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1、Price Assessment Methodology Net outlay 净支出 = 50 790 = -740 ( less than 750!) （不到750！） Steel Futures Hedge by an enduser 1 终端用户的钢铁期货套保终端用户的钢铁期货套保 （1） Scenario 2: Bearish Market 情景情景2: 熊市熊市 Steel Futures Hedge by an enduser 2 终端用户的钢铁期货套保终端用户的钢铁期货套保 （2） $690 $700 $710 $720 $730 $740 $750 $760 Paper lo
2、ss 纸货亏损 = 750 700 = -50 Net outlay 净支出 = -695 - 50 = -745 (less than 750!) 不到750！能省$5/mt Paper 纸货纸货 Physical 现货现货 buy paper 买入纸货 (-750) sell paper 卖出纸货 (+700) buy phys 买现货 (-695) January 1月March 3月 What are paper swaps? Financially settled derivatives Paying a difference between a derivative swap va
3、lue and underlying physical price, settled against a published marker (e.g. Platts physical IODEX iron ore assessment CFR China) Example of Hedging with Naphtha Swaps 使用铁矿石掉期进行套保的范例使用铁矿石掉期进行套保的范例 Swaps = “Pay fixed price (negotiated), Receive floating price (Platts/MOPS)” e.g., Acme Petrochemicals b
4、uys naphtha Swaps (takes a long position) Acme buys a swap from a bank for a fixed price of $190/mt for six months, ensures stable outlay Example of Hedging 2 Scenario 1: If the physical price of naphtha in a given month rises to $200/mt, then the bank pays Acme Petchem $10 (200-190) to compensate f
5、or the higher price Acme must pay in the physical market at that time. Scenario 2: If prices fall to $170, then Acme is able to buy physical naphtha cheaply and therefore has to pay the bank the $20 difference. Foregoes profit in exchange for stability of outlays. In either case, Acmes net outlays a
6、re even despite volatility in the underlying physical price. Some advise: buy swaps based on your position Rule: paper position should be opposite of physical position If you are structurally short (like Acme Petchem for naphtha), then go long (buy) on paper China Aviation lost money because they we
7、nt short when they should have gone long. Risk vs. Benefit of Using Swaps Perhaps the $190 fixed price was based on a downstream ethylene price of $210 This means that the $20/mt margin could shrink if ethylene prices fall because they are locked into the hedge (Risk) But it also means that their ma
8、rgin could widen if ethylene prices rise (benefit) Opportunity Cost vs. Security in Hedging Hedging, like insurance, entails an opportunity cost (you could have used the money for other purposes) But it also offers the security of stabilizing your outlays “MOPS” = “Mean Of Platts Singapore” MOPS Str
9、ip = Value of the Singapore swaps market at the mid-point of the date range of the physical assessment. Platts assessment = (MOPS strip) assessed Discount (MOPS strip) + assessed Premium *discount in a “contango” market, premium for a “backwardated” market. Swaps are important for understanding the
10、Platts assessment Assessment window = 15-30 days forward, “Platts Window” Mid-Point = 22.5 days forward. e.g., if Today = Jan 13, then Mid-window = “Feb 4.5” Assume Jan swaps assessed $340/mt; Feb swaps $345/mt Jan-Feb spread = 345-340 = $5/mt “contango” mid-Jan to mid-Feb = Jan 15.5 to Feb 14.5 = 3
11、0 days Slope = $5/30 days = $0.17/day Distance from mid-Jan (swaps) to mid-window (phys) = the distance from Jan 15.5 to Feb 4.5 = 20 days tf, strip = (20 days* $0.17/day) + Jan swaps = $3.33 + $340 = $343.33 The MOPS Strip: An example (gasoil) . . . Jan 15Feb 4.5 Feb 15 17/day 20 days $345 $343.33 $345 The MOPS Strip 2: An example (gasoil) Clearing: elimination of counter party risk CP = Counter Party (a Bank) An increasing range of exchanges do clearing for swaps Margining (5-10% of contract value)