炼厂锁定进口燃料油成本方案初探

Tentative scheme for refineries to lock in imported fuel oil costs

理论上,炼厂的套期保值(Hedging)主要是通过卖出原油与成品油之间的裂解差合约(Crack)来控制炼油利润的收窄。但是,这种操作要求炼厂的原料和产品都是市场化的商品,而且都有对应的期货(或衍生品)交易工具。我国炼厂原料价格随国际市场价格波动,但油品价格尚未市场化,并相对稳定。针对这种业务结构特征,笔者提出了"选择性买入保值"(Optional Long Hedging)方案。该方案是指在某一时期汽柴油销售价格波动较小的前提下,当原料与成品油价格之间已经出现锁定炼厂利润的机会时入市,以买入期货(或衍生品)的手段建立对基本利润的保护机制,并在持仓过程中通过多种技巧增加盈利。"选择性买入保值"使用的对冲工具以新加坡场外市场交易的纸货为主。对于具体的"买入保值"入市点,需要结合炼厂的盈亏平衡点来确定。套期保值综合盈利的技巧包括纸货头寸(Swaps Position)的滚动操作、敞口(Risk Exposure)的调整和保值工具的切换。

Theoretically,the common hedge model for refineries is to lock in profit margins by trading the crack spread between crude oil and oil products.However,this model requires that the refinery's products and raw materials be commercial products in a free market,and that they have corresponding futures or derivatives instruments.Raw materials costs for Chinese refineries fluctuate with the international market, while prices for their products,as they are not set by the market,hold relatively steady.The author proposes an'Optional Long Hedging Scheme'targeted at this operational structure.Under this scheme,during a period of relatively minor fluctuation in gasoline and diesel sales prices,refineries enter the market when there is an opportunity to lock in refinery profit margins between raw materials and oil products,establishing a protection mechanism for their basic profits by purchasing futures(or derivatives),and increasing profits through a series of skills during the positioning process.As a hedging instrument,this scheme focuses mainly on fuel oil trading on the Singapore OTC market.The specific point of entry for'long hedging'must be determined by the point of equilibrium between the refinery's profits and losses.Overall hedging profit skills include rolling swaps position,regulating risk exposure and switching between hedging instruments.