Презентация - Corporate Commodity Risk Management

Подождите немного. Документ загружается.

UnderstandingYourNetCommodityRisk—4

6. Analyzeyourbasisrisk:

– Historicmean,high/low,medianandstandarddeviationofthe

spreadbetweenyourspotpriceandthederivative’sindexspot

price

–Alsore

ress

ourcommodit



urchases

ota

ainstthederivative

g y y p p g

indexspotandreviewR‐squared,etc.

 WillneedtodothisregressionforyourFAS133testingusing

the

“

dual

spot

”

effectiveness method discussed later

the



dual

‐

spot



effectiveness



method



discussed



later

–Mayalsowanttodobothanalysesforthederivativeindexspot

andyourpurchaseindexspotbeforethesupplierspread

 E.g.,RockyMountainFERCvs.NYMEXHenryHub

 Youwanttoconfirmthattheindicesarehighlycorrelated

©2008 GreenwichTreasuryAdvisorsLLC ‐20‐

UnderstandingYourNetCommodityRisk—5

Theaboveprocessassumesthatyoucannotshiftthecommodity

risktoyourbuyers,whichmayormaynotbethecaseandthat

needstobefactoredinseveralways:

• Canyoursalescontractshavecommoditypricetriggers?

If th thi ff t d th i f dit

–

so,

en

thi

so

re

uces

es

zeo

yourcommo

dit

y

riskexposures

• Howwellisthe

ricin

ofnewbidsreflectin

currentand

pg g

hedged commodityprices?

–Ignorethisatyourperil

©2008 GreenwichTreasuryAdvisorsLLC ‐21‐

ManagingYourNetCommodityRisk

• Dohistoricsimulationsofyouractualpurchases(andany

nettablesales)againststandardhedgingstrategiesto

determinethekeyhedgingparameters:

–Hedgingtimehorizon

Hdi it t

fdfdd ti

–

ng

rumen

s‐

orwar

svs.

orwar

san

op

ons

–Hedgeratios

–

Hedging metrics

Hedging



metrics

• Common(passive)hedgingstrategiesare:

–0%vs.50%vs.100%hedgedwithforwards(50%best)

–Using25%optionsand75%forwardsforyourhedge%

–Layeredhedging(e.g.10%6quartersout,85%1quarterout)

©2008 GreenwichTreasuryAdvisorsLLC ‐22‐

TopicsCovered

• Growingimportanceofcommodityhedging

•

Modern corporate risk management

Modern



corporate



risk



management

• Hedgingcommodityriskvs.FXrisk

•

Common commodity hedging mistakes

•

Common



commodity



hedging



mistakes

• Understandingyournetcommodityrisk

•

Managing your net commodity risk

•

Managing



your



net



commodity



risk

• Accountingforyournetcommodityhedging

Ab GihT Ad i

•

out

reenw



reasury

sors

©2008 GreenwichTreasuryAdvisorsLLC ‐23‐

AccountingforYourNetCommodityHedging—1

CommodityhedgingunderFAS133isacomplexsubjectthatcanonly

bedealtbrieflyhere:

• Essentially,FAS133requiresthatyouprovethatchangeinthefair

valueofthederivativeis80‐125%ofthechangeinthefairvalueof

theall‐inpriceoftheforecastcommodityexposure

–Thisisarigorousperformancestandard

–Requiresaccurateforecasts

Th bl i th t h ifthd b f th

•

epro

em

s

you

ave

mper



ges

ecauseo



e

basisriskbetweenthederivativeindexandthepurchaseindex

–Imperfecthedgesisaneconomicrisk

–ImperfecthedgeshaveFAS133P&Lineffectivenessrisk

©2008 GreenwichTreasuryAdvisorsLLC ‐24‐

AccountingforYourNetCommodityHedging—2

• Toprovethatahedgeiseffective,regressionanalysisis

alwaysamuch bettertestthandollaroffset

–Morecomplextodo,buthaving30datapointsto

smoothoutinherentcommodityvolatilityissaferthan

ff ’

thedollaro

set

’

s2datapointtest

• Theproblemisthatitcanbedifficulttodeterminethe

change in the fair value of forecast commodity exposure

change



the



fair



value



forecast



commodity



exposure



ifthepurchaseindexisnottradable— i.e.,there’sno

futuremarket

–WhattodotosatisfyFAS133?

©2008 GreenwichTreasuryAdvisorsLLC ‐25‐

AccountingforYourNetCommodityHedging—3

• Spotpricesforyourpurchasedcommodityalwaysexist

• Itcanoftenbebettertodocument

ourhed

esforFAS133

y g

purposesusingthe“dual‐spotmethod”,documenting

–Protectingagainsttheriskofspot‐to‐spotchangesinthe

ft hi h i il dt i d(t it

orecas

exposure,w



seas

y

erm



(

aga



changesinfairvalueatforwardratesdiscounted)

–Excludin

theforward

ointsinthederivative

g p

 Differencebetweenspotandforwardprice

 Forwardpointsgetamortizedoverthelifeofthecontract

–Regressingspotpurchasepricesagainstderivativeindex

spotprices,whichyouhavealreadydeterminedarehighly

correlated

©2008 GreenwichTreasuryAdvisorsLLC ‐26‐

TopicsCovered

• Growingimportanceofcommodityhedging

•

Modern corporate risk management

Modern



corporate



risk



management

• Hedgingcommodityriskvs.FXrisk

•

Common commodity mistakes

•

Common



commodity



mistakes

• Understandingyournetcommodityrisk

•

Managing your net commodity risk

•

Managing



your



net



commodity



risk

• Accountingforyourcommodityhedging

Ab GihT Ad i

•

out

reenw



reasury

sors

JeffWallace

• FoundedGTA in1992,andauthorof:

–TheGroupof31Report:CorePrinciplesforManagingMNCFX

Risk (AssociationforFinanceProfessionals,1999)

–FAS133chapterofTheHandbookofInternationalFinance&

Accounting

(2004 John Wiley)

Accounting

(2004

,

John



Wiley)

• Advisedover50companiesandsixsystemvendors,Financial

Sciences,FXpress,PrincipiaPartners,Simcorp,SunGardand

WallStreetSystems,onFAS133compliance

• FormerlyVP‐InternationalTreasuryatAmericanExpress,ATat

Seagram and at D&B; CPA at PW

Seagram



and



D&B;



CPA



• Phone:303‐442‐4433

• Email:

eff.wallace@

reenwichtreasur

.com

jg y

RepresentativeClients

Alcan

Amgen

InternationalPaper

McDonald

’

Amgen

CITGO

McDonald s

Merck

Nestle

DaimlerChrysler

DowChemical

Novartis

NZDairyBoard

DuPont

EDS

GlM

Procter&Gamble

Saint‐Gobain

enera



otors

Hydro‐Quebec

emens

TRWAutomotive