Page 201 - AFM Integrated Workbook STUDENT S18-J19

Hedging foreign exchange risk

$

Transaction: £0.5930 (to £1) × C$5m 2,965,000
Futures market:

Sell 0.5600
Buy 0.5897

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Loss £0.0297 to C$1

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(× 50 contracts × C$100,000) (148,500)

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Net 2,816,500

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(W1) Basis working

Now (1/10) 28/2 Expiry (31/3)

Spot 0.5800 0.5930

Futures 0.5600 0.5897 (balancing figure)

Basis 0.0200 0.0033 (1/6) 0

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