套期保值策略与风险管理套期保值策略与风险管理自我介绍自我介绍高晓宇，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作经验。2内容内容套期保值概念套期保值概念套期保值策略与流程套期保值管理套期保值风险3MG的案例的案例MGRMMG的美国子公司在能源衍生品交易中遭受巨大损失1993年12月，MG报告其美国子公司损失超过10亿美元MG董事会解雇了MGRM的管理层并命令将剩余头寸全部平仓与120家银行协商取得19亿美元的援救贷款，渡过危机MGRM的保值过程19921993年间与客户签定协议按照固定价格供应510年的汽油和取暖油，价格高于当时的现货价35美元，总量为1.6亿桶。客户在交易所当月油价高于合同价格时可以终止合同，并得到差价的一半与未交付数量相乘的金额。收购一家炼油厂49股权，并买断其全部生产能力采取1：1保值和堆仓后移保值策略，1/3在NYMEX建仓（原油、汽油、取暖油），2/3在OTC市场建仓油价下跌，不断增加的Margin Call造成资金链断裂4油价走势油价走势MG的案例几个思考题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？6套期保值定义套期保值定义传统的保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。8套期保值分类套期保值分类按买卖方向分类买入保值/卖出保值采购保值/销售保值按被保值的对象分类公允价值保值（Fair Value Hedge），是指对已确认资产或负债、尚未确认的确定承诺，或该资产或负债、尚未确认的确定承诺中可辨认部分的公允价值变动风险进行的套期。 现金流量保值（Cash Flow Hedge），是指对现金流量变动风险进行的套期。该类现金流量变动源于与已确认资产或负债、很可能发生的预期交易有关的某类特定风险，且将影响企业的损益。 境外经营净投资套期（Net Investment Hedge），是指对境外经营净投资外汇风险进行的套期。境外经营净投资，是指企业在境外经营净资产中的权益份额。按保值目的分类对冲保值（Offset）/锁价保值（Price Fix）9保值还是投机？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n企业的实际情况与理论标准间的冲突n合理的保值操作有可能被认定为非保值行为广义的保值n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n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？保值还是不保值？企业是否保值的动机n拥有多样化产品的企业倾向不保值n没有生存危机的企业倾向不保值n负债水平高且需要进一步融资的企业倾向保值n行业习惯n管理者自身利益（薪酬、职位等）与可控风险直接挂钩的企业倾向保值n对代理成本问题比较关注的企业倾向保值n管理者偏好 11内容内容套期保值概念套期保值策略与流程套期保值策略与流程套期保值管理套期保值风险12套期保值策略针对具体现货贸易的保值套期保值策略针对具体现货贸易的保值对于一个从采购到销售的完整贸易过程，保值策略可以形成多种组合：采购和销售保值同时建仓，头寸结构表现为跨市或者跨期采购保值建仓在前，销售保值建仓在后销售保值建仓在前，采购保值建仓在后不做采购保值，只进行销售保值不做销售保值，只进行采购保值具体策略组合的采用取决于采购和销售的定价条款、市场趋势判断等因素13套期保值策略针对企业总体风险的保值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。 14套期保值策略针对具体资源开发项目的保值套期保值策略针对具体资源开发项目的保值资源开发项目的主要风险之一来自产品价格波动，在市场时机有利时，利用期货市场进行套期保值控制成本、锁定收入，对于控制项目风险、保障项目成功都有积极意义。这种策略在资源开发项目中比较普遍，企业可以通过保值安排有效降低项目风险，改善融资条件，稳定投资回报。 15套期保值流程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17保值政策保值政策保值政策是企业保值工作的指导方针，对企业保值的目标和原则作出规定。制定保值政策需要考虑多种因素：风险分析，收入、成本分析，风险是否可以转移？风险偏好、保值的成本与收益、财务目标，保值还是不保值？可用于保值的资金规模保值政策的内容：保值比例（上下限）保值时间跨度保值价格确定的原则可选择的期货交易工具保值政策应经过企业高层决策者批准18保值政策示例保值政策示例1 1HedgingThe Groups policy is to 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 time 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 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保值政策示例保值政策示例2 2NIE 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. 20保值政策示例保值政策示例3-13-1Policy for Board ApprovalThis is a sample of a forex hedging policy with a mixture of targets 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 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 unfavorable 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 negative 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 currency trading may be approved by the Board. 21保值政策示例保值政策示例3-23-2Policies 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 exposure 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. 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 cash 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 certain 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保值政策示例保值政策示例3-33-3Reporting 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 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 adequate procedures, limits, hedging timelines, authorized hedging products, hedging performance reporting guidelines, approval guidelines, exception polices, and internal controls. 23方案设计方案设计内容：保值品种及合约选择交割期选择保值方向保值数量（上下限）保值价格（区间）保证金需求结束交易的时间方案设计必须考虑企业的风险承受能力（现金流、报表影响等）设置最大风险量24实施、监控、优化实施、监控、优化实施：一线人员的自由裁量权监控：完善的报告体系优化：根据市场情况对原有方案的必要调整和优化25效果评估效果评估目标法n保值前设定明确目标，完成后看目标是否实现；n目标可以是相对的，也可以是绝对的;n目标设定越具体越好;目标法的问题：对部分业务种类的可操作性不高; 内在的缺陷;结果法n能实现利润的保值即为好的保值；n实现的利润越多，保值效果越好;结果法的问题：利润并不等同于操作的规范性；利润可能会掩盖一些潜在的问题26内容内容套期保值概念套期保值策略与流程套期保值管理套期保值管理套期保值风险27构建组织体系，授权分离、相互制衡构建组织体系，授权分离、相互制衡一般可以按照高层决策者、前台、中台、后台的分工进行保值业务的组织。高层决策者对保值业务中重大问题进行决策，包括：保值政策，重大保值方案，经纪公司选择，授权安排，风险事故处理前台（交易部门）市场研究，保值方案设计，保值方案实施中台（风险管理部门）经纪公司评估与管理，保值方案审核，保值方案实施监督，风险评估，风险报告后台（结算部门）头寸管理，现金流管理，档案管理28优化决策制度，避免决策风险优化决策制度，避免决策风险保值政策对企业保值的目标和原则做出规定。保值计划企业每年应制定年度套期保值计划。套期保值计划中明确拟保值的现货品种、计划数量，拟选择的期货品种、计划数量和交易方向。保值方案在保值交易开始前，企业应根据套期保值计划和现货交易具体情况制定保值方案，任何期货交易都必须在保值方案得到批准后方可进行。29规范交易流程，防范操作风险规范交易流程，防范操作风险交易人员按照保值方案选择具体时机对外下达指令并完成交易，风险管理人员对交易情况进行监督，结算人员对完成的交易进行核对、记录和确认。建立严格的交易流程，减少错单的出现。Coldelco的损失Juan Pablo Davila，声称他在1993年9月将卖出的指令当成买入当他发现错误时已损失4000万美元他试图通过交易来挽回损失，结果损失更大到他把信用额度用完，不得不报告时，损失达到2.07亿美元1994年2月，Codelco总裁辞职，智利政府承担损失1.45亿Davila被判入狱尼克里森的教训30重视风险评估，做好实时监控重视风险评估，做好实时监控风险评估事先n对所面临的风险要全面评估，n对所运用的保值工具要充分理解;事后n计算浮动盈亏了解静态风险n通过敏感度分析、净敞口、VAR计算等揭示动态风险31完善报告制度，加强监督管理完善报告制度，加强监督管理目的：让本公司和母公司高层领导及时、全面了解保值业务情况内容：头寸情况、资金情况、风险情况应规定明确的报告编制、提交、签阅的路线和频率独立性、全面性、及时性专项审计合规检查32加强人才培养，构建专业队伍加强人才培养，构建专业队伍优秀的期货从业人员队伍是套期保值业务顺利开展并取得良好效果的基础。企业应重视期货业务和风险管理专业人才的培养，并坚持持续教育和培训，不断巩固和提高期货从业人员队伍的专业化水平。 33内容内容套期保值概念套期保值策略与流程套期保值管理套期保值风险套期保值风险34保值业务风险管理保值业务风险管理法律法规风险信用风险操作风险价格风险（基差风险）流动性风险现金流风险35法律法规风险法律法规风险了解市场法规和规则经纪公司合同审核与签署如：ISDA协议合规检查监督遵守法律、法规及公司内部保值业务管理制度执行情况36信用风险信用风险经纪公司信用评估经纪公司选择经纪公司交易限额管理在进行OTC交易时，信用风险管理更加重要37操作风险操作风险操作风险是保值业务风险管理的重点，以前有过很多教训定义：由不完善的内部流程、员工、系统以及外部事件导致损失的风险。包括：员工风险流程风险系统风险外部风险管理重点合理的授权安排：权力分配，互相制衡。前后台分开明确的报告制度：明确的报告线路、内容、频率完善的业务流程：决策流程、实施流程38价格风险（基差风险）价格风险（基差风险）保值业务形成了期货和现货的对冲，不存在绝对的价格风险，但仍然面对着期货和现货价格变化不同步的风险，即基差风险。基差（Basis）：现货价格与期货价格之差。基差的变化给保值者带来了风险39流动性风险流动性风险指市场容量不足时无法按市场价格成交的风险，即“有行无市”。流动性风险可以用买卖价差（Bid-Ask Spread）来衡量通过期货合约交割期选择对流动性风险进行管理保值的要求与回避流动性风险的要求有时会发生矛盾40现金流风险现金流风险指无法及时筹措资金满足建立和维持保值头寸的风险。设计保值方案和实施时一定要有配套资金安排。根据风险测算结果安排资金计划。要有应急资金安排。持仓规模必须受资金支持能力的制约。41谢谢！谢谢！