè)風(fēng)險源絲采購環(huán)節(jié)道銷售環(huán)節(jié)廟庫存環(huán)節(jié)緞價格上漲風(fēng)祖險價格下蓋跌風(fēng)險價儲格下跌風(fēng)險捎買期套保討賣期套保齒賣期套保禿C-鞠不同企業(yè)如救何確定風(fēng)險湊敞口生產(chǎn)企業(yè)：腰現(xiàn)貨凈頭寸逮=吉產(chǎn)能摔+眾庫存伍-互銷售訂單，騰其中產(chǎn)能是番核心，上漲透時需對沖原絨料風(fēng)險，下耳跌時需鎖定樹產(chǎn)能價值貿(mào)易企業(yè)：炸現(xiàn)貨凈頭寸夾=襪采購訂單蘿+附庫存濫-夸銷售訂單，曉其中庫存是陵核心，上漲乞時需控制進(jìn)余貨成本，下誰跌時需鎖定販庫存價值，喪平時可隨時釀進(jìn)行基差套兆利加工企業(yè)：賓現(xiàn)貨凈頭寸辰=故庫存跟+欠采購訂單唯-炊采購需求，儀其中采購需俗求是核心，肢上漲時需對朱沖原料風(fēng)險役，下跌時需糧鎖定加工利招潤避3.副套期保值時級機(jī)的選擇壽市場形勢分塔析：供求矛織盾轉(zhuǎn)移和價堵格趨勢的變潤化臂企業(yè)經(jīng)營分蓄析：期貨盤檔面價格對應(yīng)贊企業(yè)采購、線銷售和庫存示有合理利潤脆基差分析：廉盡量選擇基卻差有利時機(jī)協(xié)，基差不利駁時可適當(dāng)減悅少保值比例攜4.飛套期保值流裕程冤企業(yè)經(jīng)營目律標(biāo)套期?？拗禌Q策傾被套保項目浮的數(shù)量合歉約選擇所就需資金量疑期貨市場動漂態(tài)具體的奏套期保值操姨作期貨市周場相關(guān)規(guī)則懸生產(chǎn)計劃藏現(xiàn)貨數(shù)量/貝庫存量貿(mào)拍易方案貿(mào)羽易合同灣未來價格預(yù)焰測風(fēng)險分扛析風(fēng)險承維受力疲三、套期保幅值的制度設(shè)冰計淹成功套期保包值的要素酷制定套期保育值計劃繞合理的組織酒架構(gòu)奧有效的制度鈴保證剛建立適合企舍業(yè)自身的套褲期保值評價江體系糞1.罷組織架構(gòu)總夕體原則馬企業(yè)參與期污貨交易的總得體原則是決碑策、交易與興風(fēng)險監(jiān)管分連開，即設(shè)立印專門的部門辮分別從事期相貨交易的決以策和執(zhí)行，蜻同時由另一吃個部門（通隸常為財務(wù)部仆門）負(fù)責(zé)風(fēng)墊險監(jiān)督和報孩告。友2.輛嚴(yán)格的風(fēng)險孤控制制度告集團(tuán)總部成農(nóng)立期貨交易臉領(lǐng)導(dǎo)小組攀公司參與期商貨交易管理聾條例淹公司期貨交絲易人員管理蠻條例慢第一層風(fēng)險忠管理主財務(wù)處從財嘴務(wù)方面監(jiān)督稠控制風(fēng)險肢每天檢查期撈貨交易的記豪錄持倉財務(wù)監(jiān)控謀第二層風(fēng)險晴管理仁期貨交易室第自身控制風(fēng)流險匆期貨行情分獸析小組定期供分析公司期潑貨頭寸風(fēng)險禽、運(yùn)作策略波以及操盤小汽組實施情況禽第三層風(fēng)險于管理澡3.薦建立健全各瞎項制度癥內(nèi)部決策執(zhí)跟行程序淘風(fēng)險控制制詞度報告制度姐財務(wù)管理制阿度賠信息披露制拖度壇4.氏建立適合企外業(yè)的套期保表值評價體系瘦經(jīng)營評價標(biāo)四準(zhǔn)役:卻套期保值能蛙否實現(xiàn)預(yù)期丟的經(jīng)營目標(biāo)兇市場評價標(biāo)展準(zhǔn)：裙套期保值能殿否實現(xiàn)比單探純現(xiàn)貨更高紡的績效開適合自身企兄業(yè)的臭-PAGE攔5跪-謝謝摘TheL茅ocati拌onsa看ndSt離rateg肚ieso啟fthe志Hedg覆ingo經(jīng)fSte擦elEn洋terpr淋ises炕ShiS判hengj桌iang好De嫩feng鋒Futur灶e曲sCo秤.巖,興Ltd.斜湊Mayo安f201諒1奮I鹿T伐heth矮reep效hase樓ofth條ehed聯(lián)g末ing駱1.捆T棋radit兩ional銷hedg膨ing霧conc胡ept牙Theh雪edge,滴mean突shed且ging,凍tha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