衍生期货市场风险分析

Dr.MoAhmadzadehSeniorVicePresident,[e-mail]8thShanghaiDerivativesMarketForumMay28th–May29th,2011RiskManagementinVolatileFuturesMarketsLOKOEFTueInc.|:Impactofthe12th5YearPlanEvolutionofFinancialMarkets&DerivativesKeyissuestoaddressinriskmanagementLOKOEFTue’sapproachtorisk:IRMP&structuredproducts和谐社会•包容性增长•民富国强•The12th5YearPlanincorporatesguidelinestobuilda”harmonioussociety”where“inclusivegrowth”leadsto“wealthypeopleinastrongstate”•Planobjectivesincluderaisingrealwages,increasingthedividendsfromstateownedindustryandraisinggovernmentspendingonconsumptionservicesinhealthcare,educationandhousing.•Theimplicationisthatgreaterdomesticconsumptionwilllowersavingsandreducethecurrentaccountsurpluswiththeprobabilitythattherenminbi’sstrengtheningwillaccelerateinordertooffsetinflationarypressures.•UltimatelythiswillreduceChina’sdemandforforeigndebtwiththepotentialtopressureinterestrateshigherindevelopedeconomies.•Thevolumeofdurableandretailgoodssolddomesticallyshouldrise,resultinginagrowingpriceexposureatstockholdersandfabricatorsasinventoriesrisetocaterfordomesticratherthanexportcustomers.•ManagingdomesticcommoditypriceriskswillbecriticaltotheChineseeconomyDerivativesmarketevolutionExchangesTransactionsClearingHistoricalPracticeForwardPhysicalsFuturesContractsSwapContractsPhysicalFuturesOTC•Derivativesarebasedonunderlyingspotmarket;oftenaphysicalcommodity.•Whileaspotisforimmediatedeliveryandaforwardmarketisthedeferralofaspotdelivery–acontractforspecificquality,quantity,timeandplaceofdeliverywithdefinedpaymentterms•Futuresarecharacterizedbystandardizedcontracttermsonorganizedexchangeswheretheclearinghouseactsasbuyertoallsellersandselleroallbuyers.•SuccessFactorsforFuturesMarkets•Freemarketstructure•Absenceofgovernmentrestrictions•Nodominantproducer–manyproducers•Worldwidedemand–manyconsumersHedgingvs.SpeculationSpeculators•Startswithnopriceexposure•Takesamarketposition•AssumesariskHedgers•Startswithpriceexposure•Takesamarketposition•ReducesriskRiskmanagementoverviewIdentifyRisks•Recognizeandevaluaterisk•Definephysicalexposure:long,shortorsquareDevelopStrategies+HedgeGoals+InternalControls•TosatisfyShareholders,ManagementandLenders•Toprotectmargins,covercashcostsandpreserveupsidepotentialMonitor&ReviewHedgingRisksandEffectiveness•Physical,HedgingandAccountingbooks•WatchMarketLiquidity,Spreads,Opportunities&MarginsHedgingisameansforremovingpriceriskandprotectingfutureincome.Itisnotintendedtobeawayofincreasingreturns.Metalindustryrisks•Minershavetheinherentriskbetweenthefixedcostsofproductionandthevariablesalespricesfortheirconcentrate•Customsmeltersthathavepricedintheirconcentrate&secondaryinputsareatriskuntiltheyhavepricedouttheirmetalssales•Fabricatorsthatselltheirmanufacturedproductatfixedcatalogpricesareatriskuntiltheyfixtheirmaterialinputprices•Merchantshavetheongoingchallengeofoff-settingpricerisksastheymanagetheirmaterialflowsOffsethedgingtobalanceexposureQuantityandQuotationalPeriodDifferencesarebalancedbyhedgingHedgingcanbuytimeto:1.Manufactureaproduct,findacustomerorasourceofmetal2.ManageinventorychangesandtaxationRiskmanagementisaprocessSelectmostappropriatehedgingalternativeIncorporatepriceviewsEvaluatetoleranceforriskPriceriskTransactioncompletion/TimingDeterminedeliveryneedsandavailabilityDeterminetimingofcashflows,CapExneedsIdentifytargetsPricePhilosophyCashflowCapitalExpenditure/DebtservicesRiskmanagementpracticalissuesGuidelines•Maintainequalbutoppositepositionsinphysicalsandfutures•Eachpurchaseisoffsetbyasale•EachsaleisoffsetbyapurchaseTracking•Multiplephysicalandfuturestransactionsaddcomplexity•Changesinspreads(location,qualityandtime)addcomplexityRecords•Hedgebookreportsquantitybalancesonly(shouldbenetsquare)•Futuresbookreportsallfuturespositions,marginsandspreadvaluations•Physicalbookreportsallquality,location,priceandun-pricedcontracts•Financialbookreportsallsales,purchases,cashflowsanduseofcapitalControls•Internalandexternallimits•Authorizationsandaudits•Counterpartycreditandpositio