Since the beginning of this year, affected by multiple factors such as the epidemic situation, crude oil prices at home and abroad have fluctuated greatly, and entities have a strong demand for hedging. Enterprises, overseas institutions and financial institutions in the petroleum industry chain are increasingly participating in Shanghai crude oil futures. By using crude oil futures to hedge, related enterprises effectively suppressed the risks brought by price fluctuations to the production and operation of enterprises.
Hedging is a kind of futures trading behavior aimed at avoiding spot price risk. That is to say, when buying or selling the spot, you can sell or buy the same amount of futures in the futures market. After a period of time, when the price changes make the profit and loss in the spot transaction, the profit and loss in the futures transaction can offset or compensate each other, so as to establish a hedging mechanism between the spot and the futures and minimize the price risk.
According to the different risks that enterprises need to avoid, hedging can be simply divided into selling hedging and buying hedging. For example, oil producers who provide crude oil to the market, as suppliers of social commodities, can take corresponding commodity futures hedging transactions to reduce price risks, so as to ensure the reasonable profits of their finished products and prevent the price from falling and suffering losses in the sales process. That is to say, in the futures market, there will be an equal amount of futures sold as sellers, and then when the spot is to be sold, future positions will be bought and closed as a hedge.
But for petrochemical enterprises, refineries, airlines and other refined oil consumers who use crude oil as raw materials, they are worried about the rise of crude oil or refined oil prices. In order to prevent them from suffering losses when purchasing raw materials, they can adopt the transaction mode of purchasing hedging to reduce the price risk. That is, in the futures market, as a buyer, he buys an equal amount of futures contracts, and when he wants to buy the spot, he sells future positions to close the position as a means of hedging.
For oil traders, storage and transportation companies and other operators of petroleum products, if they buy spot from customer A and then sell it to customer B, there will be risks ... At this time, it is necessary to decide how to buy or sell hedging according to the monthly net exposure of spot risk.
From formulation to implementation, each hedging plan needs to be combined with the actual production and operation of the enterprise; On the other hand, it needs to comply with the previous energy-related regulations. Through a specific case, this paper will explain in detail how enterprises should apply for hedging quotas, formulate and complete hedging plans at different stages.
case analysis
The operation of enterprises involved in crude oil futures hedging in the futures market is divided according to the time period, which generally includes several steps such as position quota application, position opening, position closing, contract expiration and delivery. The following is a detailed description of a company's participation in crude oil futures hedging:
Company A, an international oil trader, signed an Oman crude oil sales contract with a domestic refinery on June 2, 65438/KLOC-0, with a quantity of 4 million barrels. Both parties agree to deliver the goods by DES, the delivery date is in late April, and the pricing period is five trading days before and after the delivery date. The pricing benchmark is the arithmetic average price of the settlement price of Shanghai crude oil futures SC2005 contract. Due to the expected oversupply and sluggish demand in the market, Company A is worried about the price drop, so it plans to sell 4000 hedging positions of SC2005 contracts.
The picture shows the hedging operation time of Company A..
General monthly hedging quota application
According to Article 62 of the original Energy Risk Control Rules, the general position proportion and position limit of crude oil futures contracts at different stages of listing operation shall be implemented according to the following table:
The table shows the position limit ratio and position limit of crude oil futures.
Note: The positions and bits in the table are calculated in one direction.
The crude oil futures hedging trading position shall be subject to the examination and approval system. According to Article 37 of the previous energy trading rules, hedging positions are divided into general monthly hedging positions and hedging positions near the delivery month. The general month refers to the last trading day from the listing of the contract to the third month before the delivery month; Near delivery month refers to the second month before delivery month and the first month before delivery month.
According to the regulations, 1 month is the general monthly stage of SC2005 contract (the fourth month before the delivery month). If Company A does not apply for the general monthly hedging quota, its position limit is only 3,000 lots, which cannot meet its hedging needs. Therefore, Company A needs to apply for a hedging quota of 1 1,000 lots in a general month, and get a total position limit of 4,000 lots.
The specific operation process is that during the application window (65438+10.3), Company A submits an application for the general monthly hedging trading position quota to the account opening institution, and after the account opening institution reviews it, it goes through the application procedures for the previous period according to the regulations. If Company A is a member of a non-futures company outside China and a special non-brokerage participant, it shall directly submit an application for hedging trading position quota to Shang Qi Energy. Company A shall submit application materials including application form, spot business plan and hedging plan (see Article 39 of the Trading Rules for specific material requirements). In the previous period, the Energy Institute will review the applicant's qualification, hedging demand and scheme rationality within 5 working days after receiving all the application materials. On October 6th, 65438/kloc-0, Company A obtained the general monthly hedging quota of 1000 lots and sold * * * 4,000 lots of SC2005 contracts. Among them, the general position limit is 3000 lots, and the general monthly hedging amount is 1000 lots.
Application for hedging quota near delivery month
According to Article 46 of the Detailed Rules for Energy Trading of the Previous Exchange, if the hedging quota for the recent month is not applied, the energy of the previous exchange will be converted into the hedging quota for the recent month after the general monthly hedging quota enters the near delivery month, according to the lower standard of the general monthly hedging quota and the general position limit of the listed products in the near delivery month. So if you don't apply for the next month's hedging quota, the general monthly hedging quota of Company A is 1 000 lots, which can be converted into 1 000 lots after March, and only 500 lots after April. Therefore, after entering March, the total position limit of Company A is 2500 lots, and after entering April, the total position limit of Company A is 1000 lots, which does not meet the requirement of 4000 lots.
The picture shows the application and use time of SC2005 hedging quota.
Therefore, during the application window (February 20th), Company A submitted 3,500 applications for hedging trading positions to the account-opening institution in the month when the SC2005 contract was close to delivery. After the account-opening institution reviewed it, it went through the application procedures for preliminary energy according to regulations. In the last phase, after receiving all the application materials, Energy will review and handle them within 5 working days. On February 25th, Company A obtained 3,500 lots of near-delivery hedging quota, which took effect on March 2nd.
Crude oil warehousing registration warehouse receipt
At the beginning of March, Company A's 3,500 lots of near-delivery hedging quota has come into effect, and Company A can continue to hold 4,000 lots. The price of crude oil fell sharply in this period, and the hedging position helped Company A avoid the price risk successfully. In late March, as the domestic epidemic eased and the market picked up, the contract price of SC2005 bottomed out. After considering the current price difference and other factors, Company A decided to deliver the Oman crude oil in transit to the warehouse and register the standard warehouse receipt to participate in the due delivery of SC2005 contract.
Warehouse declaration
Company A confirmed the planned warehousing date as April 20th. According to Articles 34 and 147 of the Detailed Rules for Energy Delivery of the previous issue, Company A properly coordinates the relevant institutions such as docks, ports, pipeline transportation, customs and commodity inspection. And on March 20th (30 days before the crude oil is scheduled to be delivered to the designated warehouse), the energy of the previous period was declared for storage. The contents of the declaration include variety, quantity, name of the owner, planned storage date, name of the designated delivery warehouse, etc.
According to Article 36 of the delivery rules, when applying for warehousing, Company A shall also pay warehousing deposit according to the standard of 1.5 yuan/barrel (warehousing deposit will be adjusted according to the market level of the previous energy period). The declaration deposit can be transferred from the member's settlement reserve before. The owner can return the declaration deposit to the member's settlement reserve within 2 trading days after completing the warehousing formalities and obtaining the warehouse standard warehouse receipt.
Declaration and approval
If the storage capacity permits, Pre-Energy will decide whether to approve the warehousing declaration and the warehousing validity period within 3 trading days from the date of receiving the qualified warehousing declaration materials, taking the owner's wishes into consideration comprehensively. On March 22nd, the last phase of energy approved the warehousing declaration of Company A, and the validity period of crude oil warehousing is five days before and after the planned warehousing date, that is, from April 15 to April 25th.
Incoming material test
On April 20th, Company A docked in Hong Kong during the storage period, and completed the customs, border inspection and commodity inspection procedures. , began to unload the goods into the cabin on the shore. Before and after oil unloading, the shore tank shall be sampled and measured by the designated inspection organization. On April 22nd, after unloading, an inspection agency will be appointed to issue an inspection report within 48 hours.
Generate warehouse receipt
On April 23rd, Company A submitted the import declaration documents, warehousing approval documents, statutory inspection certificates, inspection certificates, bills of lading, certificates of origin, commodity inspection certificates at the port of shipment and other materials required for registering standard warehouse receipts to the designated delivery warehouse. After the designated delivery warehouse has passed the preliminary examination, the materials will be uploaded to the warehouse receipt management system at the next higher level and the application for document preparation will be submitted. After the last energy audit passed the application, the warehouse issued a standard warehouse receipt to Company A on April 24th. On the same day, Company A accepted the warehouse receipt and completed the seller's warehousing.
The picture shows the registration process of standard warehouse receipts for crude oil futures.
Standard delivery
April 30th is the last trading day of SC2005 contract. After the closing, Company A, as the seller, held 4,000 short positions and entered the delivery.
Settle the payment delivered by the due contract.
According to Article 59 of the former energy settlement rules and Article 154 of the delivery rules, the settlement price for delivery is the arithmetic average of the settlement price of the contract in the last five trading days, and the settlement for delivery is based on the settlement price of futures contracts, plus the delivery premium determined by the different grades, quality, origin and delivery place of the delivered goods.
The table shows the deliverable oil type, quality and premium standard of crude oil futures.
The SC2005 contract was concluded from April 24th to April 30th (five trading days), and the settlement price was based on the arithmetic average price of the settlement price of the SC2005 contract from April 24th to April 30th. Since the goods of Company A are Oman crude oil, there is no premium.
SC2005 contract settlement price = arithmetic average price of contract settlement price from April 24th to April 30th.
Company A receives the delivery payment = contract delivery settlement price =SC2005 ×4000 lots.
Standard delivery process
The physical delivery of an expired futures contract shall be completed within the delivery period stipulated in the futures contract. Delivery period refers to five consecutive trading days after the last trading day of a futures contract. On the first delivery date, the buyer declares his intention and the seller submits the standard warehouse receipt; On the second delivery day, according to the existing resources and the principle of "time first, quantity rounding, nearest matching and overall arrangement", the standard warehouse receipts of the previous period will be paired and allocated; On the third delivery day, the buyer pays the bill and the seller collects the money; On the fourth and fifth delivery days, the buyer and the seller complete other matters such as invoice issuance, collection and deposit return through the previous energy.
The picture shows the standard delivery process of crude oil futures.
According to People's Republic of China (PRC) State Taxation Administration of The People's Republic of China Announcement No.2017 No.29 and Article 60 of the settlement rules, the bonded delivery business of crude oil futures is temporarily exempted from VAT. Domestic institutions shall issue ordinary VAT invoices to the member units where they open accounts. If the seller is an overseas institution, the seller's member units should ask the seller for the corresponding payment voucher, and take it as the tax exemption basis.
As May 1-5 is a national holiday, the delivery period of SC2005 contract is May 6, 7, 8, 1 1 day and 12. On May 6th, Company A submitted a valid standard warehouse receipt with paid storage expenses through the warehouse receipt system. On May 7th, the last standard warehouse receipt was delivered for distribution. On May 8th, Company A collected the money. On May 1 1, Company A submitted the VAT invoice corresponding to the standard warehouse receipt to complete the physical delivery.