鋼鐵企業(yè)套期保值的定位與策略

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(gè)階段1.傳統(tǒng)性套期保值概念套期保值，英文為hedge，即對(duì)沖之意，即指期現(xiàn)對(duì)沖。目前是大部分企業(yè)使用應(yīng)用的理論基礎(chǔ)，來(lái)源于凱恩斯和希格斯的理論，主要是基于現(xiàn)貨市場(chǎng)和期貨市場(chǎng)相反的頭寸，來(lái)規(guī)避現(xiàn)貨市場(chǎng)的風(fēng)險(xiǎn)，這是基本的套期保值的定義辣傳統(tǒng)型套期擾保值遵循的藝原則臣商品種類(lèi)相辨同螺商品數(shù)量相拳等叮月份相同（吵相近）奔交易方向相抄反碗傳統(tǒng)型套余期保恒值的局限性賴(lài)期貨與現(xiàn)貨苦數(shù)量相等原太則難以實(shí)現(xiàn)幫期貨價(jià)格與膀現(xiàn)貨價(jià)格波享動(dòng)不一定完對(duì)全一致，如番果按照1:拋1的比例套您期保值，并帥不能完全對(duì)破沖風(fēng)險(xiǎn)悲期貨與鮮活鄙品種相同原煮則難以實(shí)現(xiàn)射期貨市場(chǎng)品換種相對(duì)有限哀，難以滿(mǎn)足息不同企業(yè)的抽需求剃傳統(tǒng)型套期顧保值的局限篩性美只有在金融螞屬性不突出參，期貨與現(xiàn)瞞貨價(jià)格高度煤一致的理想冒化條件下，擔(dān)傳統(tǒng)型套期針保值才能完家全規(guī)避風(fēng)險(xiǎn)耗。倚銷(xiāo)售收入確慢定股原材料價(jià)格岡等各項(xiàng)成本迷確定著目標(biāo)利潤(rùn)率州明確觀不獲取機(jī)會(huì)柳利潤(rùn)恨期貨價(jià)格符句合預(yù)期判斷暖2.營(yíng)基差逐利理風(fēng)論騎霍爾布魯克柄·發(fā)沃金箭(1895痛-1985礎(chǔ))價(jià)1962年鍬，美國(guó)著混名的券期貨理論家魯沃金提出了饅基差套期保遲值的理論，遺改變了人們駐對(duì)于套期保方值的傳統(tǒng)認(rèn)旅識(shí)。套期保值我不是直接對(duì)焰價(jià)格進(jìn)行投嘉機(jī)，而是對(duì)薦基差進(jìn)行投艘機(jī)茂豆-PAGE灶1近-期貨價(jià)格現(xiàn)貨價(jià)格乘價(jià)差擴(kuò)大時(shí)自，平倉(cāng)了結(jié)毀。饒價(jià)差回歸時(shí)燥，平倉(cāng)了結(jié)修。飛期貨貼水，纖或小幅升水徑，則買(mǎi)進(jìn)期顏貨保值亭期貨升水，暈且足夠大，帖則賣(mài)出期貨奪保值況無(wú)論現(xiàn)貨價(jià)銀格高低，基溝差存在足夠詠利潤(rùn)，如此棟一來(lái)，無(wú)論廊現(xiàn)貨價(jià)格上脖升還是下降米，只要期現(xiàn)毀價(jià)差縮小即錫可獲利。趙基本思路：螞將期貨市場(chǎng)卡當(dāng)做遠(yuǎn)期采貸購(gòu)原料或銷(xiāo)昆售商品的第胃二市場(chǎng)，當(dāng)許期貨價(jià)格比幕現(xiàn)貨價(jià)格更化為有利則進(jìn)植行套期保值曉，否逝則不進(jìn)行套竭期保值。挑優(yōu)點(diǎn)：僻主動(dòng)基差逐逼利，鎖定較智高的經(jīng)營(yíng)利端潤(rùn)撕缺點(diǎn)：車(chē)當(dāng)基差不利遮時(shí)，喪失套羅保機(jī)會(huì)，不跑能消除價(jià)格雁大幅波動(dòng)帶脖來(lái)的經(jīng)營(yíng)損收失慰在基差不利葡的情況下，晝同樣需要采津取保值措施本規(guī)避風(fēng)險(xiǎn)絞螺紋鋼主力茄合約與某市草三級(jí)鋼檢尺緊價(jià)格奔基差主力杰合約HR關(guān)B400聚20mm：寶某市檢尺遭北方某鋼鐵員冬儲(chǔ)賣(mài)出套拾保，初始平鄭均極差-7撓98，平倉(cāng)漢平均基差-巾245.5悔，盈利55饞2.5個(gè)點(diǎn)寇10年4月被中旬，期貨壞出現(xiàn)平水甚奪至貼水，根卸據(jù)基差逐利霜理論喪失一仙次套保機(jī)遇模，無(wú)法回避秒期現(xiàn)價(jià)格暴播跌風(fēng)險(xiǎn)海3.雁現(xiàn)代套期保句值理論皇現(xiàn)代套期保脆值理論由J選ohnso體n、Ede悲ringt過(guò)on較早提滔出，通過(guò)采填用馬科維茨寫(xiě)的組合投資蔥理論來(lái)解釋睬套期保值概飼念，即將現(xiàn)供貨市場(chǎng)和期議貨市場(chǎng)的頭區(qū)寸作為企業(yè)虹資產(chǎn)來(lái)看待前，套期保值熱實(shí)際上是資籮產(chǎn)組合。叼該理論實(shí)際醫(yī)上是利用期毯貨市場(chǎng)的流銀動(dòng)性和價(jià)格平敏感性，通養(yǎng)過(guò)隨時(shí)調(diào)整路期貨保值數(shù)杯量來(lái)合理地例管理風(fēng)險(xiǎn)，篇在合適的或恐可承受的風(fēng)艱險(xiǎn)情況下獲減得所對(duì)應(yīng)的旬最好利潤(rùn)，嬌即研究有效盯保值的操作駛方法。比如郵在牛市環(huán)境紅下，賣(mài)出保妹值就可以減謠少賣(mài)出的規(guī)耐模，減少無(wú)膽效保值的量火，根據(jù)市場(chǎng)汪情況，允許哭現(xiàn)貨有一定倡的風(fēng)險(xiǎn)敞口艇。廁基本思路：忠凈頭寸管理拘凈頭寸少=糊風(fēng)險(xiǎn)敞口頓=鞏現(xiàn)貨凈頭寸多+醉期貨凈頭寸慧現(xiàn)貨佛凈頭寸統(tǒng)=慰庫(kù)存顯-宋訂單譯期貨凈頭寸賴(lài)=頃多頭般-字空頭峽在大勢(shì)為牛徑市中，賣(mài)出肚保值的數(shù)量里應(yīng)小于其當(dāng)捉時(shí)的庫(kù)存量逆或產(chǎn)量，使甩企業(yè)的凈頭騾寸為現(xiàn)貨凈似多；而買(mǎi)入利保值的數(shù)量煉應(yīng)大于其計(jì)掩劃采購(gòu)量，岸即企業(yè)的凈郊頭寸為期貨脫凈多。茅在大勢(shì)為熊豪市中，賣(mài)出術(shù)保值的數(shù)量毯應(yīng)大于其當(dāng)鐮時(shí)的庫(kù)存量匯或產(chǎn)量，使軌企業(yè)的凈頭沿寸為期貨凈軌空；而買(mǎi)入索保值的數(shù)量粉應(yīng)小于其計(jì)紗劃采購(gòu)量，左即企業(yè)的凈吹頭寸為現(xiàn)貨史凈空。演現(xiàn)代保值對(duì)慧傳統(tǒng)保值理購(gòu)論原則的拓某展免商品種類(lèi)相澡同箱商品種類(lèi)相明同或相關(guān)專(zhuān)商品數(shù)量相參等碰商品數(shù)量?jī)羧^寸管理蘆月份相同（袋相近）合約量月份合理展滴期獻(xiàn)交易方向相蔥反闖交易方向聾相反娃傳統(tǒng)型套期漏保值搶新型套期保毛值注意配套期保值的唯核心原則壺——?dú)そ灰紫喾丛p則秧如果企業(yè)的婦期貨凈頭寸耕與現(xiàn)貨頭寸赤的方向相同赴，或者期貨降凈頭寸超過(guò)雕了對(duì)沖全部市現(xiàn)貨風(fēng)險(xiǎn)所聞需要的期貨無(wú)頭寸，就是茂投機(jī)，而不靈是套期保值弄，此時(shí)就會(huì)且出現(xiàn)風(fēng)險(xiǎn)敞緒口，也就是丸“令單腿擠”洋現(xiàn)象。歇現(xiàn)代套期保詳值的優(yōu)勢(shì)途新形勢(shì)下的災(zāi)套期保值本理論擴(kuò)充及宋深化意模型精細(xì)化享數(shù)量化腳套期保值機(jī)坡制的建立超針對(duì)不同企嚴(yán)業(yè)量身定做隱基于強(qiáng)大的融研發(fā)平臺(tái)建二、現(xiàn)代套記期保值策略械的要點(diǎn)笛1.慶現(xiàn)代套期保夕值策略的三杯項(xiàng)原則士1柴、大勢(shì)邏輯芒原則。對(duì)當(dāng)黎前市場(chǎng)運(yùn)行頸趨勢(shì)要有正私確的判斷，件保物值的疑邏輯也要正獨(dú)確。并2圖、凈頭寸原察則。根據(jù)大帽勢(shì)調(diào)整風(fēng)險(xiǎn)街敞口大小，吳通過(guò)調(diào)整期常貨現(xiàn)貨凈頭喉寸來(lái)動(dòng)態(tài)管佩理企業(yè)承擔(dān)脅的風(fēng)險(xiǎn)和預(yù)團(tuán)期收益。孩3錫、提前量原王則。在大勢(shì)規(guī)判斷的基礎(chǔ)灶上，購(gòu)銷(xiāo)量雨、庫(kù)存量隨屋之進(jìn)行變化告，進(jìn)而在期閃貨保值上也捏進(jìn)行相應(yīng)調(diào)罪整。碧2.風(fēng)險(xiǎn)衡塑量是套期保夫值的關(guān)鍵確定風(fēng)險(xiǎn)上漲風(fēng)險(xiǎn)下跌風(fēng)險(xiǎn)時(shí)間周期衡量風(fēng)險(xiǎn)風(fēng)險(xiǎn)大小能否承受制定方案保不保保多少如何保后續(xù)控制殘A-從產(chǎn)業(yè)鍛鏈上確定企騾業(yè)風(fēng)險(xiǎn)紹對(duì)沖原料上駁漲風(fēng)險(xiǎn)日對(duì)沖上漲悉礦山冶煉猛廠(chǎng)中間商提消費(fèi)商澆對(duì)沖下跌風(fēng)晌險(xiǎn)對(duì)沖產(chǎn)碎品下跌風(fēng)險(xiǎn)臂對(duì)沖庫(kù)存踏風(fēng)桌險(xiǎn)往對(duì)沖庫(kù)存下號(hào)跌風(fēng)險(xiǎn)濁B-從經(jīng)營(yíng)稀環(huán)節(jié)確定企本業(yè)風(fēng)險(xiǎn)源返采購(gòu)環(huán)節(jié)典銷(xiāo)售環(huán)節(jié)腦庫(kù)存環(huán)節(jié)能價(jià)格上漲風(fēng)襯險(xiǎn)價(jià)格下晚跌風(fēng)險(xiǎn)價(jià)群格下跌風(fēng)險(xiǎn)寺買(mǎi)期套保撿賣(mài)期套保剩賣(mài)期套保觸C-蟻不同企業(yè)如知何確定風(fēng)險(xiǎn)轎敞口生產(chǎn)企業(yè)：膚現(xiàn)貨凈頭寸醋=跨產(chǎn)能鄉(xiāng)+隔庫(kù)存嶼-學(xué)銷(xiāo)售訂單，敲其中產(chǎn)能是膠核心，上漲提時(shí)需對(duì)沖原尚料風(fēng)險(xiǎn)，下拔跌時(shí)需鎖定婚產(chǎn)能價(jià)值貿(mào)易企業(yè)：竹現(xiàn)貨凈頭寸蝶=蛋采購(gòu)訂單觸+披庫(kù)存驕-悄銷(xiāo)售訂單，格其中庫(kù)存是況核心，上漲凱時(shí)需控制進(jìn)扶貨成本，下嘩跌時(shí)需鎖定軟庫(kù)存價(jià)值，誕平時(shí)可隨時(shí)薦進(jìn)行基差套良利加工企業(yè)：狡現(xiàn)貨凈頭寸咱=糾庫(kù)存罪+項(xiàng)采購(gòu)訂單綢-男采購(gòu)需求，墾其中采購(gòu)需杜求是核心，示上漲時(shí)需對(duì)絲沖原丸料風(fēng)險(xiǎn)，下鋼跌時(shí)需鎖定罷加工利潤(rùn)密3.匹套期保值時(shí)噸機(jī)的選擇搜市場(chǎng)形勢(shì)分偉析：供求矛鳴盾轉(zhuǎn)移和價(jià)斧格趨勢(shì)的變互化悅企業(yè)經(jīng)營(yíng)分負(fù)析：期貨盤(pán)秘面價(jià)格對(duì)應(yīng)邊企業(yè)采購(gòu)、傳銷(xiāo)售和庫(kù)存奴有合理利潤(rùn)蹲基差分析：相盡量選擇基負(fù)差有利時(shí)機(jī)望，基差不利撓時(shí)可適當(dāng)減賞少保值比例榆4.澆套期保值流時(shí)程雙企業(yè)經(jīng)營(yíng)目者標(biāo)套期?？手禌Q策幣被套保項(xiàng)目校的數(shù)量合雜約選擇所溪需資金量澤期貨市場(chǎng)動(dòng)龍態(tài)具體的晶套期保值操郵作期貨市若場(chǎng)相關(guān)規(guī)則慮生產(chǎn)計(jì)劃貨現(xiàn)貨數(shù)量/蓬庫(kù)存量貿(mào)捐易方案貿(mào)剃易合同搬未來(lái)價(jià)格預(yù)憑測(cè)風(fēng)險(xiǎn)分濕析風(fēng)險(xiǎn)承魔受力丑三、套期保革值的制度設(shè)大計(jì)胡成功套期保微值的要素雪制定套期保拆值計(jì)劃寬合理的組織野架構(gòu)鄰有效的制度鋼保證崖建立適合企磁業(yè)自身的套后期保值評(píng)價(jià)梨體系戴1.柿組織架構(gòu)總拐體原則乞企業(yè)參與期乒貨交易的總沿體原則是決爆策、交易與幕風(fēng)險(xiǎn)監(jiān)管分景開(kāi)，即設(shè)立蛾專(zhuān)門(mén)的部門(mén)碗分別從事期住貨交易的決郵策和執(zhí)行，務(wù)同時(shí)由另一焦個(gè)部門(mén)（通碰常為財(cái)務(wù)部然門(mén)）負(fù)責(zé)風(fēng)本險(xiǎn)監(jiān)督和報(bào)州告。寸2.睛嚴(yán)格的風(fēng)險(xiǎn)糞控制制度伴集團(tuán)總部成敏立期貨交易夕領(lǐng)導(dǎo)小組根公司參與期徐貨交易管理刺條例票公司期貨交鑄易人員管理純條例海第一層風(fēng)險(xiǎn)敗管理成財(cái)務(wù)處從財(cái)訂務(wù)方面監(jiān)督嶼控制風(fēng)險(xiǎn)阻每天檢查期烤貨交易的記之錄持倉(cāng)財(cái)務(wù)監(jiān)控達(dá)第二層風(fēng)險(xiǎn)友管理剖期貨交易室囑自身控制風(fēng)腦險(xiǎn)乓期盈貨行蓄情分析小組選定期分析公蛛司期貨頭寸縫風(fēng)險(xiǎn)、運(yùn)作釋策略以及操胡盤(pán)小組實(shí)施許情況愉第三層風(fēng)險(xiǎn)仗管理余3.揮建立健全各規(guī)項(xiàng)制度夠內(nèi)部決策執(zhí)嗽行程序冷風(fēng)險(xiǎn)控制制媽度報(bào)告制度評(píng)財(cái)務(wù)管理制勉度煌信息披露制退度假4.獸建立適合企夠業(yè)的套期保扯值評(píng)價(jià)體系摸經(jīng)營(yíng)評(píng)價(jià)標(biāo)緒準(zhǔn)糕:步套期保值能菠否實(shí)現(xiàn)預(yù)期雕的經(jīng)營(yíng)目標(biāo)刮市場(chǎng)評(píng)價(jià)標(biāo)介準(zhǔn)：籠套期保值能瘡否實(shí)現(xiàn)比單短純現(xiàn)貨更高送的績(jī)效弄適合自身企此業(yè)的騾-PAGE傅5惑-謝謝步TheL良o(jì)cati瓜onsa請(qǐng)ndSt考rateg塘ieso童fthe撿Hedg欲ingo梁fSte黃elEn率terpr縱ise耕s歸ShiS狂hengj緊iang府De齊feng晨Futur務(wù)esCo獨(dú).歸,行Ltd.乎運(yùn)Mayo召f201粗1舍I式T溉heth回reep狀hase岡ofth極ehed比g才ing衫1.遞T菌radit油ional叔hedg菠ing種conc罰ept乘Theh殃edge,圈mean全shed犬ging,玻that謙ist妖hehe躍dgeo既f(wàn)fut孤ures撈and村spot系.涼Atpr勻esent途,the拿theo潮ryfo禮undat漫ions移which銹are什appli恐edby沾most晉oft撲heen促terpr短ise,撿root杏ing鉆int露heth勺eory落ofKe區(qū)ynes宵andH肢iggs,懼衡it臟is唇mainl扒y萌used啞to銹avoi嘉dthe屆risk芽sof該the洲spot野m哈arket案ont劈heba劍siso股fthe棕oppo精site棍posit襖ions勝of幅spot腥m思arket結(jié)and區(qū)the限f末uture狀s分m仿arket娘,thi辱s蚊ist掏heba奉sicd姐efini羅tion賣(mài)ofth圖ehed秤ging.巾忠Thep地rinci既ples少w盞hich跟are壞abid脾edby確trad另ition墳alhe彎dge昌Categ臉ories敵ofC黎ommod哄ities暗are請(qǐng)homol稻ogica彩l;葵Quant督ities菜ofC跨ommod伸ities遞are煎homol鬧ogica苦l(xiāng);重Same夾month邀(or中close嬸)侮Rever倍sedt柴ransa慣ction拾dire帝ction敬s材Thel迎imita謀tion叮oftr域aditi荒onal攤hedgi誤ng哥Thep斧rinci代pleo雄fthe帳quan桶titie汗sof析f耕uture夾sand守奧spot州isd燦iffic抵ultt尸oach袖ieve.段魚(yú)Thep沒(méi)rice秋s靈fluc巖tuati撲onso啟ffut喉ures奏andC伯a(chǎn)sha興reno妖talw直aysc鎮(zhèn)omple紗tely填accor涂dant,馬ift瓜hehe弟dging病us房es考the劉propo懂rtion拾as1客:1,i森tcou攤ldno討tavo尸idth戒ehed尤geri賢skco愁mplet牽ely;本Theh梯omolo毅gypr巴incip提leof址vari膚eties企off漸uture飲san炒dcas姐his折diffi露cult相toac殃hieve嗓;殿The孟f玻uture馬s高m傍arket婚vari不eties濕are授limit誼ed;i號(hào)tis胃diffi鑰cult憶tosa懇tisfy密the鄉(xiāng)deman盤(pán)dsof鄉(xiāng)diff鍛erent乒ente廊rpris脫es坡Thel淋imita袍tion兇oftr帽aditi達(dá)onal逗hedgi推ng駱Only雀when鍛thef鳥(niǎo)inanc暫epro寫(xiě)perty傷isn紙otob大vious距,and折int核heco細(xì)nditi盯onof嗚the紗futur宋espr丹ice允s吸and即spot剪price舍s雪are促high窄lyac跑corda慕nt,t例hetr祖aditi呀onal玻hedgi淹ngco藍(lán)ulda耐void協(xié)ther嬸iskc鹽omple牢tely.季翼Thes勾ales腥reven攪ueis陰asce滅rtain濫ed罪Thec巷ost應(yīng)s盯ofr納awma劉teria拾l(fā)san鍬detc扇蘭are病asce算rtain愁ed勸Theg宮oalp恒rofit投marg乓inis妹defi志nite驗(yàn)Noto期btain刻oppo睛rtuni菊typr窯ofit發(fā)T撤hefu敘tures昌pric伸eacc秀ords育with言thee禁xpect布ation盲judg次ment冒2.奧B退asis喊chasi懶ngpr碰ofits旦theo幣ry歌Holbr哄ooke述Wakin番g軟(1895豆-1985雕)什In19矮62,t喬hefa穩(wěn)mous窩futur搖esth局eoret莫ician擁,Wak意ingp揪utfo那rward研the段B穴asis遠(yuǎn)H顆edgin碑g候T尋heory罪,and艘this挖chan寧gedt父hetr混aditi瞧onal招under否stand為ingo農(nóng)fthe勵(lì)hedg臂ing.開(kāi)Theh役edgin勻g眉It's是nott羽hesp這ecula漏tion株forp非rices遣,but舒ist林hesp訂ecula硬tion唱forb草asis.自蓋Futur愚espr略ices喇Spot舅price魄When善thes賺pread統(tǒng)beca聰mela刑rger,慎use再Close五Posi悄tion餡tofi診nish殃it.涂When豐thes唐pread率was扁comin醬gbac使k,us芝eClo城sePo攏sitio侮nto豎finis雀hit.緊尼Whe害nthe惑futu貌res雀were練agio鍬,or維were烏abi您tpre碰mium,嬌bid點(diǎn)thef偽uture遲top勺reser挖veth側(cè)eval稈ue.活I(lǐng)ffu胃tures與were女prem蹦ium,慣andb捐igen屈ough,婚sell即the架futur違esto申pres博erve喚thev虜alue驕Whate醬vert墊hesp內(nèi)otpr杏ice限s蹤are煎high揮orn隨ot,t少heba脫sish孕asen燃o(jì)ugh介profi爐t,so虧what故ever勵(lì)thes災(zāi)p曉otpr風(fēng)ice誰(shuí)s爛are旦upo隆rdow德n,so談long桶ast將hesp姻read揮becam懼esma滑ller,僅then柱wec讀ould息obtai院nthe泉prof混its.箭Basic開(kāi)clue詳:tak祖ethe答考f使uture完s雨marke抓tas蕩long-趴term箭secon扇dm拜arket斯ofp央urcha僅sing姜rawm津ateri圈also蛛rsel功ling喊goods怕,if天thef偷uture勸spri憐ce作s臭are鳥(niǎo)bett身erth繭ansp辣otpr降ice板,pro鋼ceed境onhe警dging鉛,謀ando書(shū)therw椒ise干don'騎tpro茂ceed.竭雹Advan背tage:可init仇iativ你ebas籠isch買(mǎi)asing頃the驅(qū)profi走ts,l促ockt思hehi燈gher怕opera存ting仰profi敘ts局Short吵age:葉loss鬼theh聽(tīng)edge機(jī)oppor涂tunit巷iesw翼hent社heba源sisw胸asno忽tgoo憑d,ca壽n't惰elimi今nate的the碌opera形tion緊loss著which鞏was遭broug爐ht拳byth廚ebig卸fluc鄰tuati歉onso給fpri炊ce.屈Soin談the裝condi思tion饑ofba債dbas毯is,w昆eals余onee億dto鋼hedge佩衛(wèi)inor萍dert叼o幕avoi塵dthe慧risk浩.慧Them股ainc暗ontra惰ctof粱defo廟rmed悄steel滑bar儲(chǔ)andt撕hepr徹iceo待fthi步rdcl占asss梳t(yī)eel渡cull;充Basis慢main逢cont候ract慎ofHR霸B400宅20mm吐steel稿curl亭ofs欲omec住ity睛Some倡steel負(fù)com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