Consider a bank that holds a net foreign asset position of US400m returning 8% per annum....
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Consider a bank that holds a net foreign asset position of US400m returning 8% per annum. Including interest, what is the loss/gain on the position in AUDS if the spot AUD/USD falls from 1USD = 1.24AUD to 1USD = 1.19AUD? - What is the appropriate futures strategy? - How many foreign exchange futures (FXFS) contracts should be traded given that FP = AUD1.22/USD now and the size of each FXFS contract is US500,000 (assume h =ASP/AFP = 1.1)? - What is the gain on the futures trade when the position is closed out for FP = AUD1.17/USD - Suppose the bank's econometrician regresses the change in the spot exchange rate on the change in the futures price of FXFS and estimates that h = 1.2. How many contracts should be traded now? Consider a bank that holds a net foreign asset position of US400m returning 8% per annum. Including interest, what is the loss/gain on the position in AUDS if the spot AUD/USD falls from 1USD = 1.24AUD to 1USD = 1.19AUD? - What is the appropriate futures strategy? - How many foreign exchange futures (FXFS) contracts should be traded given that FP = AUD1.22/USD now and the size of each FXFS contract is US500,000 (assume h =ASP/AFP = 1.1)? - What is the gain on the futures trade when the position is closed out for FP = AUD1.17/USD - Suppose the bank's econometrician regresses the change in the spot exchange rate on the change in the futures price of FXFS and estimates that h = 1.2. How many contracts should be traded now?
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The bank holds a net foreign asset position of US400 million This position is assumed to return 8 per annum i Impact of depreciation on AUD value The spot AUDUSD falls from 1 USD 124AUD to 1 USD 119AU... View the full answer
Related Book For
Principles of Accounting
ISBN: 978-1133626985
12th edition
Authors: Belverd E. Needles, Marian Powers and Susan V. Crosson
Posted Date:
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