掉期，点差和安全网

Last year took the world's financial markets to the brink. Trillions of dollars of real estate transactions, OTC credit swaps and other derivatives couldn't be valued; managers didn't know what their portfolios were worth, or how to exit their positions.

Grain merchandisers had it easy by comparison. Deep, liquid futures markets let you quickly and easily lay off price and spread risk. Everything is marked to market daily for complete transparency. Hedges are exchange-cleared, where the CME Clearing Corporation becomes your counterparty and adjusts your account daily for gains or losses. With global finance swirling into chaos, agriculture largely conducted business as usual.

但是以前缺少两件事：

• A way to hedge basis risk
• A way to fine-tune managing spreads

In March 2009 the CFTC authorized clearing of OTC agricultural basis and calendar swaps using the CME Clearport® electronic platform. Approval quickly followed for the June 1 CBOT/CME launch of trading in put and call options on futures spreads in grains and the soy complex (excluding rice and oats).

现在，谷物销售商拥有其他工具来管理这些动荡的市场中的基础，价格和传播风险，同时留在交换清算产品的安全网中！

Swaps 101

这听起来很棒，但是什么是掉期，我们如何使用它们？在监管谈话中，掉期是使用衍生合同在两种工具之间交换或“交换”价格风险的协议，并包括现金流量的交换。

In plain English, a traditional swap is like a hedge. Two people might agree they will ‘swap' money based on the changing value of some agreed-upon benchmark. An ethanol plant could buy a swap from a financial firm to fix the price of corn for 12 months, using an agreed-upon price of $4.00, based on December 09 CME corn futures, to be settled in monthly increments on an agreed upon day each month. If December corn futures are above $4.00 on that date, the swap seller sends money to the ethanol plant. If December futures are below $4.00, the ethanol plant sends the difference to the financial entity.

The swap protects the ethanol plant's corn cost at $4.00 (futures) plus basis. The plant still needs to buy physical corn at some price/basis; the swap gain or loss determines the final net raw material cost. The major risk to both parties is whether each will be able and willing to meet any financial obligations. The plant is also tied to the original counterparty and cannot exit the swap early unless both sides agree.

Exchange-cleared agricultural swaps

芝加哥商品交易所已经清除乙醇互换但现在清楚了s ag calendar swaps, which manage price risk, and basis swaps which manage basis risk. These swaps are financial transactions — they are not cash grain contracts. The CME's Clearport platform is used only for the counterparties to enter the details of their trade. From that point the CME becomes the counterparty to each side.

These swaps are not traded in CME pits, nor on Globex. Swap participants work out their terms directly over the phone, via e-mail, or through a third-party broker. CME has standardized some swap terms, however, to facilitate clearing:

• 5,000-bushel increments; 1/4¢ price ticks
• Standardized contract periods and expirations
• Standardized settlement process at maturity.

E-C swaps eliminate some issues and risks of privately held swaps. The benefits include:

• CME清算的财务完整性实际上消除了交易对手信用风险
• Cross-product margining with your exchange-traded futures and options can reduce capital requirements for initial and ariation margin on other hedges
• 透明度 - 每日市场
• Liquidity — you can exit your swap by finding another party that agrees to the terms
• 交换的当事方不需要彼此了解或有任何业务联系
• Eliminates need for time-consuming ISDA (Int'l. Swap Dealers Assn.) documentation

Getting started:

• 交换参与者必须每个人都有一个活跃的期货帐户，并与一家交易交易出现在其中
• 所有交换买家和卖家还必须最初在CME/NymexClearport®上注册。（（www.nymex.com/cp_start.aspx)
• 全部ag hedgers who wish to buy or sell exchange-cleared swaps to manage business risks must have a federally required minimum net worth of $1 million

Grain veterans from the mid-1980s will remember when the government disposed of surplus CCC inventories by transferring them to farmers in the form of Payment in Kind certificates in lieu of paying cash for farm program benefits. Farmers could redeem the certs for physical grain at a warehouse (and sell the grain) or sell the certificate in a secondary market -- "Over the Counter."

贸易商迅速抓住了套利机会，繁荣的二级市场出现，证书以各种保费自由交易以面对价值。证书买卖双方没有持久的关系，通常在地理上相距遥远。将证书运送到买方银行控制的对手风险。

Basis Swaps

Trading the new basis swaps reminds me of trading in PIK certificates. The functions of swaps and certs are different, of course, but the process is similar: Unrelated parties execute a financial transaction. They don't have to know each other, and why each is doing the transaction is irrelevant to the other party.

Basis swaps offer a way for buyers or sellers of cash grain to hedge basis risk for a negotiated time slot, without being committed to a cash grain contract. The basis swap benchmark must be one of the six Corn Belt regional cash Indices CME has approved: 1) Southern Minnesota, 2) Eastern Nebraska, 3) Eastern South Dakota, 4) Northeast Iowa, 5) Northwest Iowa, or 6) Southern Iowa. The daily settlement of each index is compiled by DTN using elevator, terminal and processor cash bids within each region.

The basis-swap buyer and seller both retain some basis risk — any amount their local cash basis doesn't track with the regional basis index designated in the swap at settlement time.

Final (basis) settlement will be calculated as the average of the Regional Index basis over the final five trading days of the swap.

寻找交换交易对手并不会像听起来那样难。经纪人将搜寻愿意的买家和卖家。市场制定者将注意脱位，就像仲裁员在旧的Pik时期观看CCC价格位错一样。

Basis swap example

A feed mill that wants to own cheap corn basis might find it hard to buy corn from farmers. They could "hedge" the basis by buying a basis swap and buy physical corn when the swap matures. If basis rises, the inventory basis will cost more but the basis hedge — the swap — will pay the mill the amount the underlying basis index rises.

Or assume basis in your general area is strong for summer and you would like to sell inventory. Assume that your main market is an ethanol plant that isn't ready to buy yet or you're concerned whether that buyer is financially sound. You could sell a basis swap to protect against basis potentially weakening.

You don't have to be located in the Upper Western Corn Belt to use basis swaps. What is important is whether basis changes in the Index region reflect basis moves in your area. If your correlation is sufficiently high, then a basis swap may remove enough of your risk to make it an effective, if not perfect, hedging tool.

日历掉期

想要锁定未来六个月玉米（未来）玉米价格的饲养场可以购买玉米日历交换以防止玉米价格上涨。饲养场仍然必须最终从供应商那里购买真正的玉米。饲养场的最终现金价格取决于其各自的本地/现金价格，以及掉期收益或损失。

全部cleared calendar swaps will settle on the last business day prior to the designated swap maturity month.

• June 2009 corn swaps expire on May 29, 2009 using the settlement price of July 09 corn futures;
• July 2009 swaps expire on June 30, also using the settlement price of July 09 futures

到期时的最终交换结算价格计算为到期月期间累计期货和解价格的平均值（6月9日掉期5月9日）除以交易日数。以每月平均价格定居对许多最终用户都有吸引力；期货将它们限制在每5,000蒲式耳的单日结算价格中。

The other new kid

在居ne 1 the CBOT/CME launched trading in put and call options on spreads in grains and the soy complex (excluding oats and rice). Spread options let grain merchandisers set a floor early on carrying charges for example, rather than locking in a final spread. Spread options will trade by open outcry in the pits and electronically on Globex.

• 列表：最近的3次差价，再加上新的农作物（例如7月/9月，9月，＆Dec/dec/March Corn + 7月9日/Dec9）
• 运动将是欧洲风格（仅在到期时）
• Spread option position(s) can be liquidated prior to expiration by either longs or shorts.
• Strike price intervals and daily price limits (expandable after a limit session)

• Strike prices reflect the value of the front month price minus the deferred month price:
  
  • 进位罢工将是负值；例如，7月/9月的玉米9美分将显示为-9 SP）
  • 逆罢工将是一个正值
• Exercise/assignment will create futures contract(s) equal to the settlement price of the front month of the spread minus the option Strike Price (differential) of the spread
• Position created at exercise for the option buyer (long):
  
  • 呼叫：买方收到附近的长期未来 +短期递延月份
  • 观点：买方在附近的期货 +长期延期月份收到短期
• 位置分配给选择writer (short):
  
  • Calls: seller receives short nearby futures + long the deferred month
  • 看台：卖方收到附近的长期未来 +短期延期月份

以下是两个基本的传播策略，您将使用的选项位置包括：

很容易理所当然地认为我们的期货交流的价值。但是，他们的财务保障，透明度和流动性使谷物公司即使在动荡的市场中也可以有效地管理风险。我们欢迎新的孩子在街区：掉期和传播选择。

	Name & option position
Elevator wants to set a minimum carrying charge spread for inventory	“牛”: Buy a spread call option
期望进位扩大或逆向减少。	"Bear spread" Buy a spread put option