The global Treasury of 123 MNC is forecasting for the next year the following Trading Log:

Transaction	FX	AMT	Volatility
Short USD against Euro	1,08	20 MILLION	7%
Long GBP against Euro	1,23	50 MILLION	8%
Long 10 MT of Coffee Bean	600k/ MT	6Million USD	10%
Short 5MT of 22K Gold	$25Mi / MT	125 Million USD	4%
Long 1 million APPLE Shares	50 $ / share	50 million	4,2%
Short 2 million AMAZON shares	100 $ / share	200 million	6,3%

1-Calculate and interpret the finding of the VAR at 95% for each position

2-What are the best hedging strategies / products to manage the exposure of 123 MNC in each position? What is the P&L for each hedging strategy?

3-Is there a possibility of Netting if the 123 MNC has subsidiaries in Kenya, UK and Germany? How will it work?

Answer rating: 100% (QA)

To calculate the Value at Risk VaR at 95 for each position we need to multiply the transaction amount by the volatility and then by the 95 confidence level 165 Short USD against Euro VaR 20 million x ... View the full answer