УДК 338.24.01

ПРАКТИЧЕСКИЕ АСПЕКТЫ ХЕДЖИРОВАНИЯ СЫРЬЕВЫХ РИСКОВ ПРЕДПРИЯТИЙ АВТОМОБИЛЕСТРОЕНИЯ ПОВОЛЖЬЯ

Курилова Анастасия Александровна
Тольяттинский государственный университет
доктор экономических наук, доцент, профессор кафедры «Финансы и кредит»

Аннотация
Автомобильная промышленность Поволжья сталкивается с возрастающей конкуренцией со стороны ведущих мировых и российских производителей. В этих условиях становится важным достижение оптимальной цены без снижения потребительских свойств производимых автомобилей. Возможный способ оптимизации – хеджирование рисков за счет покупки биржевых и внебиржевых производных финансовых инструментов. Данную практику, можно применить на автомобилестроительных предприятиях Поволжья, для этого в работе рассматриваются практический пример хеджирования рисков на крупнейшем предприятии автомобилестроения Поволжья.

Ключевые слова: автомобильная промышленность, деривативы, отрасль по производству транспортных средств, производные финансовые инструменты, хеджирование рисков


PRACTICAL ASPECTS OF HEDGING COMMODITY RISK AUTOMOBILE COMPANY IN VOLGA REGION

Kurilova Anastasia Alexandrovna
Togliatti State University
Ph.D., professor of «Finance and Credit»

Abstract
Volga Automotive industry is facing increasing competition from the leading world and Russian producers. In these circumstances, it becomes important to achieve optimum price without compromising consumer properties of manufactured cars. Possible optimization - hedging through the purchase of exchange-traded and OTC derivatives. This practice can be applied to automotive enterprises of the Volga, in this paper we consider a practical example of hedging at the largest enterprise of the Volga automobile.

Рубрика: Экономика

Библиографическая ссылка на статью:
Курилова А.А. Practical aspects of hedging commodity risk automobile company in Volga region // Гуманитарные научные исследования. 2016. № 11 [Электронный ресурс]. URL: http://human.snauka.ru/2016/11/17643 (дата обращения: 29.11.2016).

The practice of the financial and business ce Russian companies – manufacturers of cars shows that Russian companies do not have a risk management system changes in cost of raw materials and components, as well as currency fluctuations.

It should be noted that while many commercial banks offer products allowing to hedge commodity risks. One of these banks is the JSC “Bank VTB Capital” (the VTB Capital). VTB Capital offers the opportunity to hedge commodity risk by entering into forward contracts bezpostavochnyh and option contracts [1, p.40].

For transactions require the signing of a framework document (RISDA model contract). One of the advantages of this agreement is the lack of actual transactions on the part of the customer market, ie VTB Capital purchase or sale of an instrument of exchange on its own behalf on behalf of a client. Therefore automobile companies such as PAO “AVTOVAZ” and PAO “KAMAZ” may conclude with the announcement of the bank and all the costs of the operation carried out by the broker are laid in the price of the instrument.

We form the concept of management of price risk. For the construction of price risk management system on the purchase of aluminum is first necessary to choose hedging instruments [2, p.118].

At the moment, there are the following options for risk management:

- Trade in commodity derivatives;

- Debt products;

- Investment products.

Possible to use several products simultaneously. In the calculations it is important to start with the production volume of raw materials, to avoid the situation “perehedzhirovaniya”.

When choosing a hedging instrument is necessary to pay attention to the choice of the market. The main options for a stock market and the OTC market with the exchange and OTC transactions, respectively [3, p.130].

It is possible to group the tools used in various market in two ways – exchange and OTC instruments.

Among exchange-traded instruments include:

- Futures – a firm commitment to buy or to submit in the future a standard amount of some asset at a price agreed between the parties;

- Option – a contract that gives its holder the right, without giving rise to obligations, to buy or sell a certain asset at a specified price during a fixed period of time.

OTC instruments:

Swap – Contract OTC trading, which exchange the floating rate on a fixed (swap the underlying asset at the differential etc.).

Forward – OTC analogue futures.

UTS – option – OTC analogue of stock options.

You should also make a distinction between direct and indirect hedging.

In direct hedge pricing depends on tradable, liquid index.

With indirect hedging liquidity index does not exist.

The calculation of hedge effectiveness for the PJSC “AVTOVAZ”.

Monthly production volume of aluminum consumption to PJSC “AvtoVAZ” – 1655 tonnes of metal. The company pays for raw materials according to the average quotation of LME. We will offer the fixing of the cost of purchased aluminum on supply for the period from June to December 2015.

Since the price of each lot in a timely manner is formed in the international market, to fix the prices of raw materials necessary to choose one of three options for hedging offered by VTB Capital:

- Fixing of prices (swap);

- Guaranteeing maximum price (optional);

- Limiting the potential price fluctuations (Collar).

At the moment, the dynamics of the aluminum market is characterized by the presence of free inventory and increased production potential in the event of increasing profitability. At the same time, it is worth noting that traders activity is characterized by an increase in the premium on the spot metal and related logistics warehouses mainly in the US region [4, p.194].

The forward curve is in “contango”, which allows you to record future sales above the current spot level.

Thus, we consider the proposed swap.

Purpose: to fix the price of the purchased product at a certain level for a specified period.

General terms:

In the case of the purchase of swap:

If the market price during the specified period is lower than the fixed price, the swap buyer pays the seller the difference between the fixed rate swap and the market price.

If the actual market price during the specified period will be higher than the fixed price, the swap seller pays the buyer the difference between the fixed rate swap and the market price [5, p.150].

Date: May 2016

Spot (7m) 2105 $ / tn

Period: June – December 2016

Swap: 2094 $ / tn

The bank and the customer have a mutual obligation to pay the agreed price of the asset.

The swap provides the company full protection against adverse price movements, but bears the risk of loss of profits.

Normally, the swap does not involve the payment of bonuses or commissions.

In order to conclude swap transactions must be the opening of the credit limit.

The second option of hedging aluminum prices – a buy option (fixing a maximum price level).

General terms:

Purchase client option involves the payment of the option premium.

The option protects the buyer against unfavorable changes in prices and allows you to “participate” in a positive development of the market for the customer [6, p.8].

Purchase Client option does not involve opening the limit (if the client selling the option of such a limit is needed)

Date: May 2016

Spot (7m) 2105 $ / tn

Swap (7m): 2094 $ / tn

Period: June – December 2016

Strike 2200

Award 35

By purchasing an option, the customer gets the right but not the obligation to make a purchase CALL goods on a specified date at a predetermined price (strike price).

If formed price on the expiry date of the option the market price is more favorable level of the strike, the client refuses to strike a deal and implement the market price.

And the third option hedging – is to use option strategies “Collar” (Restriction of potential price fluctuations).

General terms:

Corridor (a combination of put options and call) – fixing the market price of the purchased product in a particular hallway guaranteed for a specified period [7, p.73].

At the time of the transaction the customer pays the bank a one-time insurance premium.

However, it is also possible to pick up the boundaries of the corridor, so that the insurance premium will be zero.

Date: May 2016

Spot (7m) 2105 $ / tn

SWAP: 2094 $ / tn

Period: June – December 2016

The lower limit of 2040 $ / tn

The upper limit of 2200 $ / tn

Cost: 0

We have a structural corridor with zero premium.

If:

- The real market price during a specified period will be higher than the fixed price (the upper limit of the corridor), the bank pays the customer the difference between the fixed and the market price.

- The real market price during a specified period is lower than the fixed price (the lower limit of the corridor), the customer pays the bank the difference between the fixed and the market price.

- The real market price during a specified period will be within the corridor, liabilities are cleared without any additional payments.

Of the three models studied at first glance is the most optimal option strategy “Collar”:

1) The boundaries of the options can be set so that the strategy will, without payment of premium;

2) Participation in the fall of the market;

3) Restrict the take-off rates.

Nevertheless, when selecting the best strategy is necessary to calculate the monetary effect of transactions. We calculate the economic effect of the implementation of a hedging strategy on the example of aluminum purchases.

PJSC “AVTOVAZ” for the period from June to December, the amount of aluminum is required in the amount of 11640 tons.

Assume that the price of aluminum on the LME amounted to 2104 dollars per ton. Since the unknown future price movement will offer to calculate three options:

- Falling prices up to $ 2,000 per tonne;

- The market unchanged, the price is 2104 dollars per ton;

- The growth of aluminum prices to 2300 dollars per ton.

On the basis of the proposed aluminum market movements options possible cost of purchases of metal was calculated.

According to the calculation results it revealed that it is impossible to allocate clearly in one direction or another one tool. The effectiveness of each instrument is shown at a specific market movement.

With a significant market decline most favorable is the absence of hedging instruments, at the same time choosing between the tools, cheapest cost purchase option. In this case, the advantage of the option is shown, which is the ability to participate in the market decline, and the price will be different from the market on the value of the premium paid.

In the case of the most favorable swap market stability. This is primarily due to the fact that at the time of the analysis of the market situation made it possible to hedge the price of the swap below the spot price.

With the growth of aluminum prices, for the same reasons, the most interesting is the swap.

But, despite the fact that in this example, two variants of development of three more profitable proved a swap, you have to understand that the price of the metal with the same probability can go both up and down, and the purchase of swap no practical possibility to participate in the fall market, which is a big disadvantage of this tool.

Assessing the value of price risk, should start from the most probable price in the future, which can be determined by the method of “Monte Carlo”, voiced in the first chapter.

Recall that the accuracy of this method depends on the number of sampling points and the number of scenarios constructed. To compile the most plausible pattern in the analysis were presented in aluminum prices daily values for 2015 and the first half of 2016, and five hundred scenarios are built.

Most likely, the average price for the period from June to December of 2213.86 dollars per ton aluminum.

In the course of the analysis based on a “Monte Carlo” five hundred possible scenarios was designed.

According to the results of calculations it can be concluded that with the use of the option purchase price of aluminum will exceed the market at $ 35 per metric ton, in the case of aluminum, will cost less than 2235 dollars. After overcoming this milestone aluminum will be purchased below market prices. The probability of a successful outcome is abou

The practice of the financial and business ce Russian companies – manufacturers of cars shows that Russian companies do not have a risk management system changes in cost of raw materials and components, as well as currency fluctuations.

It should be noted that while many commercial banks offer products allowing to hedge commodity risks. One of these banks is the JSC “Bank VTB Capital” (the VTB Capital). VTB Capital offers the opportunity to hedge commodity risk by entering into forward contracts bezpostavochnyh and option contracts [1, p.40].

For transactions require the signing of a framework document (RISDA model contract). One of the advantages of this agreement is the lack of actual transactions on the part of the customer market, ie VTB Capital purchase or sale of an instrument of exchange on its own behalf on behalf of a client. Therefore automobile companies such as PAO “AVTOVAZ” and PAO “KAMAZ” may conclude with the announcement of the bank and all the costs of the operation carried out by the broker are laid in the price of the instrument.

We form the concept of management of price risk. For the construction of price risk management system on the purchase of aluminum is first necessary to choose hedging instruments [2, p.118].

At the moment, there are the following options for risk management:

- Trade in commodity derivatives;

- Debt products;

- Investment products.

Possible to use several products simultaneously. In the calculations it is important to start with the production volume of raw materials, to avoid the situation “perehedzhirovaniya”.

When choosing a hedging instrument is necessary to pay attention to the choice of the market. The main options for a stock market and the OTC market with the exchange and OTC transactions, respectively [3, p.130].

It is possible to group the tools used in various market in two ways – exchange and OTC instruments.

Among exchange-traded instruments include:

- Futures – a firm commitment to buy or to submit in the future a standard amount of some asset at a price agreed between the parties;

- Option – a contract that gives its holder the right, without giving rise to obligations, to buy or sell a certain asset at a specified price during a fixed period of time.

OTC instruments:

Swap – Contract OTC trading, which exchange the floating rate on a fixed (swap the underlying asset at the differential etc.).

Forward – OTC analogue futures.

UTS – option – OTC analogue of stock options.

You should also make a distinction between direct and indirect hedging.

In direct hedge pricing depends on tradable, liquid index.

With indirect hedging liquidity index does not exist.

The calculation of hedge effectiveness for the PJSC “AVTOVAZ”.

Monthly production volume of aluminum consumption to PJSC “AvtoVAZ” – 1655 tonnes of metal. The company pays for raw materials according to the average quotation of LME. We will offer the fixing of the cost of purchased aluminum on supply for the period from June to December 2015.

Since the price of each lot in a timely manner is formed in the international market, to fix the prices of raw materials necessary to choose one of three options for hedging offered by VTB Capital:

- Fixing of prices (swap);

- Guaranteeing maximum price (optional);

- Limiting the potential price fluctuations (Collar).

At the moment, the dynamics of the aluminum market is characterized by the presence of free inventory and increased production potential in the event of increasing profitability. At the same time, it is worth noting that traders activity is characterized by an increase in the premium on the spot metal and related logistics warehouses mainly in the US region [4, p.194].

The forward curve is in “contango”, which allows you to record future sales above the current spot level.

Thus, we consider the proposed swap.

Purpose: to fix the price of the purchased product at a certain level for a specified period.

General terms:

In the case of the purchase of swap:

If the market price during the specified period is lower than the fixed price, the swap buyer pays the seller the difference between the fixed rate swap and the market price.

If the actual market price during the specified period will be higher than the fixed price, the swap seller pays the buyer the difference between the fixed rate swap and the market price [5, p.150].

Date: May 2016

Spot (7m) 2105 $ / tn

Period: June – December 2016

Swap: 2094 $ / tn

The bank and the customer have a mutual obligation to pay the agreed price of the asset.

The swap provides the company full protection against adverse price movements, but bears the risk of loss of profits.

Normally, the swap does not involve the payment of bonuses or commissions.

In order to conclude swap transactions must be the opening of the credit limit.

The second option of hedging aluminum prices – a buy option (fixing a maximum price level).

General terms:

Purchase client option involves the payment of the option premium.

The option protects the buyer against unfavorable changes in prices and allows you to “participate” in a positive development of the market for the customer [6, p.8].

Purchase Client option does not involve opening the limit (if the client selling the option of such a limit is needed)

Date: May 2016

Spot (7m) 2105 $ / tn

Swap (7m): 2094 $ / tn

Period: June – December 2016

Strike 2200

Award 35

By purchasing an option, the customer gets the right but not the obligation to make a purchase CALL goods on a specified date at a predetermined price (strike price).

If formed price on the expiry date of the option the market price is more favorable level of the strike, the client refuses to strike a deal and implement the market price.

And the third option hedging – is to use option strategies “Collar” (Restriction of potential price fluctuations).

General terms:

Corridor (a combination of put options and call) – fixing the market price of the purchased product in a particular hallway guaranteed for a specified period [7, p.73].

At the time of the transaction the customer pays the bank a one-time insurance premium.

However, it is also possible to pick up the boundaries of the corridor, so that the insurance premium will be zero.

Date: May 2016

Spot (7m) 2105 $ / tn

SWAP: 2094 $ / tn

Period: June – December 2016

The lower limit of 2040 $ / tn

The upper limit of 2200 $ / tn

Cost: 0

We have a structural corridor with zero premium.

If:

- The real market price during a specified period will be higher than the fixed price (the upper limit of the corridor), the bank pays the customer the difference between the fixed and the market price.

- The real market price during a specified period is lower than the fixed price (the lower limit of the corridor), the customer pays the bank the difference between the fixed and the market price.

- The real market price during a specified period will be within the corridor, liabilities are cleared without any additional payments.

Of the three models studied at first glance is the most optimal option strategy “Collar”:

1) The boundaries of the options can be set so that the strategy will, without payment of premium;

2) Participation in the fall of the market;

3) Restrict the take-off rates.

Nevertheless, when selecting the best strategy is necessary to calculate the monetary effect of transactions. We calculate the economic effect of the implementation of a hedging strategy on the example of aluminum purchases.

PJSC “AVTOVAZ” for the period from June to December, the amount of aluminum is required in the amount of 11640 tons.

Assume that the price of aluminum on the LME amounted to 2104 dollars per ton. Since the unknown future price movement will offer to calculate three options:

- Falling prices up to $ 2,000 per tonne;

- The market unchanged, the price is 2104 dollars per ton;

- The growth of aluminum prices to 2300 dollars per ton.

On the basis of the proposed aluminum market movements options possible cost of purchases of metal was calculated.

According to the calculation results it revealed that it is impossible to allocate clearly in one direction or another one tool. The effectiveness of each instrument is shown at a specific market movement.

With a significant market decline most favorable is the absence of hedging instruments, at the same time choosing between the tools, cheapest cost purchase option. In this case, the advantage of the option is shown, which is the ability to participate in the market decline, and the price will be different from the market on the value of the premium paid.

In the case of the most favorable swap market stability. This is primarily due to the fact that at the time of the analysis of the market situation made it possible to hedge the price of the swap below the spot price.

With the growth of aluminum prices, for the same reasons, the most interesting is the swap.

But, despite the fact that in this example, two variants of development of three more profitable proved a swap, you have to understand that the price of the metal with the same probability can go both up and down, and the purchase of swap no practical possibility to participate in the fall market, which is a big disadvantage of this tool.

Assessing the value of price risk, should start from the most probable price in the future, which can be determined by the method of “Monte Carlo”, voiced in the first chapter.

Recall that the accuracy of this method depends on the number of sampling points and the number of scenarios constructed. To compile the most plausible pattern in the analysis were presented in aluminum prices daily values for 2015 and the first half of 2016, and five hundred scenarios are built.

Most likely, the average price for the period from June to December of 2213.86 dollars per ton aluminum.

In the course of the analysis based on a “Monte Carlo” five hundred possible scenarios was designed.

According to the results of calculations it can be concluded that with the use of the option purchase price of aluminum will exceed the market at $ 35 per metric ton, in the case of aluminum, will cost less than 2235 dollars. After overcoming this milestone aluminum will be purchased below market prices. The probability of a successful outcome is about 51%, as five hundred built aluminum price scenarios overcome the necessary threshold of 256 times.

Also, an analysis was carried out using the option strategy, “Collard” in relation to the possible scenarios.

As a result of the calculations revealed that the option “Collard” strategy given corridor, if it enters the market price at which the metal will be purchased at a realistic price. When you exit prices for the lower boundary of the strategy will be the purchase price in 2040 dollars per ton, while the price rises above the upper limit of the price fixed at $ 2,200 per tonne.

If we assume that the purchase at market price is favorable outcome, the probability of its occurrence is approximately 70%, ie 347 out of 500 scenarios.

The calculations revealed that the purchase of the swap is the simplest of the three strategies that have a positive effect in excess of a predetermined price, in this case in 2094 dollars per ton. The probability of a positive outcome based on a “Monte Carlo” is about 64%, or 320 out of 500 scenarios.

So based on the above analysis, we can conclude that the most likely to move away from potential losses or to obtain additional income is possible by using the optional strategy “Collar”.

Thus, the proposal is practical use of PJSC “AVTOVAZ” option strategy “Collard” offered by VTB Capital, to the purchase of aluminum for the production, with a probability of 70 per cent would allow escape from the additional costs.

This strategy will cost from US $ 23,745,600 to 25,608,000 dollars, depending on market movements. With this fix the maximum cost of the purchase of aluminum in the period from June to December amount to 25.608.000 dollars, despite the fact that in 2015 for the same period of PJSC “AVTOVAZ” has spent on the purchase of aluminum 26.896.500 dollars and in 2016 31.375.895 dollars . Those. even under the most unfavorable movement Aluminum course use the option “Collard” strategy of VTB Capital will reduce costs compared to the corresponding periods in the past two years.

Also, the use of hedging instruments will increase the credit ratings of the company and make it more investment – attractive.

t 51%, as five hundred built aluminum price scenarios overcome the necessary threshold of 256 times.

Also, an analysis was carried out using the option strategy, “Collard” in relation to the possible scenarios.

As a result of the calculations revealed that the option “Collard” strategy given corridor, if it enters the market price at which the metal will be purchased at a realistic price. When you exit prices for the lower boundary of the strategy will be the purchase price in 2040 dollars per ton, while the price rises above the upper limit of the price fixed at $ 2,200 per tonne.

If we assume that the purchase at market price is favorable outcome, the probability of its occurrence is approximately 70%, ie 347 out of 500 scenarios.

The calculations revealed that the purchase of the swap is the simplest of the three strategies that have a positive effect in excess of a predetermined price, in this case in 2094 dollars per ton. The probability of a positive outcome based on a “Monte Carlo” is about 64%, or 320 out of 500 scenarios.

So based on the above analysis, we can conclude that the most likely to move away from potential losses or to obtain additional income is possible by using the optional strategy “Collar”.

Thus, the proposal is practical use of PJSC “AVTOVAZ” option strategy “Collard” offered by VTB Capital, to the purchase of aluminum for the production, with a probability of 70 per cent would allow escape from the additional costs.

This strategy will cost from US $ 23,745,600 to 25,608,000 dollars, depending on market movements. With this fix the maximum cost of the purchase of aluminum in the period from June to December amount to 25.608.000 dollars, despite the fact that in 2015 for the same period of PJSC “AVTOVAZ” has spent on the purchase of aluminum 26.896.500 dollars and in 2016 31.375.895 dollars . Those. even under the most unfavorable movement Aluminum course use the option “Collard” strategy of VTB Capital will reduce costs compared to the corresponding periods in the past two years.

Also, the use of hedging instruments will increase the credit ratings of the company and make it more investment – attractive.

Статья подготовлена в рамках работы над исследовательским проектом «К 50-летию ВАЗа: Влияние автомобилизации на социально-экономическое развитие Поволжья», поддержанным грантом Российского гуманитарного научного фонда № 16-12-63003 по результатам регионального конкурса «Волжские земли в истории и культуре России – 2016, Самарская область».


References
  1. Курилов К.Ю., Курилова А.А. Цикличность развития мировой автомобильной промышленности // -М. Экономический анализ № 35 (200), -2010, С.33-44.
  2. Курилов К.Ю. Место российского автопрома в мировой автомобильной промышленности: путь тернист но перспективы при эффективной государственной поддержке светлые // Новосибирск. ЭКО -№ 5, -2012, C.117-133
  3. Курилов К.Ю., Курилова А.А. Определение направлений формирования финансового механизма управления затратами на основе результатов кластерного анализа предприятий автомобильной промышленности // Аудит и финансовый анализ. – 2011. – №4. – С. 122-133.
  4. Курилов К.Ю. Анализ деятельности предприятия с учетом влияния цикличности // Инновационное развитие экономики. 2013. № 6 (17). c. 193.
  5. Ajupov A.A., Artamonov A.B., Kurilov K.U., Kurilova A.A. Reconomic bases of formation and development of financial engineering in financial innovation // Mediterranean Journal of Social Sciences. 2014. Т. 5. № 24. c. 149.
  6. Курилов К.Ю. Прогнозы развития мировой автопромышленности // Международный научный журнал. 2011. №  5. c. 7.
  7. Курилова А.А. Формирование эффективной структуры организации // Карельский научный журнал. 2014. №  3. c. 72.


Все статьи автора «Анастасия Курилова»


© Если вы обнаружили нарушение авторских или смежных прав, пожалуйста, незамедлительно сообщите нам об этом по электронной почте или через форму обратной связи.

Связь с автором (комментарии/рецензии к статье)

Оставить комментарий

Вы должны авторизоваться, чтобы оставить комментарий.

Если Вы еще не зарегистрированы на сайте, то Вам необходимо зарегистрироваться:
  • Регистрация