套期保值策略与风险管理
自我介绍
高晓宇，现任五矿有色金属股份有限公司副总经理。 1993年毕业于中国人民大学，获得经济学硕士学位。 工作经历包括中国有色金属进出口总公司、中国有色金 属工业贸易集团公司，先后就职于期货部和风险管理部 等部门。 在有色金属贸易及风险管理方面有十几年工值定义 以回避现货价格风险为目的的期货交易行为， 基本原则包括： “方向相反” “种类相同或相关” “数量相等” “月份相同或相近” “同步平仓”
7
套期保值定义
• 会计准则中的保值定义 财政部制定《企业会计准则第24号——套期保值》中对套期保 值的定义是：指企业为规避外汇风险、利率风险、商品价格风险、股 票价格风险、信用风险等，指定一项或一项以上套期工具，使套期工 具的公允价值或现金流量变动，预期抵销被套期项目全部或部分公允 价值或现金流变动。 在会计准则中，要求对保值的效果进行测试，称为有效性测试 （Effectiveness Test）。 套期有效性是指套期工具的公允价值或现金流变动能够抵销被 套期风险引起的被套期项目公允价值或现金流变动的程度。准则规定 抵销结果在80％-125％的范围内。通过有效性测试的套期保值称为有 效套期。
19
保值政策－示例2
NIE Energy Supply 30 April 2009 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 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 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 doing 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 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 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 to 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 volumes 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 instrument 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.
13
套期保值策略－针对企业总体风险的保值
• 统计一段时间内企业在某商品上的总体风险量，如企业一 年的产量或者消费量，然后按照一定的保值比例通过期货 市场进行保值，控制成本或者锁定收入。 • 目的是稳定企业的经营业绩，避免随商品价格波动出现大 幅波动，特别是针对可能出现的危及企业生存的不利价格 波动提供保护，帮助企业渡过困难时期。 • 着眼于企业的总体风险，保值安排并不明确与具体的购销 合同对应，而是服务于企业管理整体风险的战略目的。 • 在生产和消费企业中比较多见。
•
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 swap which has been hedge accounted, and accordingly the positions have been marked to market. Gold Fields Limited
– – – – 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 underlying cash flows.
4
油价走势
5
MG的案例－几个思考题
• 是保值还是投机？（到期时间的不对应） • 1：1的保值量合适吗？ • 堆仓后移的策略正确吗？（流动性、市场看法、 客户选择权）） • 保证金足够吗？ • 交易对手可靠吗？（靶子效应） • 风险都预计到了吗？（Rollover,Funding,Credit） • 董事会的平仓决定正确吗？
9
•
•
保值还是投机？
• 按照传统标准衡量企业保值行为存在的问题
企业的实际情况与理论标准间的冲突 合理的保值操作有可能被认定为非保值行为
• 广义的保值
企业利用金融工具对某种风险进行全部或部分对冲的行为 为企业保值提供相对宽松的环境及操作标准；
10
保值还是不保值？
• 企业是否保值的动机
15
套期保值流程
• • • • • 风险分析 保值政策 方案设计 实施、监控、优化 评估与改进
16
风险分析
• 总风险与剩余风险 • 铜冶炼企业的例子 • 航空公司的例子