天然气使用上海原油期货计价和套期保值探讨

Discussion on natural gas’s pricing and hedging using Shanghai crude oil futures

中国天然气对外依存度保持较高水平,天然气批发销售和管理模式不断创新发展。因受历史延续、贸易习惯及近两年天然气价格基准波动剧烈等影响,中国挂钩油价进口天然气的贸易形式将长期存在。在建设全国统一大市场和期货市场健康发展的背景下,上海原油期货多层次衍生品市场体系初具规模,中国期货市场已建立完善的市场体系和监管保障体系,上海原油期货流动性强,与布伦特、JCC关联性高,国内企业使用便利,在天然气贸易上已具备与布伦特原油期货、JCC油价共同作为计价基准和套期保值工具的基础。设计天然气贸易采用上海原油期货套期保值的方案,通过历史数据加以验证,结果表明使用上海原油期货套保能有效降低挂钩布伦特、JCC的天然气价格波动。具体的计价和套期保值操作复杂多样,天然气企业在应用时还需要注意,并在发展中予以解决。

China’s foreign dependence of natural gas has maintained a high level and the wholesale,sales,and management mode of natural gas has been continuously innovated and developed.Due to the influence of the continuation of history,trade habits,and the sharp fluctuation of natural gas price benchmark in the past two years,the trade form of importing natural gas linked to oil price will exist for a long time.Under the background of the construction of a unified national market and the healthy development of the futures market,Shanghai crude oil futures multi-level derivatives market system has begun to take shape with strong liquidity,high correlation with Brent and JCC,and convenient use by domestic enterprises.In natural gas trade,Shanghai crude oil futures have the foundation to jointly use Brent and JCC as the pricing benchmark and hedging tool.The scheme of Shanghai crude oil futures hedging for natural gas is designed and verified by historical data.The results show that Shanghai crude oil futures hedging can effectively reduce the volatility of natural gas prices linked to Brent and JCC.However,there are still many problems to be solved since the specific pricing and hedging operations are complex and diverse.