The core goal of enterprises participating in hedging is to avoid risks and ensure the smooth operation of business activities. Hedging can't take the pursuit of profit maximization as the primary purpose, so it can't be too subjective, and it needs objective basis to be implemented. The core of objective foundation is poor foundation. Basis can be simply understood as the spread between spot and futures, but in the actual hedging process, a single basis index is difficult to comprehensively measure the actual risks and benefits of enterprises, and a flexible and comprehensive basis index is needed to guide the operation. Taking domestic corn as an example, traditional trading enterprises in Northeast China can decide whether to do it or not only by calculating the difference between delivery cost and futures price. With the change of supply and demand structure in domestic corn market, the spot pricing system of corn is very different from the past, and the basis structure of corn futures has also changed greatly. Different market entities and different regions need to combine different basic measurement standards.
Standard foundation difference
The standard basis is to convert the liquidation cost with the arrival price of the northeast port. For example, the lowest delivery cost is calculated based on the CIF price of Heilongjiang corn such as enterprise 3-4, because enterprises usually use cheap Heilongjiang grain for actual delivery, and there are cases of blending to reduce costs. Two cases are considered when calculating the basis, namely, the immediate delivery cost and the forward delivery cost with time cost. Spot delivery cost is the difference between delivery cost and futures contract calculated according to the current market price, which is roughly the arrival price+delivery storage cost; The forward delivery cost with time cost takes into account the storage cost mainly based on interest cost, which is mainly the immediate delivery cost+one day's financial cost × days from delivery. Traditionally, in the era of self-sufficiency, the probability of seasonal increase driven by the cost of origin is very high, and the forward delivery cost considering the time cost is more reasonable. However, at present, the substitution of imported corn and wheat has accounted for more than 20% of the total corn consumption in the domestic corn market, and the cost is lower than that of corn. This has caused the domestic corn futures contract to discount the spot price for a long time this year, and the discount of the new season corn to the old corn contract is too high, which has narrowed the basis difference between the contracts of that year, and the spot delivery cost has a great influence on the market psychology. Therefore, it is necessary to give consideration to both, not only to consider the psychological effect of spot delivery cost and the possibility of buying delivery cost, but also to consider the restriction of forward delivery cost with time cost on short-selling hedging of spot traders.
For trading enterprises with spot resources in Northeast China, only when futures have a certain premium to the spot delivery cost, and the premium level exceeds the spot trade profit to a certain extent, it is more suitable for selling hedging; For grain enterprises in the south and ports, if there is a demand to buy spot, it is usually necessary to consider buying hedging when futures discount the spot delivery cost.
Import base difference
China's corn imports have greatly increased, and the proportion of imported corn in domestic corn supply has rapidly expanded to about 6%. In particular, the low import cost of corn in the new season has strictly restricted the pricing of domestic corn futures forward contracts, which is expected to have a far-reaching impact on the north-south corn trade and port pricing in the future. Therefore, it is necessary to calculate the basis difference of imported corn at domestic ports. The specific theoretical cost calculation method is: [(CBOT futures price +FOB premium) × unit conversion coefficient+sea freight ]× value-added tax × tariff × RMB exchange rate+port miscellaneous fees. Among them, the FOB premium should match the CBOT contract, and the unit conversion coefficient is mainly from cents/bushel to dollars/ton. At present, the value-added tax 13%, the customs duty 1% (within the quota, there is no situation and possibility of exceeding the quota for the time being), and the unloading and port miscellaneous fees are roughly 70-80 yuan/ton.
In addition, because the quality of imported corn is usually worse than that of high-quality corn in Northeast China, the actual quality discount should be considered. The quality of imported corn was poor in the first two years, and the yield of 20 1 1 corn was relatively good. According to the import enterprises, the quality of imported corn that arrived this year is better, but slightly mildewed, so the enterprises may not be suitable for pig feed production, and the quality is about 70-80 yuan/ton lower than that of Liaoning grain.
Auxiliary foundation difference
Futures analysis must be measured by maximizing the risk, so the lowest cost should be considered when calculating the delivery cost, which requires occasional use of auxiliary basis. For example, when northeast corn and north China corn are seriously upside down, it is necessary to consider the cost of Hebei corn to the northeast port and the theoretical delivery cost (usually it is difficult to achieve delivery because of high mildew, so it only stays in theory), which requires consideration of factors such as the shortest transportation distance cost. In addition, if an enterprise signs a forward delivery contract on the spot, the basis difference between the forward delivery cost and the corresponding futures contract also has important reference value. Enterprises that purchase hedging should also consider the relationship between port cost and factory arrival cost when calculating standard basis.
In addition, the direct price difference between wheat and corn should be considered. Domestic consumption of forage wheat is expected to double this year, reaching 30 million tons, which is equivalent to an increase of150,000 tons of corn, resulting in an obvious shrinkage of domestic corn consumption. The price difference between wheat and corn seriously affects the willingness and psychological endurance of southern enterprises to buy disk hedging. In the south, the cost of sending corn to the factory is usually compared with the cost of feeding wheat. When the price of corn in Northeast China is higher than that of wheat 50 yuan/ton, except for suckling pig feed and piglet feed, most enterprises will use wheat instead of corn as the main raw material of pig feed and poultry feed. At present, it takes 140- 150 yuan/ton for corn to reach Guangdong feed enterprises, and 200-2 10 yuan/ton for wheat to reach the factory by boat from Jiangsu and Anhui producing areas.
The monthly price difference is also an important basic factor. According to the supply and demand situation in different years and months, as well as the financial cost and delivery difficulty in different time periods, it is also a good choice to use the basis difference between contracts to hedge the existing inventory positions. For example, in the third quarter of 201/kloc-0, there was a serious shortage of old grain, and the futures in September discounted the spot, while the new grain faced the pressure of increasing supply. At this time, it is cheaper to buy the September contract than to buy the spot, and at the same time, throw out the 1 contract to hedge the risk of falling grain. This can not only effectively establish the old stubble inventory, but also avoid the downside risks brought by the new grain pressure and macroeconomic recession. However, the specific implementation needs to consider the liquidity and delivery capacity of the contract.
In actual hedging application, basis is the main basis for whether an enterprise operates or not. However, when to enter the market and control the position, there are many factors to consider, and we can't start with the basics alone. Among them, the position and the actual inventory quantity of the enterprise directly match the inventory plan, and the timing and rhythm of admission match the market trend. Although hedging is to hedge the risk of spot trading through the convergence of basis, it is easy to cause huge losses or short-term financial difficulties and psychological pressure regardless of the market trend. Generally speaking, hedging is not a simple and rigid business, which requires the combination of objective basis opportunities and subjective technical capabilities.