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大多数公司通常会接触到各种金融价格波动,作为他们操作的一个天然副产品。金融价格包括汇率、利率、商品价格和股票价格。这些价格变化在公布业绩时的影响有时是巨大的。通常,你会听到公司说在他们的财务报表中,收入降低了大宗商品价格也下跌,或者他们享有意外获得的利润,归因于印度卢比的下降
套期保值是可以减少此类风险的方法之一。如果企业了解套期保值的真正好处那么经纪公司可以产生良好的业务。但对冲不是都通用的。不同的企业面临不同的风险,他们经历的支付周期不同,那么决定了所需的商品和商业周期的运作。本文将解释经纪公司如何通过了解他们的业务为企业提供专属定制的对冲策略。
为了捍卫对冲策略,衡量对冲大宗商品与非对冲大宗商品的有效性是很重要的。风险价值(VaR)就是这样一种我们可以比较性能的方法。
VaR可以用来找出在正常的市场波动中最低价格的商品。这个最小值可以用来告知客户在他的立场近似最大MTM保证金要求。
设计企业的大宗商品对冲策略-Designing Commodities Hedging Strategy For Corporates
Most Corporations generally have exposure to fluctuations in all kinds of financial prices, as a natural by-product of their operations. Financial prices include foreign exchange rates, interest rates, commodity prices and equity prices. The effect of changes in these prices on reported earnings can sometimes be overwhelming. Often, you will hear companies say in their financial statements that their income was reduced by falling commodity prices or that they enjoyed a windfall gain in profit attributable to the decline of the Indian Rupees.
Hedging can be one of the methods of reduction in such risks. Broking firms can generate good business if Corporates understand the real benefit of hedging. But hedging is not very generic. Different firms are exposed to different kind of risks, the payout cycle experienced by them vary, so does the commodity required and the side of business-cycle one operates in. This paper will explain how broking firms can provide custom-made hedging strategies to the Corporates by understanding their business.
In order to defend Hedging strategy, its important to measure the effectiveness of the Hedged commodity against a non – hedged one. Value At Risk (VaR) is one way we can compare such performance.
VaR can be used to find out what can be the minimum price of the commodity under normal market movements. This minimum value can be used to inform a client about the approximate maximum MTM margin requirements on his position.
Also when people invest, they wish to know the amount of risk involved in any particular commodity so that they can choose which commodity to trade in. It’s important for a broking house to convey the risk involved, but conveying a theoretical notion of risk to clients may become impossible without some means to quantify risk. VaR is a very important tool in this regard. This paper attempts to implement VaR in Indian commodity market scenario to address both the above issues.
对冲:(为什么去对冲和谁应该对冲?)-Hedging :
( Why go for Hedge and Who should Hedge?)
For firms / individual who have an exposure to a particular commodity (either he is a buyer or a producer of it), hedging with futures contracts is one of the most widely used techniques for managing risk. Hedgers who face price uncertainty aim to manage their exposure to adverse movements in spot prices by taking an opposite position in the futures market so that losses in one market is offset by gains in the other.
Initial opinion about hedging can be traced back to Marshall (1919) who expressed that hedging is not speculation but insurance. Keynes (1930), famous for his work in economics, also stated that hedging is used as a means of avoiding risk. The main purpose of hedging is the desire to stabilize income and increase expected profits (Kamara (1982))
One reason why companies attempt to hedge is because they wish to remove risks that are peripheral to the central business. For example, a electrical copper wire manufacturing firm is known for its quality wires. It’s a natural belief that their profits will be driven by the quality of their produce and how well they can market the product and that they apparently do not have exposure to financial/commodity price risk. But that’s a misconception. This company faces a huge amount of price risk due to Copper price variation. Dealing with copper price is not their core business, so they would naturally want to remove any risk arising due to it. Need for hedging is as natural as need for insurance against theft or fire.
Another reason for hedging the exposure of the firm to its financial price risk is to improve or maintain the competitiveness of the firm. Companies do not exist in isolation. They compete with other domestic companies in their sector and with companies located in other countries that produce similar goods for sale in the global marketplace. If there are five companies in a particular sector and three of them engage in a comprehensive financial risk management program, then that places substantial pressure on the more passive companies to become more advanced in risk management or face the possibility of being priced out of some important markets. Firms that have good risk management programs can use this stability to reduce their cost of funding or to lower their prices in markets that are deemed to be strategic and essential to the future progress of their companies.
Setting hedging policy is thus a strategic decision, the success or failure of which can sometimes make or break a firm. The core problem when deciding upon a hedging policy is to strike a balance between uncertainty and the risk of opportunity loss. But, hedging is not a simple exercise nor is it a concept that is easy to pin down. Hedging objectives vary widely from firm to firm, even though it appears to be a fairly standard problem, on the face of it. And the spectrum of hedging instruments available to the corporate Treasurer is becoming more complex every day. Hedging is also contingent on the risk-preferences of the firm's shareholders. There are companies whose shareholders refuse to take anything that appears to be financial price risk while there are other companies whose shareholders have a more worldly view of such things. It is easy to imagine two companies operating in the same sector with the same exposure to fluctuations in financial prices that conduct completely different policy, purely by virtue of the differences in their shareholders' attitude towards risk.
But people generally believe investing in futures is only done for trading interest – especially in India commodity hedging is still not used extensively. Futures market is generally considered as a speculative market, but commodities futures market are extremely helpful in hedging also. ( Roger W Grey and David J.S. Rutledge ). In order to educate people, broking houses themselves need to be able to give correct hedging solutions to business. But different companies have different requirements; their payout cycles vary so does the side of the business cycle they operate in. Hence most corporates require custom – made hedging strategies.
First we need to look into the specific commodity the firm is exposed to. In this regard the easiest thing to do is perfect hedge.
完美的对冲-Perfect Hedge:
This is the simplest hedging strategy where you simply take an equal and opposite position in the futures market. This is possible only if there is a futures contract that exactly matches, with respect to the nature of the asset and the terms of delivery, the obligation that is being hedged.
示例1:价格上涨-Example 1: Rising Prices:
A particular firm requires 5 lots of Aluminium in Sept. i.e. it has to buy 25000 Kgs of Aluminium in Sep from the spot market, basis for which will be MCX Price for Sep .
On a particular day following are the futures prices:
To meet this requirement the company has two options available
Procure the commodity from Spot
Take an equivalent position in futures market
If the company decides to procure now
He has to bear the Cost of carry
Uncertainty of prices in futures
What if not hedged: The firm faces uncertainty of prices. Increase in spot prices may affect the company’s future cash outflows
完美的对冲-Going for perfect hedging:
So, in Futures: It sells 5 lots of MCX Sep futures @ Rs. 89=> Rs.10 ‘gain’
So, in Spot : Effects purchase of 25000 Kgs Aluminium @ 89=> Rs.10 ‘loss’ ( Than if he had procured the entire 5Lots on 18th August itself.
Therefore the net effect is: Net of Futures (+Rs.10) and Physical (-Rs.10) = Rs.0
I.e. Has achieved effective Aluminium input price of Rs.79, even though prices rose by Rs.10
示例2:价格下跌-Example 2: Falling Prices
On a particular day following are the futures prices:
A particular firm requires 5 lots of Aluminium in Sept. i.e. it has to buy 25000 Kgs of Aluminium in Sep from the spot market, basis for which will be MCX Price for Sep .
To meet this requirement the company has two options available
Procure the commodity from Spot
Take an equivalent position in futures market
If the company decides to procure now
He has to bear the Cost of carry
Uncertainty of prices in futures
What if not hedged: The firm faces uncertainty of prices. Increase in spot prices may affect the company’s future cash outflows
完美的对冲-Going for perfect hedging:
Buys 5 lots (5 x 5000 Kgs) of MCX Sep futures @ Rs. 99
Later in September, following are the futures prices:
So, in Futures : It sells 5 lots of MCX Sep futures @ Rs.89=> Rs.10 ‘loss’
So, in Spot : Effects purchase of 25000 Kgs Aluminium @ 89=> Rs.10 ‘profit’ ( Than if he had procured the entire 5Lots on 18th August itself.
Therefore the net effect is: Net of Futures (-Rs.10) and Physical (+Rs.10) = Rs.0
I.e. Has achieved effective Aluminium input price of Rs.99, even though prices fell by Rs.10
***
In practice, hedging is often not quite as straightforward. Hence it is not always possible to form a perfect hedge using futures .Some of the reasons is as follows:
The asset whose price is to be hedged may not be exactly the same as the asset underlying the futures contract.
The hedger may be uncertain as to the exact date when the asset will be bought or sold.
The futures delivery dates may not match the asset obligation date
The hedge may require the futures contract to be closed out well before its expiration date or in some cases the contract might be requires to be rolled over multiple times in order to meet the physical requirement date – This leads to short term cash flow problems.
The amount of physical asset required might not be an integral multiple of the existing contract size
There may be a lack of liquidity in the futures market.
One measure of the lack of hedging perfection is the basis risk. Basis is defined as:
Basis = Spot Price – Futures Price of the asset
最小方差对冲-Minimum Variance Hedge
Thus in cases mentioned above, need to find way to use sub-optimal contracts, contracts that are highly correlated with the underlying asset and who have a similar variance.
One common method of hedging in the presence of basis risk is the minimum variance hedge.
In this we need to find out how many lots of the futures contract one needs to buy of the non similar commodity. In order to get this, the following calculation has to be done :
事例-Example:
Suppose a XYZ firm needs Aluminum which is around 85% pure for its wire manufacturing unit. XYZ fears that the price of Aluminum will rise and hence wishes to hedge against future price changes in aluminum. But the one available in the futures exchange is 99.7% pure.
Since the aluminum available in futures is not suitable perfect hedge, they would use the result given (8) above to calculate the optimal number of contracts to purchase in futures.
Calculations for the scenario is attached along in filename << Al Hedging.xlsx >>
As a next step, the exact payout cycle of the corporate is analyzed. Also it is ascertained whether he is a buyer of the commodity or a seller i.e. whether he wishes to hedge on the buy side or the sell side.
In order to give a clearer picture, this paper would try to explain hedging strategies with a few of the most commonly occurring business scenarios. In all these cases its presumed that the initial hedge ratio calculation is done first and then the hedging strategy suggested is followed. |
