FSI-Business Seminar Prof. dr ir Joost M.E. Pennings Chairman FS-Innovators B.V/ FS-Innovators USA Inc. Wageningen University, the Netherlands Maastricht University, the Netherlands University of Illinois at Urbana-Champaign January 21 2011 Copyright © Joost M.E. Pennings 2011 For internal use only
FS-Innovators B.V. FS-Innovators USA Inc. Agenda 1.
2.
3. 4.
Risico en waarde bedrijf 1. Hedging & kapitaalkosten Volatiliteit 1. Prijs niveaus 2. Prijs relaties Goederentermijnmarkten De rol van speculanten in goederentermijnmarkten 1. Informatie aanwezig bij CFTC
--Risk Management: The New Profit Center-.
De waarde van het Bedrijf
t
SV i
Ai i 1 (1 R)
t = planning horizon in years R = risk adjusted cost of capital Ai = net cash flow after taxation in year i
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Volatiliteit grondstoffen: Koper
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Volatiliteit grondstoffen: Mais
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Volatiliteit grondstoffen: Tarwe
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Volatiliteit grondstoffen: Nat.Gas
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Prijs relaties
Niet alleen volatiliteit is toegenomen, ook sommige prijsrelaties zijn veranderd:
Olie vs. Gas Mais vs. Gas
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Prijs relatie Crude Oil vs. Gas
Prijs correlatie gedurende 2001- 2008: 0,729
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Prijs relatie Crude Oil vs. Gas
Prijs correlatie gedurende 2009 - 2010: 0,104
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Prijs relatie Mais vs. Gas
Prijs correlatie gedurende 2001 - 2006: 0,025
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Prijs relatie Mais vs. Gas
Prijs correlatie gedurende 2007 - 2010: 0,604
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Welk risico is nu van belang? • We focussen vaak op prijs niveaus. Maar zijn het de fluctuaties in prijs niveaus die risico‟s introduceren? De “relatieve”prijzen zijn belangrijk o Denk aan handelaar Het gaat om prijs RELATIES tussen: » Inputs » Outputs » Inputs en outputs » Dat drijft volatiliteit in Uw winst!
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Uw Dilemma: Tevens Uw Opportuniteit! • Op welke wijze kan ik een optimale balans vinden tussen het nemen van risico en verwachte winst? Ken Uw risico attitude en risico perceptie Ken de risico- verwachte opbrengst karakteristieken van de markten waarin U opereert. Ontwikkel methodes (regels) om beslissingen te maken die leiden tot optimale balans van risico en verwachte opbrengst
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Risico Management Instrumenten
Centraal verhandeld
Termijn contracten Opties
Bilaterale contracten
vaste prijs contracten
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Functies van Termijnmarkten
1.
Risico management
2.
Overhevelen van Risico‟s
Prijs “Discovery”
Discovering forward pricing Flow of information
Bijzonder belangrijke informatiebron voor U!
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Waarom bestaan Termijnmarkten?
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Risk-management instrument
Reduceren van (prijs) risico
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Eliminatie van „default risk‟
Marktparticipanten complementeren hun fysieke transactie met termijnmarkt transactie:
Cash flow termijnmarkt complementeert cash flow in fysieke markt
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Welke twee parameters zijn nu van belang?
Hedging effectiviteit: De mate waarin U de volatiliteit in prijs (winst) fluctuaties kan verminderen (in %).
Hedging ratio: Welke proportie van mijn fysieke marktpositie moet ik afdekken om de optimale risico reductie te verkrijgen
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Veel informatie: Wat is nuttig? 1.
Reuters
2.
Bloomberg
3.
Hansa
4.
FS-Innovators‟ market scans
Real time info about prices (time delay); some insight into order book; fundamental news (weather; crop reports issued by USDA etc.) .
Governmental: USDA reports
The USDA Foreign Agricultural Service's Global Agricultural Trade System. GATS includes international agricultural, fish, forest and textile products trade statistics dating from the inception of the Harmonized coding system in 1989 to present. .
University based research Farmdoc program at Illinois http://www.farmdoc.illinois.edu/marke ting/weekly/html/071210.html
http://www.farmdoc.illinois.edu/aglink s/index.asp
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CME Outlook Reports
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T-Storm
T-storm Weather is a Chicago-based subscription service that was founded in 2006 for users of commodity exchanges.
Independently develop and provide weather forecasts and information that are focused on the development of corn, soybeans, and wheat, as well as weather that influences the supply and distribution of livestock during the U.S. winter.
Our information and weather opinions have been featured in the Wall Street Journal, BusinessWeek, Barron's, Bloomberg, Dow Jones Newswires, WGN-TV, International Herald Tribune, The Globe and Mail, Business News Network, Canada Television, San Francisco Chronicle, Commodity News For Tomorrow, and AgricultureOnline.
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Global Food in 3DTM
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FSI MARKET SCAN
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Role of Speculation…Do they really in the long run distort prices?
Most speculators using futures offset their positions prior to maturity, and hence never make or take delivery of the actual commodity. Thus, the speculator never directly affects production or consumption of a physical commodity. Except when having dominant position in the spot market (cocoa case)
Geen netto positie in termijnmarkt op lange termijn Prijs trend gedreven door vraag en aanbod.
Speculanten kunnen tijdelijk prijs volatiliteit creeren
Markt diepte effect
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CFTC’s Commitments of Traders (COT) Report • Who are the market players? • Snapshot of Tuesday market close
• Disaggregated Market data
Release Time: The CFTC posts the COT report to www.cftc.gov every Friday by 3:30 pm Eastern standard time. The data in the report is always as of the previous Tuesday.
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2/1/2001 02/27/2001 04/24/2001 06/19/2001 08/14/2001 9/10/2001 4/12/2001 01/29/2002 03/26/2002 05/21/2002 07/16/2002 10/9/2002 5/11/2002 12/31/2002 02/25/2003 04/22/2003 06/17/2003 12/8/2003 7/10/2003 2/12/2003 01/27/2004 03/23/2004 05/18/2004 07/13/2004 7/9/2004 2/11/2004 12/28/2004 02/22/2005 04/19/2005 06/14/2005 9/8/2005 4/10/2005 11/29/2005 01/24/2006 03/21/2006 05/16/2006 11/7/2006 5/9/2006 10/31/2006 12/26/2006 02/20/2007 04/17/2007 12/6/2007 7/8/2007 2/10/2007 11/27/2007 01/22/2008 03/18/2008 05/13/2008 8/7/2008 2/9/2008 10/28/2008 12/22/2008 02/17/2009 04/14/2009 9/6/2009 4/8/2009 09/29/2009 11/24/2009 01/19/2010 03/16/2010
Number of Contracts Long
Market Participants Wheat CBOT
Commitments of Traders (COT) Reports CFTC (Long) Commitments of Traders Long Positions by Participant
500000
450000
400000
350000
300000
250000
200000 Non Reportable (Small Speculators) Non Commercials (Large Speculators) Commercials (Hedgers)
150000
100000
50000
0 Source: CFTC – FS-Innovators BV
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2/1/2001 02/27/2001 04/24/2001 06/19/2001 08/14/2001 9/10/2001 4/12/2001 01/29/2002 03/26/2002 05/21/2002 07/16/2002 10/9/2002 5/11/2002 12/31/2002 02/25/2003 04/22/2003 06/17/2003 12/8/2003 7/10/2003 2/12/2003 01/27/2004 03/23/2004 05/18/2004 07/13/2004 7/9/2004 2/11/2004 12/28/2004 02/22/2005 04/19/2005 06/14/2005 9/8/2005 4/10/2005 11/29/2005 01/24/2006 03/21/2006 05/16/2006 11/7/2006 5/9/2006 10/31/2006 12/26/2006 02/20/2007 04/17/2007 12/6/2007 7/8/2007 2/10/2007 11/27/2007 01/22/2008 03/18/2008 05/13/2008 8/7/2008 2/9/2008 10/28/2008 12/22/2008 02/17/2009 04/14/2009 9/6/2009 4/8/2009 09/29/2009 11/24/2009 01/19/2010 03/16/2010
Number of Contracts Short
Market Participants Wheat CBOT
Commitments of Traders (COT) Reports CFTC (Short) Commitments of Traders Short Positions by Participant
500000
450000
400000
350000
300000
250000
200000
150000 Non Reportable (Small Speculators) Non Commercials (Large Speculators) Commercials (Hedgers)
100000
50000
0 Source: CFTC – FS-Innovators BV
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Hoe data van COT te gebruiken? Hedging or speculative “pressure” measure.
Non Commercial PNL t
NCLt NCSt NCLt NCSt 2( NCSP)
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Commercials: Watch them!
“Wearing multiple hats gives Cargill an unusually detailed view of the industries it bets on, as well as the ability to trade on its knowledge in ways few others can match. Cargill freely acknowledges it strives to profit from that information. “when we do a good job of assimilating all those seemingly unrelated facts, says Gerg Page, Cargill‟s CEO, “it provides us an opportunity to make money.....without necessarily having to make directional trades, i.e. outguess the weather, outguess individual governments”
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Summary: Relevant data from CFTC
Traditional Commitments of Traders (COT) Futures and Options (delta equivalent) combined Weekly (as of Tuesday‟s close)
Commodity Index Traders (CIT) Futures and Options (delta equivalent) combined Weekly (as of Tuesday‟s close)
Bank Participation Data Futures only positions Monthly (as of Tuesday‟s close)
Corn, Soybeans, Soybean Oil, Chicago Wheat, Kansas City Wheat, Live Cattle, Lean Hogs, Cocoa, Sugar, Coffee
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Summary: The Commitments of Traders Data
Compiled by the Commodity Futures Trading Commission (CFTC)
Disaggregates the Total Open Interest of a Futures Market
Reporting Traders
Non-commercial (“funds”) Commercial (“hedgers”)
Non-Reporting Traders (“small speculators”)
Widely Used Data Set
Trade (what are the “funds” doing?) Academic Research (speculation, risk premia, forecasting ability) .
Wat moet er gebeuren? Commodity intelligence unit (CIU)
Systematic approach in:
In terms of hedging effectiveness
Basis risk monitoring Dynamic hedging effectiveness measurement and strategy
In terms of Levels
“long term” buying / selling strategy – Trend
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Commodity intelligence unit (CIU)
Systematic approach in:
Collecting relevant data Volume/open interest/order book/basis/COT/CIT/USDA/farmdoc/3D Food/basis Translating data in readily accessible reading format Graphs Hedging effectiveness Translating data in readily accessible “numbers” Position measures – Pressure measures – Sentiment measures Pulling the trigger
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Risico Management als Opportuniteit: -- Risk Management: The New Profit Center -•
Reduceren van kapitaal kosten
Reduceren van volatiliteit van Uw winst
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Uw bedrijf als portfolio van kosten en baten – Welke risico‟s vallen tegen elkaar weg? » Afdekken van restrisico met behulp van termijncontracten cross hedge
Management van contract relaties met termijncontracten
Conflicten in contractvoorkeuren kunnen worden opgelost .
Risico Management als Winst Center •
Evaluatie van Uw huidige contracten m.b.v. termijnmarkten
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Zijn de prijsafspraken (risico afspraken,bodem, – plafondprijzen) marktconform? Uw betaalt immers impliciet een premie!
Natural hedge: toevoegen van risico kan leiden tot vermindering totale risico en toename verwachte opbrengst acceleratie van de waarde van Uw bedrijf .
Risico Management als Opportuniteit: -- Risk Management: The New Profit Center --
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Ken Uw risicoprofiel
Hoeveel financieel risico ben ik bereid te lopen
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Financiële structuur risico attitude & perceptie – Maak het meetbaar!
Ben in staat om uit de zeeën van informatie die informatie te identificeren die nuttig kan zijn Identificatie van relevante info
Termijnmarkt prijzen & optie waarden
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FS-Innovators B.V.
“Creating value through financial innovation” Creating value by having a smart risk management strategy .
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