The use of futures rapeseed contracts exemplified by a trading company in Poland

(1)

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu Wrocław 2016

PRACE NAUKOWE

Uniwersytetu Ekonomicznego we Wrocławiu

RESEARCH PAPERS

of Wrocław University of Economics

Nr

450

(2)

Redakcja wydawnicza: Anna Grzybowska, Aleksandra Śliwka Redakcja techniczna: Barbara Łopusiewicz

Korekta: Barbara Cibis Łamanie: Adam Dębski Projekt okładki: Beata Dębska

Informacje o naborze artykułów i zasadach recenzowania znajdują się na stronach internetowych Wydawnictwa www.pracenaukowe.ue.wroc.pl

www.wydawnictwo.ue.wroc.pl

Publikacja udostępniona na licencji Creative Commons

Uznanie autorstwa-Użycie niekomercyjne-Bez utworów zależnych 3.0 Polska (CC BY-NC-ND 3.0 PL)

ISSN 1899-3192 e-ISSN 2392-0041

ISBN 978-83-7695-617-6

Wersja pierwotna: publikacja drukowana

Zamówienia na opublikowane prace należy składać na adres: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu ul. Komandorska 118/120, 53-345 Wrocław

tel./fax 71 36 80 602; e-mail: econbook@ue.wroc.pl www.ksiegarnia.ue.wroc.pl

(3)

Spis treści

Wstęp ... 11

Lyubov Andrushko: Prognozowanie pozyskania drewna w Polsce na

pod-stawie danych GUS / Roundwood production forecasting in Poland, on the basis of the data of the central statistical office ... 13

Tomasz Bernat: Przedsiębiorczość i oczekiwania większych zarobków a

ry-zyko podjęcia działalności / Entrepreneurship and higher earnings expec-tations vs. risk of business set up ... 25

Beata Bieńkowska: Spółdzielnie socjalne – szanse i bariery rozwoju

przed-siębiorczości społecznej w Polsce / Social cooperatives − opportunities and threats for social entrepreneurship development in Poland ... 35

Wioletta Bieńkowska-Gołasa: Produkcja i wykorzystanie energii

elektrycz-nej na Mazowszu z uwzględnieniem OZE / Production and use of electri-city in Mazowsze with the consideration of renewable energy sources ... 46

Agnieszka Biernat-Jarka: Dzierżawa jako sposób zwiększenia powierzchni

gospodarstw rolnych w województwie mazowieckim / Leasing as a me-thod of farms’ area increase in Mazowsze Voivodeship ... 56

Krystyna Bobińska: Miejsce kraju w rankingach wieloczynnikowych jako

podstawa do identyfikacji nieuruchomionych rezerw rozwoju gospodar-czego / The place of the country in the multifactoral ratings as a basis for identification of the hidden reserves for economic growth ... 68

Małgorzata Bogusz, Sabina Ostrowska: Wybrane problemy polityki

spo-łecznej i zdrowotnej wobec osób starszych na poziomie lokalnym – sztu-ka partycypacji / Chosen problems of social and health policy for seniors at local level – the capability of participation ... 82

Przemysław Borkowski: Problemy prowadzenia rachunku kosztów i

korzy-ści w inwestycjach infrastrukturalnych / Challenges in optimising cost--benefit analysis in infrastructure projects ... 91

Barbara Chmielewska: Dysproporcje w jakości życia ludności wiejskiej i

miejskiej a polityka ich zmniejszania / Disparities in quality of life of rural and urban population vs. policy of its reduction ... 103

Kazimierz Cyran: Postrzeganie marek własnych produktów

żywnościo-wych a perspektywy ich rozwoju / The perception of private labels of food products vs. the prospects for their development ... 114

Sławomir Dybka: Skuteczność promocji w Internecie – perspektywa klienta /

Effectiveness of the Internet promotion – customer perspective ... 125

Małgorzata Gasz: Priorytety rozwoju innowacyjności polskiej gospodarki /

(4)

6 Spis treści Aleksandra Gąsior: Poziom rozwoju transportu jako determinanta procesu

restrukturyzacji dużych przedsiębiorstw / The level of transport as a de-terminant of the process of large enterprises restructuring ... 150

Edyta Gąsiorowska-Mącznik: Przedsiębiorczość w strategiach gmin

woje-wództwa świętokrzyskiego / Entrepreneurship in strategies of municipa-lities of Świętokrzyskie Voivodeship ... 161

Jarosław Górecki, Jadwiga Bizon-Górecka: Analiza zachowania

inwesto-rów w odniesieniu do kryterium ceny za roboty budowlane / Behavior of investors and price for construction works ... 172

Artur Grabowski: Wolność prowadzenia działalności gospodarczej w

ob-szarze sportu profesjonalnego / Freedom of business activity in the area of professional sport ... 182

Sylwia Guzdek: Kooperacja jako główna forma współpracy przedsiębiorstw

w międzynarodowych sieciach biznesowych / Cooperation as the main form of cooperation in international networks of business ... 191

Marcin Halicki: The Foster-Hart measure as a tool for determining the set of

risky portfolios that do not expose the investor to the bankruptcy / Miara Fostera-Harta jako narzędzie do wyznaczania zbioru ryzykownych port-feli, które nie narażają inwestora na bankructwo ... 205

Mateusz Hałka: Wykonawcy robót budowlanych na rynku zamówień

pu-blicznych a ich kondycja ekonomiczno-finansowa / Construction contrac-tors on the public procurement market vs. their economic and financial standing ... 217

Tomasz Holecki, Magdalena Syrkiewicz-Świtała, Agnieszka Bubel, Ka-rolina Sobczyk: Finansowe konsekwencje realizacji dyrektywy

trans-granicznej w ochronie zdrowia / Financial consequences of the imple-mentation of the cross-border healthcare directive ... 229

Żaklina Jabłońska: Marketing relacji i CSR jako narzędzia budowania

prze-wagi konkurencyjnej przez franczyzodawców branży gastronomicznej w Polsce / Relationship marketing and CSR as tools for building of compe-titive advantage by franchisors of foodservice industry in Poland ... 241

Sławomir Jankiewicz: Wpływ bezpieczeństwa energetycznego na rozwój

gospodarczy w Polsce / The impact of energy security to the economic development in Poland ... 251

Emilia Jankowska: Zróżnicowanie infrastruktury transportowej w kontekś-

cie polityki Unii Europejskiej / The diversity of transport infrastructure in the context of the EU policy ... 260

Bożena Karwat-Woźniak, Paweł Chmieliński: Przemiany w strukturze

ag-rarnej polskiego rolnictwa i wpływ wybranych instrumentów WPR na te procesy / Changes in the agrarian structure of Polish agriculture and the impact of selected CAP measures on these processes ... 272

(5)

Spis treści

7 Ewa Kołoszycz: Światowy rynek mleka – wybrane zagadnienia / World

da-iry market – selected issues ... 287

Agnieszka Komor: Wybrane uwarunkowania strukturalne decyzji

lokaliza-cyjnych małych i średnich przedsiębiorstw / Chosen structural conditions of localization decisions concerning small and midium enterprises ... 298

Aleksandra Koźlak, Barbara Pawłowska: Współczesne wyzwania

europej-skiej polityki transportowej / Current challenges of European transport policy ... 311

Hanna Kruk, Anetta Waśniewska: Parki krajobrazowe i narodowe jako

ele-ment rozwoju zrównoważonego na przykładzie gmin województwa wiel-kopolskiego / National and landscape parks as part of sustainable develop-ment. Case study: Wielkopolska Voivodeship communes ... 323

Anna Krzysztofek: Dyrektywa 2014/95/UE oraz wynikające z niej zmiany /

Directive 2014/95/EU, and changes resulting from it ... 334

Władysława Łuczka: Ekologiczna gospodarka żywnościowa w

wojewódz-twie wielkopolskim w okresie integracji z Unią Europejską / Ecological food economy in Wielkopolska Voivodeship in the time of accession into the European Union ... 347

Aleksandra Majda: The analysis of succession strategy, success

determi-nants in Polish family business − case study / Analiza determinant sukce-su strategii sukce-sukcesyjnej w polskich przedsiębiorstwach rodzinnych – stu-dium przypadku ... 357

Janusz Majewski: Problem wyceny zapylania jako usługi środowiskowej /

The problem of the valuation of pollination as environment service ... 369

Arkadiusz Malkowski: Ruch graniczny jako czynnik rozwoju regionu

przy-granicznego na przykładzie pogranicza zachodniego Polski / Border traf-fic as a factor in the development of border regions on the example of the borderland of Western Poland... 378

Grażyna Michalczuk, Agnieszka Zalewska-Bochenko: Platforma e-PUAP

jako przykład elektronizacji usług administracji publicznej dla ludności / e-PUAP as an example of electronic services of public administration for the citizens ... 390

Danuta Mierzwa, Małgorzata Krotowska: Czynniki

ekonomiczno-spo-łeczne integracji poziomej rolników – raport z badań / Economic and so-cial factors of horizontal integration of farmers – study report ... 399

Karolina Olejniczak: Czynniki rozwoju obszarów funkcjonalnych w świetle

badań empirycznych / Factors of functional areas development in the light of empirical research ... 410

Dorota Pasińska: Polski rynek drobiu po wstąpieniu do Unii Europejskiej /

Polish poultry market after the accession to European Union ... 421

Ewa Polak, Waldemar Polak: Wskaźniki dotyczące zdrowia i opieki

(6)

8 Spis treści

Indices referring to health care as the measure of life quality in Poland in comparison to selected countries ... 433

Adriana Politaj: Zakłady aktywności zawodowej oraz zakłady pracy

chro-nionej jako pracodawcy osób niepełnosprawnych w Polsce / Vocational development centres and sheltered workshops as employers of handicap-ped persons in Poland ... 446

Iwona Pomianek: Klasyfikacja gmin miejsko-wiejskich w Polsce według

poziomu rozwoju społeczno-ekonomicznego / Classification of semi-ur-ban communes in Poland by the level of socio-economic development .... 458

Zdzisław W. Puślecki: Current re-shaping of international business / Obecne

zmiany kształtu biznesu międzynarodowego ... 471

Magdalena Ratalewska: Rozwój sektora kreatywnego gier komputerowych

w Polsce / The development of the creative industries sector of computer games in Poland ... 491

Jarosław Ropęga: Czynniki niepowodzeń gospodarczych małych

przedsię-biorstw w aspekcie nowego paradygmatu cywilizacyjnego / Failure fac-tors of small enterprises in the context of new paradigm of civilization ... 501

Robert Rusielik: Wykorzystanie alternatywnych indeksów produktywności

do pomiaru efektywności rolnictwa w Polsce / Alternative productivity indexes for measuring agricultural efficiency in Poland ... 514

Izabela Serocka: Znaczenie czynników lokalizacji przedsiębiorstw a

aktyw-ność władz lokalnych gmin województwa warmińsko-mazurskiego / The importance of business location factors vs. the activity of Warmia and Mazury Voivodeship local authorities ... 524

Katarzyna Smędzik-Ambroży, Joanna Strońska-Ziemiann: Rozwój

lo-kalny na obszarach wiejskich o zróżnicowanym rolnictwie (przypadek podregionu pilskiego na tle sytuacji w Wielkopolsce) / Local develoment in rural areas with diversified agriculture (the case of pilski subregion on the background of the stuation in Wielkopolska) ... 538

Karolina Sobczyk, Tomasz Holecki, Joanna Woźniak-Holecka, Michał Wróblewski: Wykorzystanie środków publicznych w walce z

wyklucze-niem cyfrowym na poziomie samorządowym / Public funds use against digital exclusion at the level of self-government ... 550

Michał Świtłyk: Efektywność techniczna gospodarstw mlecznych w Polsce

w latach 2009-2011 / Technical efficiency of dairy farms in Poland in 2009-2011 ... 561

Dariusz Tłoczyński: Konkurencja pomiędzy przewoźnikami Ryanair i Wizz

Air jako element rozwoju polskiego rynku usług transportu lotniczego / Competition between Ryanair and Wizz Air as an element of development of Polish air transport market ... 570

(7)

Spis treści

9 Weronika Toszewska-Czerniej: Productivity of service delivery process as

a factor affecting the level of differentiation / Produktywność procesu usługowego jako czynnik kształtujący poziom zróżnicowania ... 584

Roman Tylżanowski: Stymulatory procesów transferu technologii w

przed-siębiorstwach przemysłowych wysokiej techniki w Polsce / Stimulators of technology transfer processes in high-tech manufacturing sector in Po-land ... 594

Małgorzata Wachowska: Czas pozyskiwania cudzych idei przez przemysł.

Doświadczenia Polski / Adoption time of others’ ideas by industry. Expe-rience of Poland ... 606

Agnieszka Werenowska: Kierunki zmian na rynku niskokosztowych linii

lotniczych / Directions of changes in the market of low-cost airlines ... 616

Barbara Wieliczko: Wspólna Polityka Rolna a zarządzanie ryzykiem w

rol-nictwie / Common agricultural policy vs. risk management in agriculture ... 626

Artur Wilczyński: Progi rentowności w gospodarstwach mlecznych w

la-tach 2013-2020 / Break-even point analysis for dairy farms in 2013-2020 633

Jarosław Wołkonowski: Handel zagraniczny Litwy w latach 2012-2015

a sankcje gospodarcze przeciw Rosji / Lithuanian foreign trade in the years 2012-2015 vs. economic sanctions against Russia ... 644

Arkadiusz Zalewski: Uwarunkowania regionalnego zróżnicowania poziomu

nawożenia mineralnego w Polsce / Determinants of regional differences of level of mineral fertilization in Poland ... 658

Anna Zielińska-Chmielewska, Mirosław Walawski: The use of futures

ra-peseed contracts exemplified by a trading company in Poland / Zastoso-wanie kontraktów futures na rzepak przez przedsiębiorstwa handlowe w Polsce ... 669

(8)

Wstęp

Z wielką przyjemnością oddajemy w Państwa ręce publikację pt. Polityka

ekono-miczna, wydaną w ramach Prac Naukowych Uniwersytetu Ekonomicznego we

Wrocławiu. Opracowanie składa się z 58 artykułów (w tym 5 w języku angielskim), w których Autorzy prezentują wyniki badań dotyczących zagadnień związanych z funkcjonowaniem współczesnych systemów gospodarczych w zakresie polityki go-spodarczej. Tematyka podjęta w artykułach jest stosunkowo szeroka – mieści się w czterech obszarach problemowych. Pierwszy przedstawia rozważania związane z polityką innowacyjną, wolnością prowadzenia działalności gospodarczej oraz for-mami współpracy przedsiębiorstw. Drugi obszar dotyczy polityki transportowej, w tym infrastruktury i konkurencji. Trzeci obejmuje opracowania z zakresu polityki społecznej i zdrowotnej państwa – na poziomie zarówno krajowym, jak i lokalnym. Czwartą grupę stanowią artykuły dotyczące rolnictwa, w tym szczególnie wspólnej polityki rolnej i przemian w strukturze agrarnej.

Publikacja przeznaczona jest dla pracowników naukowych szkół wyższych, specjalistów zajmujących się w praktyce problematyką ekonomiczną, studentów studiów ekonomicznych oraz słuchaczy studiów podyplomowych i doktoranckich.

Artykuły składające się na niniejszy zbiór były recenzowane przez samodziel-nych pracowników naukowych uniwersytetów, w większości kierowników katedr polityki ekonomicznej. W tym miejscu chcielibyśmy serdecznie podziękować za wnikliwe i rzetelne recenzje, często inspirujące do dalszych badań. Oddając po-wyższą publikację do rąk naszych Czytelników, wyrażamy nadzieję, że ze względu na jej wszechstronny charakter spotka się ona z zainteresowaniem i przyczyni do rozpoczęcia inspirujących dyskusji naukowych.

(9)

PRACE NAUKOWE UNIWERSYTETU EKONOMICZNEGO WE WROCŁAWIU RESEARCH PAPERS OF WROCŁAW UNIVERSITY OF ECONOMICS nr 450 ● 2016

Polityka ekonomiczna ISSN 1899-3192 e-ISSN 2392-0041

Anna Zielińska-Chmielewska, Mirosław Walawski

Poznań University of Economics and Business

e-mails: anna.zielinska@ue.poznan.pl, miroslaw.walawski@ue.poznan.pl

THE USE OF FUTURES RAPESEED CONTRACTS

EXEMPLIFIED BY A TRADING COMPANY IN POLAND

ZASTOSOWANIE KONTRAKTÓW FUTURES

NA RZEPAK PRZEZ PRZEDSIĘBIORSTWA

HANDLOWE W POLSCE

DOI: 10.15611/pn.2016.450.58

Summary: This article focuses on specific aspects of price risk management in agricultural

business, with the aim of discussing a relevant hedging method for managing the commodity risks associated with agricultural production. The purpose of the paper is to carry out a simulation of futures contracts on rapeseed offered by a foreign commodity exchange. The Euronext platform allows hedging of raw material purchase prices for rapeseed trading company operating in Poland. The analysis showed that in the analyzed crop year from July 2014 to June 2015 much better economic effect was observed for unhedged transactions rather than for hedged transactions. The simulation showed that hedging transactions are used to minimize the risk but under no circumstances can they eliminate it. Additionally, hedging transactions protect against negative currency rate changes and bring profits in case of positive price fluctuation.

Key words: commodity price management, hedging, futures contract, Euronext, Poland. Streszczenie: Celem artykułu było przeprowadzenie rachunku symulacyjnego w zakresie

wykorzystania kontraktów terminowych typu futures oferowanych na giełdzie towarowej Euronext w celu zabezpieczania cen zakupu rzepaku przez przedsiębiorstwo handlowe w Polsce. Do analizy wykorzystano dane w postaci historycznych cen kontraktów futures na rzepak na polskim rynku gotówkowym (spot) i na europejskiej giełdzie terminowej Euronext. Wyniki badań wykazały, że stosowanie technik zabezpieczania cen zakupu rzepaku w celu zabezpieczenia jego ceny w przyszłości umożliwia ograniczenie strat ekonomicznych, wpły-wając na poziom wypracowanych wyników (zysków bądź strat) prowadzonej działalności. Artykuł stanowi kontynuację badań nad specyfiką i zróżnicowaniem poziomu efektywności podmiotów agrobiznesu w Polsce. Otrzymane wyniki i rezultaty wcześniejszych opracowań uzasadniają konieczność prowadzenia dalszych prac w tym zakresie, także przy wykorzysta-niu kontraktów futures.

(10)

670 Anna Zielińska-Chmielewska, Mirosław Walawski

1. Introduction

Each enterprise involved in a business activity is exposed to different threats and risks. Business entities acting in agricultural markets are subject to cyclical, seasonal and production fluctuations in prices, characterized by high price elasticity of supply and low elasticity of consumer demand. These characteristics cause a high risk of price volatility in the industry, and trigger a need for securing a specific price level for raw material and, consequently, production costs as well as corporate profits. Polish participants in the rapeseed market who wish to protect future raw material prices using derivatives have to use the foreign futures markets, since the current markets in Poland do not create conditions for regular rapeseed futures. This situation is an impediment to the development of the future market instruments, but does not eliminate the possibility of their use by participants on the Polish rapeseed market.

The aim of the article is to determine the economic effects of the rapeseed futures available on the Euronext commodity exchange in order to hedge the purchase price of rapeseed through a hypothetical trading rapeseed company operating in Poland. In the paper the scientific hypothesis has been put forward that the Polish rapeseed market is part of the European rapeseed market, and is subjected to similar long-term price trends. Therefore, it can be concluded that there exists a potential for using derivatives markets for goods offered by foreign stock exchanges to protect the domestic prices of rapeseed.

1.1. Different risks in business activity

Sources of the word risk can be found in the Greek word Rhiz, which refers to the daring circumnavigation of a cape. The Latin word risicum refers to the probability of positive or negative consequences of an event, or its success or failure [Słownik… 2009]. Colloquially, risk is understood as an adverse result of a decision. The risk is a concept present in almost all the achievements of science, in particular social, mathematical, and engineering. Mutual coexistence of concepts, theories, and me-thods of measurement made contemporary knowledge about risk interdisciplinary, based on a common foundation [Urbanowska-Sojkin (ed.) 2012].

In the literature, there are various attempts to systematize the concept of risk and uncertainty, and to determine the relationship between them. In the traditional sense, risk can be defined as “stochastic elements of the decision problem, which can be defined as numerical objective probabilities, while uncertainty refers to the conditions of decision-making with random results, in which probabilities cannot be determined in an objective manner” [Moshini, Hennessy 2001; Rembisz 2012]. These authors are of the opinion that uncertainty is used to characterize the environment in which decisions are made, while the risk is used to determine the economic consequences of the decision-making under uncertainty.

(11)

The use of futures rapeseed contracts exemplified by a trading company in Poland 671

However, it is widely understood that risk is “uncertainty in the results” [Commission 2001]. Guided by this understanding of risks and uncertainties, it may be concluded that the level of risk generally rises significantly the longer the time horizon is, which will reveal the effects of the decisions taken. This relationship is obvious, because, firstly, the longer the perspective of time, the greater the uncertainty about the conditions that occur in the distant future. Secondly, an additional risk arises with the timing of the measurement: At first, the risk can only be estimated, but after actual results are achieved, the real risk is revealed, as opposed to the original estimate. Thus, policy-makers make a subjective assessment of the risks ex ante (perceived subjective risk), not having full knowledge of the likely course of events.

On the basis of the above mentioned concepts of risk in business, the authors of the paper understand risk as the possibility of failure to achieve objectives, including losses due to lack of all necessary information [Kaczmarek 2008].

2. Material and methods

In this study, secondary research materials derived from price reports of the commodity exchange Euronext and historical quotations exchange rates from the National Bank of Poland, as well as from trade studies and domestic and foreign literature, were used. In the paper, a descriptive and comparative data analysis, supplemented with graphical presentation of the results in the form of tables and graphs, was presented.

The analysis covered the crop year 2014-2015. The hypothesis formulated in the article is that despite the lack of access in Poland to futures contracts, it is still possible for Polish rapeseed trading companies to use Euronext futures, in order to hedge the price of rapeseed on the domestic spot market. The formulated hypothesis was verified by conducting a simulation on economic effect of hedged and non-hedged futures contracts on rapeseed.

2.1. Hedging the rapeseed price with futures contracts

The primary objective of the hedging transactions is the neutralization of risk. This part of the paper presents the essence and the mechanism of hedging transactions, using futures contracts to trade agricultural products. Polish and foreign literature describing the issues of hedging and futures was reviewed. The authors presented a mechanism for hedging transactions with possible market scenarios.

Hedging contracts can be used in various derivative instruments. The focus of the paper is placed on futures contracts. In the literature, derivatives are classified as financial instruments, the main purpose of which is the transfer of risk, not capital, as it is done in equity instruments (shares) and debt instruments. The value of a derivative depends on the value of another instrument called “the base”. There are three main objectives for the use of derivatives, which is hedge against exchange

(12)

risks, speculation, as well as arbitrage. It should be emphasized that any derivative is a contract between two parties, and due to this type of relationship derivatives are divided into two types [Jajuga 2009]:

1. Futures meaning future or forward contracts, and swaps, where both parties undertake obligations. Futures are contracts to buy or sell a final quantity of specific assets (goods) at a specified time in the future at a given price [Hull 1998; Tauser, Cajka 2014],

2. Options where one party acquires the right and the other the commitment. Options are contracts. A contract allows a holder to buy or sell an underlying security at a given price known as the strike price. The two most common types of options contracts are put and call options, which give the holder-buyer the right to sell or buy the underlying option at the strike if the price of the underlying option crosses the strike [Jerzak 2013; Zalewski 2010].

3. Results

Rapeseed is one of the most important oil seeds produced in Europe. In Europe, rapeseed crushed into oil, meal, or meal cake is used by local companies for domestic purposes. Out of all 28 European Union (EU) countries, Poland is the third largest producer of rapeseed with a total production equal to 2,778,000 Mt in the crop year 2013/2014; 3,276,000 Mt in the crop year 2014/2015; 2,779,000 Mt in 2015/2016, and forecast of 2,764,000 Mt in 2016/2017.

Due to a favorable climate and excellent quality of soil, Polish rapeseed production, located in the northern and western parts of the country, makes up 97% of all oil seed production in Poland. After Poland’s accession to the EU, the rapeseed production has sharply risen from below 1 Mt to 1,8 m Mt on an yearly average in the period from 2004-2008, up to 2,4 Mt on an yearly average from the period 2009-2014 [Rynek rzepaku… 2015]. Rapeseed overproduction in Poland is exported to EU countries. The increase in Polish rapeseed production could not happen without the increase in sown area. For example, in 2004 the sown area hovered around 4% and doubled in 2009. As a result, Polish rapeseed production is one of the most dynamic in Europe. Furthermore, the EU policy regarding biofuels created additional demand for rapeseed oil. Poland is able to process and consume on average 72% of all its harvested rapeseed, and export the remaining 28% to Germany, Belgium and the Netherlands. Worldwide, the best known players in the processing industry are ADM, Bunge and Glencore − also active in Poland.

Moreover, prices of rapeseed in Poland are regulated by supply and demand as a result of EU policy, and the Polish government does not intervene in the pricing or purchasing of it. Import and export of oilseed is not protected by any duties [Strategié Grains… 2015].

In Table 1 below, rapeseed futures contract specifications from the Euronext commodity exchange market are shown; the rapeseed futures contract traded on

(13)

the Euronext-Matiff includes many specific details. The most important factor is rapeseed quality, which depends on many external factors, such as sown seed and crop condition [Ziegelbäck, Breuer 2014].

Table 1. Rape futures contract specification

Unit of trading 50 Metric Ton

Delivery months February, May, August, November Minimum price movement

(tick size and value) 25 Euro cents per ton

Last trading day 6:30 on the last business day of the calendar month immediately prece-ding the delivery month

Trading Hours 10.45 am - 6.30 pm Paris time

Quality Conventional rapeseed of double zero variety, of sound, fair and merchantable quality and of the following standard quality: Oil content basis 40%; Moisture basis 9%;

Impurities basis 2%. The quality of the deliverable merchandise is defined: Moisture content maximum 10%;

Impurities content maximum 3%; Oleic acidity maximum 2%; Erucic acid content maximum 2%; Glucosinolates content maximum 25 micromoles. Premiums and discounts apply and correspond to the difference between the delivered and standard quality.

Source: [http://www.derivatives.euronext.com/en/products/commodities-futures/ECO-DPAR/contrac-t-specification]. 250 270 290 310 330 350 370 390 Pr ic e f or ra pe se ed [E ur o/ M t]

The crop year from July 2014 to June 2015

Long-term price trend on Polish rapeseed spot market and futures market

Spot market Future market

July August

September OctoberNovember December January February March

April May June

Figure 1. Presentation of long-term price trend on the Polish rapeseed spot market

and commodity exchange market of Euronext in the analyzed crop year from July 2014-June 2015. Source: own research based on Annual Data derived from the Central Statistical Office of Poland in the

period 2014-2015 and historical data from future commodity exchange in Euronext and [http:// www.nbp.pl].

(14)

Prices in Poland fluctuated in the crop year depending on the situation on the local and global markets (see Figure 1). As a result of fluctuation, companies should hedge to avoid the negative effect of price changes. Nevertheless, hedging is not always a suitable tool for avoiding a negative hedge effect, but can also lead to negative economic effects.

In Figure 1, two curves show the development of historical rapeseed prices on the domestic spot market and historical prices for rapeseed at the Euronext stock exchange. Long-term trends in prices on the spot market for rapeseed in Poland and at Euronext stock exchange market proceeded in a similar way. However, during the analyzed periods there were months in which trends were not consistent, for example, beginning from February to July 2014. The matching correlation of both markets’ price trends allow for the use of futures contracts available on the stock exchange, in order to secure purchase prices for rapeseed by rapeseed trading enterprises in Poland.

Before analyzing the economic effects of hedged and non-hedged rapeseed

futures contracts, the assumptions for the simulation must be presented:

1. In connection to forecasts of high, unexpected fluctuation of rapeseed prices on the local spot market in Poland in the up-coming crop year starting from July 2014 to June 2015 one of the biggest rapeseed trading enterprises operating in Poland and with the largest market share decided to secure the purchase price of rapeseed in the period of the analysis.

2. The implementation of the hedging strategy for rapeseed futures contracts resulted in opening long position by the analyzed rapeseed trading company by purchase of:

a) four one-month rapeseed futures contract in August 2014, October 2014, February 2015, May 2014,

b) three two-month rapeseed futures contract in August 2014, October 2014 and February 2015, which means that all together there are seven samples of economic effect of hedged versus non-hedged transactions.

3. Long position is maintained throughout the contract. Before the date of

f

ulfillment of the contract the position is closed. There is no intention of a physical purchase of the contract but the financial settlement. The rolling of the position is not used.

4. The analyzed rapeseed trading company is always acting as an individual investor, securing the price of rapeseed at a future date.

5. In order to hedge, the transactions were taken from Euronext rapeseed futures (monthly prices) with the nearest expiration date (see examples below).

6. In each month the purchase and the sale basis were calculated as well as economic effect, which is the difference between the purchase and the sale basis.

The simulation of opening and closing positions allowed us to assess the economic effects of hedging with the use of one and two-month contracts. The economic effect is calculated on the basis of purchases and sale prices, where the basis is defined as a difference between market price and futures price.

(15)

Table 2. Presentation of the economic effects of one-month hedged and non-hedged transactions

on the Polish spot market and future market on rapeseed at Euronext in 2014-2015

Duration of the transaction SPOT MARKET FUTURE MARKET

1 2 3

The first hedged transaction The beginning of the hedged

transaction in August 2014 Planning of the purchase of 50 Mt of rapeseed at current mar-ket price 324.65 Euro/Mt

The purchase of 50 Mt rapese-ed resultrapese-ed in 1 lot sale futures contract at 324.25 to hedge this transaction

Purchase basis 324.65 − 324.25 = 0.40

The closure of the hedge

transaction in September 2014 Planning of the sale of 50 Mt of rapeseed at current market price 308.62 Euro/Mt

The sale of 50 Mt rapeseed re-sulted in 1 lot purchase futures contract at 320.73 to hedge this transaction

Sale basis 308.62 − 320.73 = −12.11

Economic effect of the transaction LOSS equal to 12.51

The non-hedged transaction Purchase of 50 Mt of rapeseed

in August 2014 Planning of the purchase of 50 Mt of rapeseed at current mar-ket price 324.65 Euro/Mt Sale of 50 Mt of rapeseed

in September 2015 Planning of the sale of 50 metric tons of rapeseed. The current market price is 308.62

Euro/Mt

The second hedged transaction The beginning of the hedged

transaction in October 2014 Planning of the purchase of 50 Mt of rapeseed at current mar-ket price 334.94 Euro/Mt

Purchase basis 334.94 − 338.02= −3.08

The closure of the hedged

transaction in November 2014 Planning of the sale of 50 me-tric tons of rapeseed at current market price 337.33 Euro/Mt

Sale basis 337.33 − 345.37 = − 8.04

Non-hedged transaction Purchase of 50 Mt of rapeseed

in October 2014 Planning of the purchase of 50 Mt of rapeseed at current market price 334.94 euro/Mt Sale of 50 Mt of rapeseed

in November 2015 Planning of the sale of 50 Mt of rapeseed at current market price 337.33 Euro/Mt

(16)

Table 2. cont.

1 2 3

The third hedged transaction The beginning of the hedged

transaction In February 2015 Planning of the purchase of 50 Mt of rapeseed at current mar-ket price 355.28 Euro/Mt

Purchase basis 355.28 − 357.45 = − 2.17

The closure of the hedge

transaction in March 2015 Planning of the sale of 50 Mt of rapeseed at current market price 360.89 Euro/Mt

The sale of 50 Mt rapeseed re-sulted in 1 lot purchase futures contract at

367.36 to hedge transactions

Sale basis 360.89 − 367.36 = −6.47

Non-hedged transaction Purchase of 50 Mt of rapeseed

in February 2015 Planning of the purchase of 50 metric tons of rapeseed at current market price 355.28

Euro/Mt Sale of 50 Mt of rapeseed

in March 2015 Planning of the sale of 50 Mt of rapeseed at current market price 360.89 Euro/Mt

Economic effect of the transaction GAIN equal to 5.61

The fourth one-month hedged transaction The beginning of the hedged

transaction in May 2015 Planning of the purchase of 50 Mt of rapeseed at current mar-ket price 362.76 Euro/Mt

Purchase basis 362.76 − 357.80 = 4.96

transaction in June 2015 Planning of the sale of 50 Mt of rapeseed at current market price 378.19 Euro/Mt

Sale basis 378.19 − 378.20 = −0.01

Non-hedged transactions Purchase of 50 Mt of rapeseed

in May 2015 Planning of the purchase of 50 metric tons of rapeseed The current market price is

362.76 euro/Mt Sale of 50 Mt of rapeseed

in June 2015 Planning of the sale of 50 metric tons of rapeseed The current market price is

378.19 euro/Mt

Source: own preparation based on Annual Data derived from the Central Statistical Office of Poland in the period 2014-2015 and historical data from futures commodity exchange in Euronext and [http://www.nbp.pl].

(17)

In the first hedged transaction starting from August 2014 to September 2014, a one-month futures transaction was made, which resulted in the loss equal to 12.51 Euro/Mt. But still it had a smaller negative economic effect compared to the loss of 16.03 Euro/Mt observed on the spot market resulting from the purchase of a non-hedged rapeseed contract.

In the second hedged transaction starting from October 2014 to November 2014, a one-month futures transaction was observed, which resulted in the loss of 4.96 Euro/Mt. However, on the domestic spot market the gain of 2.39 Euro/Mt resulting from the fact of non-hedged rapeseed contract, was observed.

In the third hedged transaction starting from February 2014 to March 2014, a one-month futures transaction was made and resulted in the loss of 4.30 Euro/Mt. On the other hand, on the domestic spot market the gain of 5.61 Euro/Mt resulting from the fact of non-hedged rapeseed contract, was observed.

In the fourth hedged transaction starting from May 2014 to June 2014, a one-month futures transaction was made and resulted in the loss of 4.97 Euro/Mt. Yet, on the domestic spot market the gain of 15.43 Euro/Mt resulting from the fact of non-hedged rapeseed contract, was observed.

To sum up the results of one-month hedged versus non-hedged contracts, it must be said that in the analyzed crop year 2014-2015 loss equal to 26.74 Euro/Mt has been observed on the futures market. In the same analyzed period gain equal to 7.4 Euro/ Mt has been observed on the spot market. Nevertheless, it should be stressed that hedging strategy undertaken in the analyzed crop year was a source of additional loss and depended on the current market situation and correlation between market prices and commodity prices.

Table 3. Presentation of the economic effects of two-month hedged and non-hedged transactions on

the Polish spot market and futures market on rapeseed at Euronext in 2014-2015

Duration of the transaction SPOT MARKET FUTURES MARKET

1 2 3

The first two-month hedged transaction The beginning of the hedged

transaction in August 2014 Planning of the purchase of 50 Mt of rapeseed at current market price 324.65 Euro/Mt

Purchase basis 324.65 − 324.25 = 0.40

transaction in October 2014 Planning of the sale of 50 Mt of rapeseed at current market price 317.71 Euro/Mt

Sale basis 317.71 − 324.40 = −6.69

in August 2014 Planning of the purchase of 50 Mt of rapeseed at current market price 324.65 Euro/Mt

(18)

Table 3. cont.

1 2 3

Sale of 50 Mt of rapeseed

in October 2014 Planning of the sale of 50 Mt of rapeseed at current market price

317.71 Euro/Mt

The second two-month hedged transaction The beginning of the hedged

transaction in October 2014 Planning of the purchase of 50 Mt of rapeseed at current market price 334.94 Euro/Mt

The purchase of 50 Mt rapeseed resulted in 1 lot sale futures contract at 338.02 to hedge this transaction

Purchase basis 334.94b− 338.02 = −3.08

transaction on January 2015 Planning of the sale of 50 metric tons of rapeseed The current market price is

350.61 euro/Mt

The sale of 50 Mt rapeseed re-sulted in 1 lot purchase futures contract at

354.79 to hedge transactions

Sale basis 350.61 − 354.79 = −4.18

in October 2014 Planning of the purchase of 50 Mt of rapeseed at current market price 334.94 Euro/Mt Sale of 50 Mt of rapeseed

in January 2015 Planning of the sale of 50 Mt of rapeseed at current market price 350.61 Euro/Mt

The third two-month hedged transaction The beginning of the hedged

transaction in February 2015 Planning of the purchase of 50 Mt of rapeseed at current mar-ket price 355.28 Euro/Mt

The purchase of 50 Mt rapeseed resulted in 1 lot sale

futures contract at 357.45 to hedge this transaction

Purchase basis 355.28 − 357.45 = −2.17

transaction in April 2015 Planning of the sale of 50 Mt of rapeseed at current market price is

359.02 Euro/Mt

The sale of 50 Mt rapeseed resulted in 1 lot purchase

futures contract at 72.57 to

hedge this transaction

Sale basis 359.02−372.57= − 13.55

in February 2015 Planning of the purchase of 50 Mt of rapeseed at current mar-ket price 355.28 Euro/Mt Sale of 50 Mt of rapeseed

in April 2015 Planning of the sale of 50 Mt of rapeseed at current market price is

359.02 Euro/Mt

Source: own preparation based on Annual Data derived from the Central Statistical Office of Poland in the period 2014-2015 and historical data from future commodity exchange in Euronext and [http://www.nbp.pl].

(19)

In the first hedged transaction starting from August 2014 to October 2014, a two-month futures transaction was made, which resulted in the loss equal to 7.09 Euro/Mt, which had a bigger negative economic effect compared to the loss of 6.94 Euro/Mt observed on the spot market resulting from the purchase of a non-hedged rapeseed contract.

In the second hedged transaction starting from October 2014 to December 2014, a two-month futures transaction was observed, which resulted in the loss of 1.10 Euro/Mt. On the other hand, on the domestic spot market the enormous gain was noted of 15.67 Euro/Mt resulting from the fact of non-hedged rapeseed contract.

In the third hedged transaction starting from February 2015 to April 2015, a two-month futures transaction was made and resulted in the loss of 11.8 Euro/Mt. Alternatively, a gain of 374 Euro/Mt was noted on the domestic spot market as a result of the non-hedged rapeseed contract.

To sum up, the results of two-month hedged versus non-hedged contracts in the analyzed crop year 2014-2015 show the loss equaling 19.57 Euro/Mt on the futures market. In the same analyzed period gain equal to 12.47 Euro/Mt was observed on the spot.

The simulation showed that hedging transactions are used to minimize the risk but under no circumstances can they eliminate it. Additionally, hedging transactions protect against negative currency rate changes and bring profits in case of positive price fluctuation.

4. Conclusions

The results of the analysis and evaluation of the economic viability of the use of

fu-tures contracts for rapeseed trading enterprises in Poland in 2014-2015 allow us to

make the following general and specific applications, and draw important insights: 1. The procedure for classification of rapeseed trading enterprises on the basis of their financial status has enabled the selection of those entities that may be potential participants in trading commodity futures markets.

2. The speculation analysis provides objectified distribution of rapeseed trading enterprises from the standpoint of minimizing the risk of an increase in purchase of rapeseed.

3. The spatial arrangement of rapeseed trading enterprises had no effect on the economic results obtained in a simulation.

4. The simulation which showed the use of foreign commodity markets by one of the rapeseed trading enterprises with the largest share of the marked has shown that to hedge the purchase of rapeseed is technically and organizationally possible and highly desirable.

5. During the time of analysis, rapeseed prices on the domestic market and observed Euronext prices developed in a very similar way, which means that both market prices followed similar price trends.

(20)

6. Use of the futures on Euronext to secure purchase of rapeseed prices for any trading enterprise over a long period could have been beneficial. Positive economic effect of hedging was not observed but hedging allows to gain additional income.

7. In the analyzed crop year from July 2014 to June 2015 much better economic effect was observed for either one-month or for two-month non-hedged contracts.

8. Higher variation of economic effects (gain or loss) was noted for hedged contracts and lower variation of economic effects was noted for non-hedged contracts.

9. In most cases, stronger positive or negative economic effects were observed for hedged transitions closed after a two-month period than after a one-month period. This is a more reasonable result, as the longer the period of transition is, the more convenient the outcome can be.

10. The hedging strategy can be a source of additional gain or loss, depending on the market situation and correlation between market prices and commodity prices.

11. There is no universal strategy of hedging, but the decision of taking a position (opening and closing) should be made based on market analyses.

References

Commission, 2001, Risk management tools for EU Agriculture with special focus on insurance − work-ing documents, Commission of European Communities, DG Brussels, January.

Główny Urząd Statystyczny annual price data from 2014-2015, Warszawa.

Hull J., 1998, Kontrakty terminowe i opcje. Wprowadzenie, Wydawnictwo Finansowe − WIG Press, Warszawa.

Jajuga K., 2009, Instrumenty pochodne, Komisja Nadzoru Finansowego, Warszawa.

Jerzak M., 2013, Towarowy rynek terminowy w rolnictwie. Determinanty tworzenia i rozwoju w Polsce, Wyd. UEP, Poznań.

Kaczmarek T., 2008, Ryzyko i zarządzanie ryzykiem. Ujęcie interdyscyplinarne, Difin Warszawa. Moshini G., Hennessy D., 2001, Uncertainty, risk aversion and risk management for agricultural

pro-ducers, [in:] Handbook of Agricultural Economics, Elsevier, vol. 1, p. 91. Rynek rzepaku. Stan i perspektywy, 2015, GUS, Warszawa, November, pp. 2, 18-24.

Rembisz W., 2012, Kwestie ryzyka, cen, rynku, interwencji i stabilności dochodów w rolnictwie, Vizja Press & IT, Warszawa.

Słownik języka polskiego, 2009, PWN, Warszawa.

Strategié Grains − oilseed report, 2015, N°41/3 December.

Tauser J., Cajka R., 2014, Hedging techniques in commodity risk management, Agric. Econ.-Czech, 60, 2014 (4), pp. 174-182.

Urbanowska-Sojkin E. (ed.), 2012, Ryzyko w zarządzaniu strategicznym: teoria i praktyka, Wyd. UEP, Poznań.

Zalewski G., 2010, Kontrakty terminowe i forex. Teoria i praktyka. Wydawnictwo Linia, Warszawa. Ziegelbäck M., Breuer G., 2014, The role of market makers in the Euronext milling wheat contract,

(21)

The use of futures rapeseed contracts exemplified by a trading company in Poland 681 Internet sources

http://www.derivatives.euronext.com/en/products/commodities-futures/ECO-DPAR/contract-specifi-cation (access 1.01.2016).