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You are working in a US-based institution with some assets and liabilities. Your bank has...

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Accounting

You are working in a US-based institution with some assets and liabilities.

Your bank has British assets of GBP18,000,000 and British liabilities of GBP10,000,000. The expected FX rate in indirect quote will be 0.90 in the future.

  • Analysis and decision of Futures hedging strategy, including the selection of the suitable future contract, determination of position of the future contract, and the application of regression analysis of hedge ratio (based on the range of historical data that are provided), R2 , number of the futures contract for hedging,etc Extract the historical data in that you use in the hedge ratio regression analysis in proper Excel format and attached as a one-page appendix

  • Hedge ratio analysis

  • The expected loss/gain of the bank in US$ if the FX rate moves to the level as specified in each question.(Loss / Gain estimation under no hedging)

SECURITY_NAME FUT_CONT_SIZE FUT_CONTRACT_DT FUT_TICK_SIZE QUOTED_CRNCY LAST_TRADEABLE_DT FUT_VAL_PT QUOTE_UNITS
contract size expiration date tick size quoted currency last tradable date value point quote units
JYJ0 CURNCY JPN YEN CURR FUT Apr20 12500000 04/2020 0.005 USd 4/13/2020 1250 cents/100 YEN
JYM0 CURNCY JPN YEN CURR FUT Jun20 12500000 06/2020 0.005 USd 6/15/2020 1250 cents/100 YEN
Security JYM0 COMB Curncy
Start Date 5/2/2019 0:00
End Date 13/2/2020 0:00
Period D
Currency USd
Date PX_LAST PX_INVERSE
13/2/2020 91.51 109.278
12/2/2020 91.45 109.349
11/2/2020 91.73 109.016
10/2/2020 91.77 108.968
6/1/2020 93.025 107.498
3/1/2020 93.405 107.061
2/1/2020 92.95 107.585
31/12/2019 92.92 107.619
30/12/2019 92.715 107.857
27/12/2019 92.24 108.413
26/12/2019 92.1 108.578
7/2/2019 94.855 105.424
6/2/2019 94.785 105.502
5/2/2019 94.785 105.502
Security JPY BGN Curncy
Start Date 13/2/2018 0:00
End Date 13/2/2020 0:00
Period D
Pricing Source BGN
Date PX_LAST
13/2/2020 109.93
12/2/2020 110.09
11/2/2020 109.79
10/2/2020 109.77
3/1/2020 108.09
2/1/2020 108.57
1/1/2020 108.76
31/12/2019 108.61
30/12/2019 108.88
27/12/2019 109.44
26/12/2019 109.63
25/12/2019 109.38
24/12/2019 109.39
14/2/2019 110.48
13/2/2019 111.01
12/2/2019 110.48
11/2/2019 110.38

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