Professional Documents
Culture Documents
© 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. This document is confidential and its circulation and use are restricted.
KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative. 12
Case Study I
© 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. This document is confidential and its circulation and use are restricted.
KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative. 13
Case Study I - Solution
1. Flat price risk – Sell an additional 50,000 of Natural gas futures in Oct to match
the 500,000 total of inventory
© 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. This document is confidential and its circulation and use are restricted.
KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative. 14
Case Study II
© 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. This document is confidential and its circulation and use are restricted.
KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative. 15
Case Study II - Solution
Basis Risk – Basis swaps are in the correct volumes but not in
the correct settlement month. Basis swaps should be matched
to the same volume and same months as the nymex future
hedges
© 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. This document is confidential and its circulation and use are restricted.
KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative. 16
Case Study III
© 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. This document is confidential and its circulation and use are restricted.
KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative. 17
Case Study III - Solution
© 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. This document is confidential and its circulation and use are restricted.
KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative. 18
Questions to Ask
© 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. This document is confidential and its circulation and use are restricted.
KPMG and the KPMG logo are registered trademarks of KPMG International, a Swiss cooperative. 19