Question
A US firm is receiving 8m EUR in 3 months' time. EUR futures are available on the CME with a contract size of 125,000 Euros
A US firm is receiving 8m EUR in 3 months' time. EUR futures are available on the CME with a contract size of 125,000 Euros currently trade at 1.14 EUR/USD. The contract maintenance margin is 2300 USD with an initial margin of 110% of the maintenance margin.
(a) How many contract position should be entered into?
(b) What will be the initial futures cash flow?
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a Amount to be Hedged 8000000 EUR and Size per Contract 125000 EUR ...
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Financial Markets and Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
8th edition
013342362X, 978-0133423624
