Question
currency hedging consists of the purchase of 28 contracts of AUD 125,000. Details of this coverage appear in the table below. Determine if the hedge
currency hedging consists of the purchase of 28 contracts of AUD 125,000. Details of this coverage appear in the table below. Determine if the hedge is perfect and the effective exchange rate for that hedge. Submit your calculations.
DATE | exchange market | rate AUD/USD | expiry date |
16 june | interbank | 0,7772 | spot date indication |
17 june | stock market | 0,7686 | expires 20 October |
14 October | Interbank | 0,7412 | Spot |
18 October | stock market | 0,7416 | expires 20 October |
Reply:
Hedging transaction details Debt value / spot market transaction Contract market transaction June 16 Amount due of AUD 3,500,000 Rate ______________ ________________
June 17 ______ of 28 futures contracts of AUD 125,000 at the rate __________ ______________
October 14 _____________________________ _____________________________ _______________
October 18 ______ of 28 futures contracts of AUD 125,000 at the rate __________ ______________
Net income in the futures market is ________ ______________
Net profit in the spot market is ________ _______________ The cumulative result of the two markets is __________________________________
The effective exchange rate is: (write down your calculations) ____________________________
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