?T???? ???S???? ???????????

1
?T???? ???S???? ??????????? S???? ?????GO?
????????GO? ???????O? ??????? T???SS?O? ????F??O?
?a?t???a?? ?a?????a
?T??? , 16-8-2008
2
S??p?? - S?????
S??p??
???a? p??? ?a??te?? t? ?a p??ß??pe? ?a?e?? ?????
ßeßa??t?ta ap? t? ?a µ?? p??ß??pe? ?a????? ?enri
Poincare

• ?s? t? d??at?? p?? s???pt??? pa???s?as? t??
  ???µat?st???a??? pa?a?????
• ??d???te?a ??p??e? ßas???? p????f???e? ??a ta
  ?a?t???a?? pa?????a

3
?a?a?t???st??? S???????? ??????µ????
?e??ß?????t??

• ??µet?ß??ta ep?t???a
• ?etaß???? st?? ?s?t?µ?e? ??µ?sµ?t??
• ??a??µ??se?? st?? t?µ?? t?? eµp??e?µ?t??
• ??t???? a?ta????sµ??
• ??ta????sµ?? ???µat?p?st?t???? ?d??µ?t??
• ?a???sµ??p???s? t?? eµp?????

?e?????? ??a?e???s?? ???µat???????µ???? ???d????
4
?a?????a µ?sa
???sµ??
???µat???????µ???? a??e? t?? ?p???? ? t?µ?
pa???eta? ap? t?? p?a?µat??? t?µ? t?? e?e???t????
sta ?p??a ßas????ta?, e?te a?t? e??a?
???µat???????µ??? ? f?s???

• ?p?te???? ??????µ??? s?µf???a µeta?? d?? µe???
  (a?t?s?µßa???µe???), a?ta??a??? e?e???t???? st?
  µ?????
• ?e s???st??? pe????s?a?? st???e?? ap? µ??a t???
• ?p?s??p??? st?? ap?te?esµat??? d?a?e???s? t??
  pe????s?a??? st???e??? p?? a?t?p??s?pe????
• S??e?sf????? ?et??? st? sta?e??t?ta ?a? e??????
  t?? a?????

5
???????a
Spot ? f?s??? (p?a?µat???) a????, st?? ?p??a
?? s??a??a??? e??a?a?????ta?
aµ?s?? ??e???t??? ?? ?p???d?p?te pe????s?a??
st???e?? (f?s??? ? ???µat???????µ???) t?
?p??? d?ap?a?µate?eta? st? Spot a???? ?a?
?p??a??st?ta? ap? pa?????a st?? a????
pa?a????? ????t??? ??s? (Short
position) T?s? short ? a???t??? ?aµß??e? ?
d?ap?a?µate?t?? p?? s?µf??e? ?a p????se? ??p???
a?a?? (f?s??? ? ???µat???????µ???) Tet??? ??s?
(Long position) T?s? long ? ?et??? ?aµß??e? ?
d?ap?a?µate?t?? p?? s?µf??e? ?a a????se? ??p???
a?a?? (f?s??? ? ???µat???????µ???)
6
?a?????a

• ?p?? ????e? ?a? ? ???µas?a t??? e??a?
  ???µat???????µ??? p?????ta t?? ?p???? ? t?µ?
  pa???eta? (p????pte?) ap? t?? t?µ? t?? p?????t??
  sta ?p??a ßas????ta? (?p??e?µe?a p?????ta)

???? ?????????O? ??SO? ???? ?????????O? ??SO?
??????????? ?????????S?O???? ????????
Sp???? ?a? ?a?p?? ?et????
?t???t??f?a ?a? ???a? ?p?t???a
???e?a, ??µata ?a? s?µß??a?a t??f?? ???? s?????a?µa
????t?µa ?a? ß??µ??a???? ??ta??a ?e??te?
??e??e?a?? ??????ta
7
S??t?µ? ?st????? ??ad??µ?

• Ta??? (330p?) ???a??µa st? ???s? ??a??t??ße???
• ???a?d?a (1636) S?µf???e? ??a µe????t??? p???s?
  d?af???? e?d?? t????pa?

? ???????? ????? ?a?a?????

• ??µ?????????e t? ???µat?st???? ?a?a????? ??????
• ???t? S?µß??a?? st?? 27 ?????st?? 1999
• 17 ??????? 2002 S?????e?s? ?p????f?s? ?.?.?.
  ap? ???µat?st???? ????? ??????

8
???se?? ?a?a?????
???se?? ???ste? pa?a?????
???ste? ?a?a?????

• ?e??s? ???d????
• (??t?st??µ?s?)
• ?e?d?s??p?a
• ?e?d?s??p??? a?t?st??µ?s?
• ?e??s? t?? ??st???
• ??s?d?? / ???d?? ap? t?? a????
• ???s??s? ap?d?s??
• ?????f???e? ??a t?? a????

• ???pe?e?
• ?pe?d?t???? eta???e?
• ?sfa??st???? eta???e?
• ?pe?d?t??
• ?p??e???se??

9
??d? ?a?a?????

• ?a?????a µ?sa ????esµ?a??? ß?s??

????esµ?a??? ????e?? (Forward Agreements)
????esµ?a?? S?µß??a?a (Future Contracts)

• ???a??µata p??a??es?? (Options)
• ??ta??a??? (Swaps)
• ???p? pa?????a

10
?as???? ???se??

• ??t?st??µ?s? ???d????
• (Hedging)

?e?d?s??p?a

• St????

• St????

?p???µ?s? ???d??? ap? e?t?µ?s? ??a t?? ?ate????s?
t?? a?????
???stas?a t?? a??a? t?? pe????s?a??? st???e???

• ???? ?e?t?????a?

• ???? ?e?t?????a?

???? a?t??et?? ??s?? st?? pa?????? a???? ap?
a?t?? p?? ??e? st? f?s??? a????
?????/????s? ?a?a????? µe st??? t?? ????s?/?????
a?t?? se ?????te??/?aµ???te?? t?µ? ap? t?? a?????

• ???ste?

• ???ste?

?µp?e??µe??? ?a? st? F?s??? ?????
?pe?d?t?? a?e?a?t?t?? p????e?s??
11
?a?????a ??sa ????esµ?a??? ??s??
S?µß??a?a µeta?? d?? µe??? p?? apa?t??? µ?a
s???e???µ??? p???? se µ?a µeta?e??ste?? ?µe??µ???a
???p?? ??ap?a?µ?te?s?? ??t?? ? ??t??
???a??µ???? ???µat?st?????

• ????esµ?a?? S?µß??a?a (Futures)

• ????esµ?a??? ????e?? (Forwards)

• ??t?s?µßa???µe??? ????ap???s?a a?a??? se
• p??s?µf???µ??? µe????t??? ??????? st??µ?
• p???a????sµ??? t?µ?

12
?????te?e? d?af???? Futures Forwards
Futures
Forwards

• ?p??e??ta? se d?ap?a?µ?te?s? se ??e? s??a??a???
  ???µat?st?????
• ??p?p???µ??a (µ??e??? s?µß??a???, ???????
  d????e?a, pa??d?s?)
• ?ta???a ???a????s??- ?e??????? asfa?e?a?
• ?a??µe????? d?a?a????sµ?? ???d? / ??µ???
  p?st????ta? ?a??µe????

• ??????µat?st???a?? ??????ta
• ??ap?a?µate?s?µa ?? p??? ????? t??? ?????
• S?µa?t???? ?? ta?t?t?te? t?? a?t?s?µßa???µ????
• ?ata???t??? p????µ? st?? ?µe??µ???a ?????

13
?a??de??µa µe d?af???? e?? a?t? ??a forwards
d?? eta???e? ?p???????? Futures

• ??p?p???µ??a ?? ß??t?st? ?????? ??s???
• ??p?p???µ??e? ?µe??µ???e? pa??d?s??
• ?µe??s??? ??a?a????sµ??
• ?p????? ?a te?µat?s??? ta s?µß??a?a ?p?te t?
  ep???µ??? p??? ap? t? ????
• ???a? e????µ??a

?ta???a ???a????s?? (clearing house) - ?e?t?????e?

• ?????s? ??p????s?? S?µß??a???
• ???a????s?
• ??e?pe?a??s? t?? pa?ad?se??

?µe??s?a ???a????s? S??a??a??? (Marking to
Market)
???a??asµ?? ?e???????? ?sfa?e?a?
14
Future Contracts

• ??ap?a?µate???ta? sta ???µat?st???a ?a?a?????
• ?? s??a??a??? te????ta? ap? t?? ?ta??e?a
  ???a????s??
• ?? e?t???? t?? epe?d?t?? d?e?pa??e????ta? ap?
  µes?t???? eta??e?e?

(Paper-Brokers)
???a????s?
?at? t?? ?µe??µ???a ????? t?? S?µß??a??? (?e????
???a????s?), ? ????te?a
Marking to Market
?a ???d? ? ?? ??µ?e? e??a?a?????ta? se ?µe??s?a
ß?s?
15
???a??µata (Options)
???a? ??a s?µß??a?? p?? d??e? st?? ??t??? t?? t?
d??a??µa a??? ??? t?? ?p?????s? ?a a????se? ? ?a
p????se? ??a pe????s?a?? st???e?? se ??p??a
p???a????sµ??? t?µ? se µ?a ???sµ??? ???????
pe???d?
? ????? a?t?s?µßa???µe??? ??e? t?? ?p?????s? ??a
t?? e?p????s? t?? s?µß??a???
?p?µ?s???

• Call option
• Put option

• ????pa???? ??p??
• ?µe???a????? ??p??

16
??ta??a?? (Swap)
???a? µ?a s?µf???a µeta?? d?? µe??? ??a t??
a?ta??a?? ?p???e?se?? p????µ?? p.?. t???? ??a µ?a
s???e???µ??? pe???d? ?a? ??a s???e???µ??? ?ef??a??

• ??????µat?st???a?? s?µß??a??
• ?p????? ?a ?e??????? µ?a se??? ap? p???esµ?a???
  p???e??
• Swap ?p?t?????
• Swap S??a????µat??

???p? ?a?????a

• ???a??µa ??ta??a??? (Floor Cap)
• ???a??µa st?? ????esµ?a??? S??a??a???

17
?a?t???a?? ?a?????a
?a?a?t???st??? t?? ?a?t???a??? ?????? ?????
??????µ???? ???d????

• ????? ?e?st?t?ta t?µ?? ?a???? (70 µetaß??? se 20
  ?µ??e?)
• ??a????s? µe????? ?efa?a???
• ??t??? ep?????t?ta
• Fa???µe?? ?a?t???a??? ??????
• ????e?e?? pa?????te? (st?at??t??? ?e????ta, ??a
  ???t?sµata pet?e?a??? ?.a.)
• ???a??? se ep?t???a ?a? ?s?t?µ?e? ??µ?sµ?t??
• ?etaß???? a??a? p?????

S?µa?t??? ? d?a?e???s? ??s???
??????? pe??ß????? ??a a??pt??? pa?a?????
18
???sµ??
?a ?a?t???a?? pa?????a e??a? ??a
???µat???????µ??? p????? p?? d?ap?a?µate?eta? ??a
µe????t??? ????? de??te? p?? af????? t??? ?a?????
f??t???? ??d?? f??t??? ?a? de?aµe??p?????.
?e??te? ???µat?st???? t?? ?a?t???? Platts
?e? pe???aµß????? f?s??? pa??d?s? ?e? a?af????ta?
se ?pa??t? p???a

• ??????t?t??e? ?a?t???a??? eta???e? ?e????te?a
• ?ta???e? p?? eµp??e???ta? pet???a?? s?t???
• ???pe?e? ????? ???µat?p?st?t???? ???a??sµ??

?st?????
?????te??? ???ste? ?a?t???a??? ?a?a?????

• 1985 BIFFEX
• 1992 FFAs

19
??d? ?a?t???a??? ?a?a?????

• Forward Freight Agreements (FFAs)
• S?µß??a?a p?? ?a???????? t?? t?µ? t?? ?a???? ??a
  µ?a s???e???µ??? p?s?t?ta f??t??? (? t?p??
  p?????) ??a µ?a d?ad??µ? (? s??d?asµ? d?ad??µ??)
  ap? t?? ?????te?e? d?ad??µ?? t?? tanker t??
  bulk carriers
• Freight Futures
• Se ???a??µ??a ???µat?st???a NYMEX, IMAREX
• p.?.IMAREX
• ?pe??e?a? st?? ??e?t?????? ???? µ?s? µes?t?? st?
  ?s?? t? S???ap????
• ??s? a?e???t?t?? µes?t?? ?a?t???a??? pa?a?????
• Clarksons, Simpson Spence Young, Freight
  Investor Services

20
??d? ?a?t???a??? ?a?a????? (s????e?a)

• Hybrid FFAs
• ??????µat?st???a??? S?µf???e?
• ???a?a?????ta? ap? t? LCH.Clearnet
• Freight Options
• ??a??s?µa se µeµ???µ??e? d?ad??µ?? t??
  ???µat?st????? t?? ?a?t????, se ?a????a d?ad??µ??
  sta FFA p??? se a?t?
• ????a?a, t??µ???a?a, et?s?a
• ???s?µ?p????? t??? de??te? t?? ???µat?st????? t??
  ?a?t????
• ???a??µa a????? ? p???s??
• ?a??de??µa ??????t?t?? (s?µß??a?? p???s??)
  s?µf??e? ?a d?a??se? t? p???? t?? se µ?a
  s???e???µ??? ?µe??µ???a st? µ????? st??
  p???a????sµ??? t?µ?

21
?? s?µß??a?? t?? ?a?t???a??? pa?a????? p??pe? ?a
ap?te?e?ta? ap?

• ?? d?ad??µ?
• ??? t?µ? t?? futures / forwards
• ??? µ??a? t?? s?µß??a???
• ?? ??????? d????e?a t?? s?µß??a???
• ??? p?s?t?ta
• ??? d?a?a????sµ?
• ??? e??a????s? (e?? a?t? ?p???e?)
• ??a s?µß??a?? t?? FFABA (Forward Freight
  Agreement Brokers Association)
• ? ??a p??sa?µ?sµ??? ISDA (International Swap
  Derivatives Association)

22
?a ?????te?a ???µat?st???a d?ap?a?µ?te?s??
?a?t???a??? pa?a????? e??a? ta

• ?? IMAREX ap? t?? ?????? t?? 2000 as???e?ta? µe
  t? d?ap?a?µ?te?s? ?a? t?? e??a????s? t?? Futures
  µe????t???? s?µß??a??? p??? se de??te? t??
  ???µat?st????? t?? ?a?t????.
• ?? NYMEX ap? t? ???? t?? 2005 d?ap?a?µate?eta?
  ?a? e??a?a???e? ?a? a?t? Futures s?µß??a?a.
• ?? LCH ap? t? Sept?µß??? t?? 2005 e??a?a???e? FFA
  ta ?p??a d?ap?a?µate?t??a? OTC ap? ?a???t?? ?a?
  ?ts? d?µ?????e? ?ß??d??? FFA.

IMAREX

• ???ß????? eta???a
• ?e?t????e? ap? t? ???? t?? 2000
• S??e????eta? µe t?? NOS (Norwegian Futures
  Options Clearinghouse

23
??ad??µ?? t?? IMAREX
24
??ad??µ?? t?? IMAREX
25
????esµ?a?? S?µß??a?a ?a????
Baltic Indices

• ?a?????ta? ap? t? ???REX
• ?f????? se ad??stat??? de??te? t??
• ???µat?st????? t?? ?a?t????
• ???a?a?????ta? ap? t?? NOS ?a? ???e?
• eta??e?e? e??a????s?? (??S, LCH, ?????)

BTI
BDI
BCI
BDTI
BPI
BHI
BSI
BCTI
BITR
??ad??µ?? ????? F??t???
IMAREX ????T? ???????O? DRY BULK IMAREX ????T? ???????O? DRY BULK IMAREX ????T? ???????O? DRY BULK IMAREX ????T? ???????O? DRY BULK
Routes Sector Route Description Cargo Size
C4 Capesize Richards Bay Rotterdam 150000
C7 Capesize Bolivar Rotterdam 150000

P3A Panamax T/C S.Korea Japan Pacific 74000
Panel B Listed Basket of T/C Dry-Bulk Futures Panel B Listed Basket of T/C Dry-Bulk Futures Panel B Listed Basket of T/C Dry-Bulk Futures Panel B Listed Basket of T/C Dry-Bulk Futures
CS4TC Capesize T/C Average n/a
PM4TC Panamax T/C Average n/a
HM6TC Handymax T/C Average n/a
????de? /day ?????e?a s?µß??a??? ?t?s?a/???µ???
a?a/????a?a
P2A Panamax T/C Skaw Gibraltar
Far East 74000
??ad??µ?? ????? F??t???
????de? Worldscale (WS) ?????e?a
s?µß??a??? ?t?s?a/???µ???a?a/????a?a
26
???a????s?

• ??e?e??e?ta? ap? t? ?MAREX st?? p?atf??µa t??
  ?OS

(Norwegian Futures and Options Clearing House)

• ? NOS ??s???eta? st? s??a??a?? ?? ? ?e?t?????
  a?t?s?µßa???µe??? p??sf????ta?

• ????p?st?a
• ?s????p?a
• ??a???t???t?ta

???a s?µß??a??? Freight Future
? R - I
? gt 0 ???d?? ap? a???? futures
? lt 0 ???d?? ap? p???s? futures
? ?
R ??µ? Spot (/day) I ??µ? Future (/day)

• ?? R af??? st?? ?µ??a e??a????s??