tag:blogger.com,1999:blog-8261438457608174618.post9079027370302191585..comments2023-05-12T16:41:08.754+08:00Comments on Forecast Error: CPC "Lost" $3.6M in HedgingCCLuhttp://www.blogger.com/profile/08569770663341206042noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-8261438457608174618.post-65684445351864964262011-04-01T18:49:05.238+08:002011-04-01T18:49:05.238+08:00Hi CC,
Are there good articles on CHT's hedgi...Hi CC,<br /><br />Are there good articles on CHT's hedging deal with Goldman Sachs few years ago? Apparently the Swap deal is very favorable to Goldman and there are my questions based on limited information:<br /><br />1. The swap had a knock-out clause when USD/NTD > 32.5. Which CHT will receive $2M USD with interests then the contract is terminated. It seems to me that Goldman had limited downside and the hedge did not provide enough protection over a long period of time.<br /><br />2. The swap did not have a knock-out clause when USD/NTD is at some low level. Is it normal that a swap has such an asymmetric structure? <br /><br />3. If the swap does not need to show up on balance sheet, why would the new break out?<br /><br />What is your take on it?<br /><br />Andy楊大寶https://www.blogger.com/profile/04692847628587763718noreply@blogger.comtag:blogger.com,1999:blog-8261438457608174618.post-53795000581786405452010-11-28T18:52:34.992+08:002010-11-28T18:52:34.992+08:001. 有可能是跟財務報表有關,swap 不用在 balance sheet 上面顯示出來。futur...1. 有可能是跟財務報表有關,swap 不用在 balance sheet 上面顯示出來。futures 要時時應付 margin call 的問題,swap 也不像 forwards 一樣期末結清,在中間也會定時要處理現金流進或是流出。公營事業的會計制度通常很煩人,這裡面有些什麼玄機非得下去看看原始資料才知道。<br /><br />2. swap 的形式很豐富,他們可以用兩個 CFD 來計算 (新加坡航空燃油和杜拜原油),中油持原油的 long position 以及成品油的 short position,只要合約價格差價設定在 $20 就跟報告裡提到的合約差不多了。他們也可以選擇使用其他工具,不一定要 CFD。重點在於結清的時候,特別是出了什麼狀況合約必須提前終止的時候,能否清楚規範責任歸屬。<br /><br />3. 這個要問中油才知道了。有可能是他們認為那種現象很快會消失,而長期來看那個合約對他們來講是有好處的。也有可能純粹是動作慢,或者是年終獎金不從操作利潤來,多一事不如少一事,反正到時候合約會自動 knock out 掉 (他們一定有虧損超過特定額度合約自動終止的條款,因為這是法規限制他們必須在簽約的時候考慮到)。在國內油價設定上限而與國際價格脫勾的時候,swap 不是最好的避險工具,但它不是絕對不能使用的工具。沒有人規定在原油價格和成品油價格同時上漲時兩者價差一定會擴大或縮小 (這是我在文章裡面提到做 cointegration 實證的緣故),先看看價差的長期均衡大概在什麼位置再說。CCLuhttps://www.blogger.com/profile/08569770663341206042noreply@blogger.comtag:blogger.com,1999:blog-8261438457608174618.post-36264473472670162202010-11-28T09:41:08.345+08:002010-11-28T09:41:08.345+08:00Hi, I'm a derivatives newbie and I have some q...Hi, I'm a derivatives newbie and I have some questions. I hope you don't mind answering:<br /><br />1. Can frequent cash outflows be the reason that CPC didn't use futures? There's initial margin, and if CPC's margin account dipped below maintenance margin they need to top it up again. Hence there can be frequent cash outflows if they choose to use futures.<br /><br />2. How does commodity swap work? The mechanics seems to be one party pay fixed/float price in exchange of float/fixed payment. Does it require margin account as well? But the way you have described, it sounds like CFD. <br /><br />3. When politics interfered the oil price set by CPC in 08, why can't they just close out their position straight away? Why did they hold the swap contracts for the entire duration of political interference?<br /><br />Thank you very much.楊大寶https://www.blogger.com/profile/04692847628587763718noreply@blogger.com