Professional Documents
Culture Documents
Forex
Forex
=
Sept 2022 6 Masks. v
Aug
March 3022 9 Masks -
·
FcRm
· Int. Rate RM -
Translation Rules
2,000 U115.
Buyas (Pakistan).
US A
⑦ USD
W Y
2000
v/x Rs.265:
x
(R1:530,000
US D
FC
payment
↳ I will
by USD
↳ Deals will
Sell USD
↳ S
SR T B.R.
Payment in FC 7 SR.
(higher Rate)
⑰
ACCA Fee 4000 USD OR 2400 4BP
I
2,400 GBP
2400x375,900,000 v
Receiptin F.C.
our C.
(Erposters) 5000 USD US.
Imposters)
Spot 2*-28gluss.
Deale.
5,000 w/D R:
x
284/us
R:1,720,000
FC Receipt.
Is sell to
7
Deales.
7 FC
Buy
Real B. R.
BR <SR.
smalle
FC
Receipts -> B.R.
Summary
EC EC
Day ->
Buy -> DelleSell SR.
is
Pay of 60,500 USD
Re:
60,500 210
USD x 12,705,000
27 Receipts20,470 GBP
R:6,243,350
20,470 305:
x
25,0004BP 316:
x R:7,900,000
EC SR.
Payment pick
FC ReceiptsPick BR.
Cover
Forward
Los F.C.
I I
I Jan Imasch.
Spot.1:260-265/USD -
End R0:275-250/USD
S.D I Masch.
Rate. 200
R:
PKR:7500x200:2,100,000
Spot 255-260/UsD x
(March)
E
UK Bangladeshi
Curtomnes
supplies
ARM
Co
↑
BDT.
1,200,000
70,0009BP
To
·
day IJan
·Osces
·
Receiptsof
placed
today
Goods IFeb
IJan
(Paid Supplies
·Got BDT on 1
Apsil.
Food 299-305 49 51
3
Mouth -
Calculate
psojit
net
Is impoit
N
an
Feb ·Masch
Stelt
Oddes Stock
Life. BUT to
Placed Received be received.
sell
Y good.
1,200,000 BD T.
payment to
be made 3 Mont Food.
70,000 GBPs
1 Month Fud
->
A D I
Masch
2022 1Apsil
imay 1June
&MowH
~Good Sold
Out 2 Mouit's
⑲
IC ICayment Ec Receip
2 month Fud 3 Mouth End
-Ver Cover
Payment(450004BP x 322) (14,490,000)
v v
-
-
11 I I
Today Proceed
PD
W
40,000 kg 10,000
kg
75%
Emposto
30,000 kg
Payments
A
9
Today 40,000kg*; Imax d
15 an 200,000 Ringgit
40%
60% 120,000
=
&0,00 Ringt
IFeb (Pay) IM-ch(Pag)
1 month Fw 2 Muth Fud.
Paymentin PKR
As
Isinstalment120,000
Ringgit 67 8,040,000
x =
Pay for
Total good imposted 13,640,000
=>
Procening Cost
40,000kg 120:4,800,000
x
Sale Procoach.
9SR: 270,000
30,000kg x SR.
Food Cover
for (1Apsill
3 months
Rate
B.R:R:&6/SR.
R.& 3,220,000
(PaK SARL
+
Profit Con
& Account
Sal 30,220,000
Pusch. Cost
(13,640,000)
processing
good
cat
Net
Profit
"Close out"
of Fosward contact
IC
Payment USD
5,000
15 am 2022
Today
pay
31 March. 2022
I
0
-
Spot Re:260-265/USD
=
3M Food:Re:275-280 USD
-
SR.
3 Masch BR.
↳ Spot 270-275/USD.
Net lon
22s:
Sale 1,350,000
Cost (1,400,000)
10s. (56,000)
Oll
1 Jan 2023
6,000 USD be
agreed to
31m asch
Closed outthe Contract (Fwd)
at31 Masch.
SpotR: 970-2751vD
Solution
Profit on Clou
but
90,000
-
Close out
of FC ReceiptContact
8,000 USD >To be deceived in 3 month.
Today date
1 Jan 2022
Receipt 31
March 2022
0
-
Spot 255-260/USD
3M Furd 262-264/USD
Emp, receipts in
PKR.8000 x262-
12,096,000 -
3: Masch
Spot280-285/USD
Open MK1
~
8,000 USD 285:2,280,000
x
Net
Progit /(loss)
sak. (to deals) 2096,000
I
Ed Close out
Payment at SR at BR.
Oll
Mpsil 2023
End Closed on at
Spot R:76.5-78 /uss.
Solution
Pakistan 20%
=
USA - 4%
159n2022 Re:50/USD
A B
Re:
10,000 USDX 50: 500,000 10,000 USD
Deposited in US Bank.
Deposited in PK bank.
10,000 (1 4):10,400
+ USD
10,400 -
10,000 1400
= USD
R:50/USD
12000 -
10,000. 2000
US D.
R:50/USD Rs:57.6923
Intesantsate
parity Iteosy
(1t i)
End Rate:L
F(1 i) +
↳!
157.6923
600,005:57.6923
-
10,400 USD
10400 USD
I
PKR
SPOR:
ints:20%
50
USD iuts:4%
↳50x(1(1+20):(57.6923
+
4%) 1x
Oll
(R: /4BP) R.305
Spot
today
find sussency in
safe
3months' time
6 time
-
Months
I time
years
n
4BP:6% v
(H)
3month Rate. x3/12
x 16x 3/12)
+
Re
GBP 3054:1312.5
·
6 Months Rate.
305x(1+16%.x6112) I
319.81
=
1
(1+6%.
x
x61)
14 lates
305 "?:1343.77
Money Masket
Hedge.
Today IJan 2022
3months lates
payment:6,000 USD. -
spot R:260-255/USD
R:
3MONM End
272-277/USK
PKR 10%
=
UCD:4
265 =12601935-
Fwd:
Rate
5940.6 6000
1
Local Bank
Foreign Bank.
(MC B Bank).
[Std(hsta)
is Deposite
Amountin IC
6,000 USD
5,940.6 USD
(1+y,, x3112)
PKR
today buy
27 Amout to 5940.6 USD
5,940.6USD x 265
Rs:1,574,257
loan local
37
from bank
busch.
to EC
agta month.
3
1268.936
Foreign Cursency payments
FC
Receipts- Hedging through MMH
2022
Today
1 Jan
Spot R:250 -
204 /USD
BR
Solution
FC loan
Convertinto LC
Deposite
in LC. Bank.
22.97
Rate
Ints. (H 10%. x3 e
Pasity:200
I(1 4%. 3(12)
+ x
1202.97
Pay -> F) deposit -> local Cussery
loan
.
Summary Ecloam > local cassery
Receipts Deposite.
~
Receipts:
W
with
~
option
highes cash.
Ford Contact
R. 8,877,750
Money Masket
Hedge.
Ec loan 50,000 (1+2.75%x
+
3/12)
49,650.60 USD
Deposit in Local,8,871508
Bank
x (H6.75%.x (12)
19021215,
No
Hedging
50,000 USD 178.15
x
(8907,500
=
Hedging of net
position
Net position is
possible if
-
Receiptsasof
Cussencein
-Days
same
Ol Receipts (500), 4
pay
a in 3
Expected A
MonlEs
0
Rs.250-255/USD
Spot
today BR
Intest Rates
PKR
Deposite
942
Bossowing
16%
USD 3% 6%v
Solution
(500) 700:200
+ USD Receipt
local
Custency:197.044US$ 250
x
Re:49,261
150,369
-
w -
v v
15 Masch 15June
Payments -
(223,500)
Receipts 98.500 77,000
92500t (14,500t
Find Contract
15 Moch 15 Jone
PKR.
12,76570
Money Masket
budge
15
Masch Receipt98,500t
FC 98,500 +(1+5x.x3(12)
Bossowing
97,283.95t
Convestinto PKR
a BR 97,283.95x124.22
:
PKR:1,2084,612
15
June
Payment
146,500 -
Day
FC Deposite 146,500 (1+
:
= 3%x6(12)
144,337.98 t
FC acq atR
144,334.98 fx 124.52
Rs: 17,972,591
loan
including
into 17,972,591
-
x
(1+11s. x6(12)
! 18,961,084
E
- -- - -
->
~
IX - X
--
USD GBP
Food Contract
Receipts:1.5 USD 87
x 130.5
=
Payment:1.19BPx136.18:149.798
Money Masket
Receipts.
I
Payments
FC Loan 1.5 (1
= +
5.2.x 3/12)
1.48075 USD FC Deposite:1.1 (1+5,.x3112)
=
1.0864 GBP
Convest into PKR.1.4875USDx
86.56
at
B.R
128. 1737 Acg. from MK+: 1.0864 PBP
using SR
x 135.13
(1 8.5%x3(12)
x +
Rs: 146. 81
R:130.90 v
⑰
ARM
R=200/USD
Cutere
1 Jan 2022
spot:
3 months lates ⑦
(31 March) bookles.
Future
by 5000 USD 290:
x (1450,000 ~
X
Fulite see 5000 use 302:
x
1510,000 v
Gain. 60,000 v
31 March
1450,000
Price Conver
e
gence.
IJan 2022
31 March 2022
IFeb
Spot 270
March.
Julie 273
En E
31Msah
Masch-fulis 290
Spot 290
o
File
Spot
300 -
290 - &
280- ⑧
270-
·
260 =
250
Oll
June -
Fulise 302/vsD
available at
I Jue 200
30Jh. 301
/April 30
pi 31
May 30 June
7 -
145.6 -
2.45 3.15 - 3.15 O
7x20%:1.4
7x35%:2.75
7x75%.:3.15
all
Spot safe
today I Feb
R:270 (USD
Moch
Jufuse available at R:277.
Required: -
28Feb
Predictfuture on
dates &
31msch
Solution
IFeb 28 Fes 3. Mich
Spot 270
277
290 270
Fulise 293.5 270
-
7 3.5 D
7 2:3.5
=
Speculation Business
USD ↑
Spot 308
Spot Rs:250 luss
so
Moch-Jutuse B:292/ USD
Msch.
Julie
15a
Patie (292)
buy 1 292
-
x
3IMSY
- Futes sell 1 x 300 30
Gain. 16
(750,000)
EntaseBy 588* &10,000
Gain 60,000
=
jutes.
15am 2021 5
- spot R= 290/USD
Re.
Moc Fites. 293/UCS
I
Fatse Sell 1 USD x 293 293
1031
(240
Futes-
by
250
x
masc
3
Spot R:270
Mod. R. 270
Jut
2
Buy Ite
40
Rate:250
2.
ty
Ol
I Jan 2022
today.
spot 260/USD
Masch 266 (usi
fute
Bought 5 Contracts
of 1,000 USD. each
Closed OutOn:-
15 March.
SpotR0:
287
-
Solution
I Jan 15
MJcb 3: Mich
6 3
=
2 x 2.5:
=
5
Month
Gain (los
(1,330,000)
-at b
266:
1 Jan 5,000 USD x
15
Msch. 5,000 UCD
x 2e 1,440,000
110,000
gain
Oll,
Today (Jan 2022
Spot R:
165/s,Julie:168 loss
today
·
18 Mic Futso
buy 6,000 x205.45: (1,232,700)
loss. (222,70)
- -
payment:Buy.
-
St4,200: 1000:7.2
v
7 x 1000
-v 7000
= USD.
I6Msch
by
Future Sell 7000
259
283
(1,813,000)
1.981,000
-
Gain 168,000
Fud 235 -
Fud 202. =
V
33
Step #1
Payments:Falise
in
(3:Masch) By.
Stact: 50,00
1000
L v 50.4
=
-
Sa
=
50
50x1000:50,000
USD
Step #3 HedgeSetup.
50,000 230 (11,500,000)
e bu See
Fati
IJam USD x
16 Mard.
Spot buy 50,400 254
USD x (12,801,6007
Fatise 1,300,000
fair.
Effective lost
of (11,501,600)
50,400 USD
=
50408
Step #2
-
17,260 =1,000
-
17.26
(17,000
~
17 x
1000:
PKR
I5an Future sell
⑪
17000
-
3587000
COMIC Fatse
By 17000 201.5
(3,425500)
Gain 161,500
Spot
38e
20 March. USD sale 17,260 x 198
Gain
Effective proceech from 3578,988
17260USD -
17,260
Effective procech/USD 207.36
Summary
Paymentin use on 16 Mich Receipts on 16 Masch
-
Futese 1x )
by Ian
IJa x
xx Future sell XXxx
Gain xxyx
Gain XXxx
effective X xyx
E05 Polach. XXXX
Let
Conceptof tick.
Tick Size
Tick value.
SpotR:250.0000 -
254,0000/USD
Futura R:256.0000 /USD
Contract
Size:50,000 USD
Future
By 50,000v1 x256.0001:(12,800,000)
Future Sa 50,000 USD 256.0001
x
12,800,005
Gain. 5
->
~
lowestpossible
0.0001
FCRate
Change
=
in
Tick
Size
Tich valu
Spot R:270-274/
today USD.
On 15March. Ww
spot R:296-299/USD
Future B:300/USD
Solution
Step #3
Hedge Setup.
18 or ot
Festuse
Future Bysen""us' 25
15am
Is Msch
Gain. ~
6,300,000
OR.
1279)
buy
-
Ticks
Se 300 v
Gain -21 x 10,000 Tich
Tic
210,000
210,000 x 6:
(1260000 ~
Gain / contact
1260,000 Contracts
x 5 =
6,300,000
Gain
Effective (at (83,400,000 C
300,000
=
1278/USD
②
v
-
-
Future
by to close out
***2 Contract
2,000,000 16.67
-
120,000 = 17
2,040,000 USD.
Step #3 set
Aup
Future Sell 213.5
(218.5)
Felise
Buy
(5)
loss intesms Tick 5x 10,000
of
50,000 Ticks
Ion I but aut
Total loss (Tick) 50,000 x 17
850,000 Ticks
0.0001 x 120,000:I
Tick
value
of a
Alternative Melod
Ion
Juti, (10,200,000)
on
MSKt
Spot Seuss
(2,000,000 USD x 218.5) 437,000,000
Future you (10,200,000)
Effective proceed. 426,000,000
!
2,000,000
USD
I
ARM R:
spot: 150-15410s -
Payment ①
Deales- option
E.P 140 v
Carel
Spot R: 190-195TUSD
MV= 195 X
E.P: 140x
Cost
Effective
from option:5,200 x 140728,000
Premium 124,800
-
1164 /us
Care 2
M. Psice 132 v
140
E.psice
Cost
Effective
Isom (5200
Market 132)
x 686,408
Premium 124,000 a
1150
E.p-
E.P<M.P --
option will be
M.P- Enescived
"Out
of
the
Money"
where have
option we a
sight
to
puschan something
=Call
option.
Di
SIMSch
Payment to be made 6,350 USD
Today I Jan.
Spot today
R: 20-4/Usp
can option
Contract
size 1000 USD
·
-
-R:2'85/USD
L
o
E.p
·
Premium B:/UD
On 31 masc.
① Spot 302-304/uss.-
② Spot 285-269/03D -
v
Cone(1)
1,000 6
=
304/USD
M. Rate:R:
E.p:R:
285/USDU Coverage 6,000 USD
Remain
350 USD
Cost
Effective
From
(Hedged
option postion6000 285 x
1710,000
I
From
(Remaining
MICA
Premium
postion) 350x304
(6,000 7)x
106,400
42,000
Total lost 602 6,350 USD.
1,850400
Effective Rate: 1858400 :
6,350
·1292.66
Case (2)
On 31 March
Effective Cost
From MK4
(Hedged postion) (6,000 x269) 1,614,000
From MK4
(Remaining postion) (350x269) 94.150
Premium (6,000 7)
x 42,000
Total
Cost
of 1,350 USD
1,750,150
I
6,350
Call
option
In the MP>E.P
money
·
Out
of the money
·
MP LE.P
"Right
"
to see
·Jan 2022 31 March 2023
⑦ 5,000 USD
ARM
I
Dealer
Spot:Re:215
Food:Rs.220
option: R:224 E.p.
Spot 2 (215)
I.V. 9
T.V 5
Premium. 14 250
MIC-
MR < E.P
224 -
215 I
E.P.
200
S
M12 224 M127 Psice
price X [40
205 NK+ v
EnCes Din
care) USD
spot:Rs:205 (3/MSch2022
E.P 224 ~
M.P 205
/Effective:210/USD
E.P 224
M.P 248 -
Psoceech
From 5,000 x 240 = 1,200,000
MIA
Poemion paid
(70,000)
25,000 x(4)
1,130,000
RS:1,130,000 5,000 USD:226/USD.
=
Summary
↳P] highes
Proceed (highl x x
xX
Poolach
Oll
·
Spot
today us 379lusis
·
·
Premium)
Contract
size 1,000 USD
·
Spot Rs:
31 March 1
290-294/USD
:
on
2. Rs:260-263/ USD.
Solution
Covesage:10x1000 10,00003D.
=
Caris
Spot on 31 March
Rs:290-294
282
E.P
M.P 290 v
Effective proceed.
:10,400
1285. 19
Cone (2) Spot on 31 March 260-263/US$
E.P 282 v
M. P 260
Effective proceach.
Decision
making
E.P 200v
=
250
Call 200
option M.P:250
(Sasta Phaxedo)
E.P
v
Types of options
M I I 1 I in
↑
3 Masch.
15am
5000USD
Call
option Ep:Re:200 -
Mp 268 =
Mp.295
Encecisable
·European only
at
option
Date.
Maturity
American
·
upMatusity
to Date.
·
Bermudian option. ->
Multiple excise, date.
Multiple Encercise prices
i can
Ames
· 10 April A pil
25
~ .
May May
1
W + 113 ·
15Jun Jue.
~I + 11I
W ~+ 112
· 5 July X
· 9 Apsil April
Ep Ps +
=
Pick.
louent Ytt: isthe w
2017
X 32 X
15 10,000.
-
V
May
w
102 -
6:96
105 -
7: 982
110 -
13 = 97
E.p -
Psem:Not Collection
highestpick
Rel date
be baad
· Month
wall
fixKasain. an
pick.
~W
e put option.
calloption
-- v
I ~ ~
I
L -
- -
-
-- -
Receipts Covered
by put option
Expected Receipt
I
date: 13
May
Contract
:May putoption.
So I can blu
sell USD
anytime
1 Apsil 31
May.
-
2
Bast E.P
XXX
x 96 95 974
we
picked 110 -
3 # Contracts
of
4,520,000 = 90.4
50,000
90
=
coverage
50,000 x 9
4,500,000
3 Decision on 13 May.
MP 107
Effective proceed.
4,500,000x110
From option (Hedged postion) 495,000,000
(Remaining 2,140,000
From MK+
20,000 107
postion x
Effective Rate197.044
Can2
E.p. 110
v
112
M.P
=
Effective proceed.
USIY 4,520,000
effective wate/uss. 199
Call JUNE
option for paymentin
is month
Jone.
27 Best E.P
37 Contracts. ~
8.515,000 136.24
=
62,500.
62,500
136 x =
18,500,000
4) Decision I
-
06
E.P
M.P
Cost
57 Effective
Hedged postion (8,500,000 106 x 901,000,000
Remaining postin (15,000 109)
Premium (8,500,000 9)
x
x
1,635,000
76,500,000
Cost
Effective 979,135,000
-
USD
8,515,000
Effective
Cost
(USD (R:) (114.9
201
5) Effective
E.P 106
M.P 103 r
USD &.515,000
N I
I am 31 March
2022 2022
I
300 million.
Bossowes
Kibos + 2%
Empacted Rate Y
12% 2==14%
+
15% - 16%
12Y
D ⑪
IJan 31m asch
2022 2022
500 Million.
⑧
- Inventos.
ARM
Deposite:Kibus 12.
12%
9%-8%.
Summary
2017a
Bossowes -> Future
bossowing
4
I
ints. Rate.
due to in
Fining
X
=
19%
FRA
17%
-
-
Rs.300 million
Spot:14%
31 March
Spot:19%
to bank. (300 19%)
x 57
From FRA
(300 2%)
x (6)
Net
bossowing lost
El
Rate
Eff
bossowing =
51/300
117%
FRA Bank.
7
(19%) 117%
2.
A
CAR2
31 March
sate:13%
Spot
Tobank (300 13%) x 39
TO FRA 12
(300 x4i)
51
51/300: 17%
FRA
I
Bank.
(13:)
(4)
I
Flow cash
of
1 From to
FRA Co.
Picking the
sight
FRA + Rate
&Mouth.
2 months
6 month.
N I I
bloct
Masch 30
April
Tension
iocm Repay. of
low
Obtaining
Date
Ilan Datel
⑦ ↑ ↑
2x &
3 2
A I
3mouth.
a
3 IMsch
3:
May
3x5
Re: - FRA
3 months lates loan
for a Month.
x 3x8 - 52 -
5.8
-3 x 11 - 6.1- 6.3v
DR BR.
Oll
12
Nov
Msa
N N
I
2 5
R.D
A D
4.D LD
X
2x 7
FRA -
15%
Solution
to Bank (10,000,000 17%x5(12) (700,333)
x
From FRA
(10,000,000 2%. x5/12) 83,333 x
Net
Bossowing
cost
625,000
625,000
x 12 =
5
Annual into. Cost 1,500,000
=
1,500,000 =
10,000,000 15%
=
What
is kibos.
K IBOR.
A 10 %
B 5 Statebank.
25.
11 I
>
2 9%
7
10% 10%
7
7
D 12 11 i.
25%
12
%% 10.5%
E I
I Bond Vallation
MR
his par
O ARMAAA
Kibos 100
7
Bank ICRC
BB B 7
·JCR-UIS
I JK.
Kibus + bY ·PA KRA.
+2.-> spread
Nate
FRA 14% k 2
+
47%.+ 19%
21.
=
3%
FRA
only.
Kibos
with
-
-
X
-
-
BR BR
-
-
-
I
17.25% + 2%
Solution
3 O
N I I
30 NOU
15an /Apsil
2022 2022
Loan
Repayment
7. Date Date.
Date
3x11
at
FRA
pale
Bossowing
Hedge Setup (NetDay)
tobank (400 8/12 19.25%) (51.4333x)
x x =
From
FRA,7.25% -
14.3%)
7.86667
400x8/12 x2.95%
436661
43.466667
12
x 65.2
=
8 A. I. A.
65.2=400: 116.3%
FRA:M.3%. 23=16.3%
+
Rate FRA
EG). +
spend.
=
E
-
smonth 3 Mot
UV
M I
0 6 month mont
a
6x9
Libos + 0.5%
v X
65%+0.5%
Effective Payment
To bank (10,000,000 x 7%.
3/12 x (175,000)
From FRA
(10,000,000 x
3/12 x 1.2% 30,000
580,000 10,000,000-
Egg. bossowig5.8%.
Jate-
53%
+
0154:15.8%
-
1%.
100 BPs
=
L 0.5%
+
3month- 12 Month.
I
B 3Month ismonth.
3x
15
Net
Payoys
To bank (10,000,000 x (6% +0.5%):(650,000)
From FRA
(10,000,000 0.5%)
x 50,000
600,000 600,000
12
x
=
12
% 6%.
FRA+ Spread.
5.5% 0.5%
+
16%
InterestRate
Fuliss
I
p
-
Y
I am
X I
~
31Masch 30 June.
~
v -
spot:12% 2
IRF:13.7% S 207:16%
lock in
Rate:113.7%-
500,000 13.7%.
x x
3112: T,125
I
7
⑪ v
I am 3:masch 30June
Today
Investment Recovery Date.
Date
-
Spot:12: spot: 10% 7
IRF:113%
%
500,000 x
13 xx3/12 1,150
=
Rate
Key Date and
Key
is Antuse Contract
27 loan contact
IJan
a 3/Msch 30 June
Y
Future Conts. D
Rate
Convergence
0.54.1 0.5%1, 0.5%. 1,
-
I Jan 3150 28Fes 31M64
FARM I
A I
-
~
A.0.
Ali
T.T.
W
~
15%
14% 14% 14%:0
13.5%
1.5%
12%
11.5%
11%
Speculation Bs.
Spot:12%
~ locu inRate 13.5%
Futise:13.5%
I
san loa
contra contact
-
v
close.
open
-
v
-
Spot:17% A
I
v Inv. ~
Fate, 17% Invert
r Maturity
On 31 Msch
Oll
On 1stJan
& 14%
obtained a loan under masch
Julie
31 Masch
spot:187
Masch
Julise:18%
thecontact by
ane
Cloud
out inventing
-
RU: calculate
NetSain/lon.
InvestmentContract
(700,000 184
x x
3(12) 31,500
3'mschbut ->
Invent-3/MSch.
700
Net Sain I
- -
- -
O
is
what meant
by close out
loam contact
obtaining
is crossed by
contract
Inventing
IJan
spot=12i
Musch
Jutise:1%
loan obtained Re:1000,000 Is. (loan receiptdate
-(Msch)
31 Masch
Reg: . Net
gain (low
Solution
I Jan 31 Masch
30Jhe
loan
DY?
obtain: 14%
-
Invent :y
Y
10,000
=
Early close out
I Jas
spot:12%
Future:1 ->we sold
fals
Contact to
obtain loan on 3YMasch n
11%
15 Masch
of R:
60,000
spot:18% I Elisa
Fate:10.2% we bought
e
Contractto Invat R:G on 3 March & 18.21
Reg:.
calculate
-
net
gain (lou.
Solution
6,300
⑦
iss neg
20.
Debt Inventos.
securities.
sell Buy.
loan obtain= Securities
Debt
Selling of
Secusitia.
Investment:
Buying of Debt
15a
-
By (Invent) 18.5%
4.5%-
16750
all
Ian
0 12. BY
Much
future having 3 month
coverage.
·
15Masch
· Purchased Contracts
5 a 14.2s.
to close out
Spot 14%
today
·
Reg..
Calculate gain loss.
Falise sell
(bosowig) (12.8%)
(Invert I 14.2%
Fatese
By 1.4%
all
I Jan
spot 10%
87 (100 87) 13%
Future Masch
-
R.400,000
valuing
5 Contracts sold each
15
Masch
closed out
each
by
D
buying 5
&3.5
Contracts
(16.5-s)
of R:400,000
day
to
spot
Reguised
Gain (loss?
Solution
Futis
B (Investment) 16.5%,
3.5%
I
All
I Jan
13%
Spot 85.4 (100 -
854) 14.6
Future-March
R:500,000
valuing
7 Contracts sold each.
15
Masch
Closed out
each
by buying
way
Contracts
7
19%
of R:500,000
spot
day 18.75%
to
Reguised
Gain (loss !
InterestRate
Jutises for hedging of loan.
I Jan
Spott 15%
~
Ints. Rate Future (3month. A
Juli 8l
Loan Amout
(on 15Msch) R: 500,000
for 3 mouth
Conts. Size :100,000
15 March I
20%
Spot
Ints. Tate Fate. (3Mouth Mich
fats) 79.7
Reg
Setup hedge
I
· a
Find Rats
egg. bossowij
Station (174)- Y
D 1-
1
Hedged
·Ja 3 IMs- 30Jve
Setup r
28s
A Future sell 03 w
I5M Fato
buy. (79.7)
3.3V
Entire sell &7
(83.5)
Futiso
Bu
Gain 3.5%
400,000 3.5%.
x 5x x
3112 (17,500
=
Spot loan (500,000 31,2 x20%(
x
(25,000) -
3 M un
·Jan bojue
15
March
Ane
I 3IMs
7
(17%)
20.3
3.3%.w
M 1 -
get
15 mich fianc. 1554g
(200)
all
ot to day 12.
Loan Raguised Rs:2,350,000
Loan Required on 28 Feb 2020
Loan Reg. 3 month.
jan
Contact Rs: 150,000
Size
Required: -
Effective bossowing rate.
Solution
-
Contracts
Hedge Setup
15am FatueCell 87 loane2,350,000
Zeis
Buy 1835
Fatse 150,000
15.67 = 16
Gain:16x150,000 3.5x,
x
x3/12
121,000
Spot loan
Gain 21,000
Jatic
on a
&1,413 12:
x
327,250
327,250:113.93%
2350,000
3 Mont 21000
A
·Jan
D
204s
voielimasch.-------- ojune
~
15m Contract that on 31 much I will obtain
a loan 2,400,000 & 13x. (87)
of
~
2&F
Contact that on bimard & will deposit
2400,000 an invertent & 16.5% (83.5)
--
-
212,500 x 12 850,000
=
850,000 18.5%
=
10,000,000
① A li 3month 500,000 2
into, bank
to
(500,000 x 3/12x (6) 20,000 =
17500
I
17500 70,000
12
x
=
I 14%
3
500,000
O 1500,000 Month"
>
2%
li
A 3
tobank:500,000 x 16 x6112:40,000
From Ali:500,000 x 21 x
3112: (2500)
37,500
37,500 12
x = 75,000
500,000
(15%
=
Y
500,000
6/12
x = x x 3/12
(x 1,000,000
=
⑦ ~500,000 6 month 16%
Aslam
35000
35000 12
x 70,000: /14",
=
500,000
123456500,000612
123 500,000
3/12
123 500,000] 1000,000
close out
Loan Reg on: 18 Msch G023
Easly
loan:87
Mschfuten for 3 month
On 18 Masch
Re:Effective bossowing
Spot = 16% cost a Rate.
Masch
Julse=83.8
Solution
Adj Amount
for Julia
Hedge Setup. 600,000 x
6112 2
=
x
3/12
Future sell &7
Fates-
bu 183.8) 12:1,200,000 =
32
6
76,800:
112.8%
600,000
Intesent Rate Conves
gene
I Jan 31Ja 28 Feb 3 IMsch
-
Basis
-
Futse 16%
- Spot 13%
3%
15
Jan 31 Msch.
Jan 16 16
Feb 28 28
Maa 3 I 20
75 -
61:11
20 march (identify Fatse Rate) -
75
0.44%
Fistase
Buy (81.56)
gain. 2.44 1600,000 50,000
=
13,660
loan on
spot (from a Comm. Bank)
360,000 5712
x 18%:
x (27,000)
Sain 3,660
EJJ. bossowing
2017
23,340
23,340 12
x
56,016:(15.56%
=
360,000
all
Basis
Future 15% (100 85)-
-
Spot 13.5%
-
Basis 1.5 y
Jan 20 20
Feb 28 28
Moch 31 22
~ 79-70
=
19 v
22 March
Julie Rate. 1.5%
-
79x9 =
Ad;Amout
Hedge Setup.
Fatise Sell 85- &70,00x7712 2
=
3/12
x
Fatis. 182.83)
Buy 870,000 =
3 x 7
Gain 217- ~-
v
12,030,000:100,000
Gain (Rs:) 20
20.3 =
110,850
Spot loan
870,000 5/12 x
x 17%: (86,275) -
Gain 10,856 -
75425 x 12
129,300:(14.86%
=
870,000
0
-
Rs:
Gain (Rs:):800 3112 x2%:
x 4 Million
Sain
Spot loan
300 412
x x 8.5%:(17)
Sain
Effective bossowig, 3
Cost
13
⑧
X 12:
195 16.5%
=
Empression of Rates
Interest
Intesent Rate:15.05%
Idigits
decimal.
after
lowest
possible intolate:0.01%
change in
Tick date:0.01%
size for
intent
all
Fulitedate:04
Today:
Contract Size:
15 Jan
R:500,000
Always jut
= 3 mouth
uuur
500,000 3/12
x 0.01%
x 112.5
=
=
112.5 I
E
all
Coverage
Contact
under Fulise:92 Contracts
size :500,000
total terms Tich
gains in (confsact:112
of
Tichs
Required
-
Total
Calculate Sain
Jutin mit
on
Tich 0.0 1.
size
Tick value:500,000 x 3/12 x 0.01%12.5
112 Tick x
12.5 x 92
I Total
gain. 128,800
-
Contract R:1,000,000
Size =
300 x3/12
x
8/12 x
=
12 800
=
Millio.-
800 200
x
25:14,000,000
x
↓,
Contact -Sain(ich
"Tich/couts an
Alternatively
800 x 3112x2%. :(4,000,000
-
Fuliso Sell 85
Fectiso
Buy (82.3) ~
2.7 =
0.01:270 Ticks
I
870,000 x7/12 3
= 3/12
x
870,000 +
3 x 7:2030,000
2,030,000 =
100,000:20.3
= 20
20x270 x2.5:
(13,500 Total Sail
Spot bossowing
870,000 x 7/12 x 17 =
(86,275)
Sain 13,500
Net
bossowij st (72,775)
Eff. Bossowig Rate:
72775 12:
x
127,757
870,000
Eff. Rate
of Bossowiy(14.34%
A
nativee 85
Futse
By (82.3)
2.7j.
Sain 13,500
Net
bossowij st (72,775)
Eff. Bossowig Rate:
72775 12:
x
127,757
870,000
Eff. Rate
of Bossowiy(14.34%
InterestRate IRG
option
N I I
I am 31msch. 30 June.
100,000
~
14 FRA:15.25%
spot:
Spot:18%
Spot:12;W
A I I
⑦ 15am 3 Masch
loan
30June
spot:14% 100,000
X
as spotit. 19%
-
15%
Strike sate-1e
premium 0.4%
=
Case (a)
loan Comm. bank
from 19%
(4%)
Payoyys of IRO
15%
Premium paid 0.4%
154,
100,000 15.4%
x x
3/12 13.850
=
Carbs
loan 10%
from
Premium
CB.
0.4%
10.4%
(xx)
(MR -
SR) Ne+bit x x x
Add:Premium x x x
->
Spot/MR < Stike Rate.
lapse the option just take out E88- bossmig
Sost
loan & MR
from comm. back xxxx -
Add: Premium
-
X
-G
x x
x
⑤)))))
Case(i)
-
Bank 11 % Y
a
Option 12:7%
Kibos
Bossowing Cost
Effective -
( 2%) 11%. +
340,000 12:
x 1,360,000
3
1,360,000 10,000,000
-
113.6%
Bank loan 17. 20 13%
+ =
Premium 0.6%
13.6%
-
Karez)
Bank:16%
option:12.7%
2i)
in 3(12) (450,000)
16%. +
Premium
(10,000,000x0.6%. x
3112) (15,000)
Effective bossoig 382,500
Cost
382500 12
x =
1530,000
1,530,000
/15.3%
=
10,000,000
tobank (167 + 2%.) (18%)
From 3.3%
option
Premium (0.6%)
153%
Commodity
Frubies
(129.536
Solution
24.2 =24
Net
pusch. Cost.
(14,679,780)
-
CommodityForward
summed
up
~
is Reduction in Coc
liabilities.
~2)
Timely payment
of
~3) Optimise
King Capital
was
~ 4)
stability
in
profitscollection
5) Smoth and Receivable
timely of
Hindsences
in
achiving Fin.
Objectives.
(a) Accen
Capital
to
(b) Interentdate.
on loans obtained (4 s adversel
Interest sate
investment.
(It is adversel
on
1) Commodity
prim
Inc. is ade.
Input(817)
Pain
of Goodh/Service Panon
output(Revenue) increase in
20st
is
difficult
1) Fo sew Rate
Paymentin Fe
-> adverse movement
Foren Rate
for
is not good.
Receiptin Fr
(e) Collection Receivable
of
be encashed.
Profit but not
eased might
16) Liquidity
of Arsus
Realisation % Should be
high (if not:Risk).
INTEREST RATE FUTURES FOR HEDGING “INVESTMENT”
Today
~Loan
(Jan 2020
Pea:104,000 (5mont)
·Today
·
Invent
tobe
15an 2020
made 104,000
·
IRP Contact
Size:100,000 you smonth
Spot
Dossowing Rey
·
sate K42%
·
kibos 16%
Loan on 18 March ·Investment date K-1.5%.
Much El &
fate Mich
jute
· ·
·
loan obtained on I8Msch when Imade on 18 misch
Kibos 22% when 22%.
was
spot (Kibi) was
Mich
Julia 18Msch 77.6 Mich
Juture on 18 Mc 776
·
· on
gene
Solution
I
(81)
-
Isa Fetise Sell" & 19% 77.6
I8Mod Estes e
by
v
(77.6) 22.4%
-41)
Gain 34%
x3/12
104000
5712
x x
=
x
3/12 1173,333
173,333 Contracts:I Contract
2x 100,000: /200,000
173,333 100,000 1.7
= =
a
Contact 2x100,000
Coverage
Spotinvent mat
=
1200,000
104,000 x 20.5%.
5/12 0.8&3"
=
x
loss
3
Effective pay of interet on
Julia met
-
(200,000 x 3.4%. x 4(12) (1700)
Spot (104,000 25%x5/12)
-
x 10,400 7,83
Gain on
Julies
(200,000 3.7%.x3112) (1,700)
-
8700:5x12:20,000
20,000 104,000:20%
+
I
Future buy
v
~
14.5%-0.5%
-
-
->
Jute sell
17,083,333 1,000,000
=
x =
Contract:17.08
E
I 17 Contacts
Coverage:17x1,000,000:17 Million.
Step #3 Spot inventoat (on 18 March)
10,250,000 x 14%x5112:597,917
Add: · Fatuse gain
MIt
17,000,000 4.25%x3112:180,625
x
770,542 =
5x12 1,060,501:10,250,000
=
/ Effective investment:18.2
I
Step#2 Contract.
3,000,000 =
500,000:6.
6x500,000 3,000,000
=
3,000,000
x
3/12 21+3112 X
=
Step #3 Investment on
Spot
3,000,000 x
10.15%x3112:76,125
loss on
future
MIH
Net
3,000,000
Income.
intesent
0.05%
x x3/12
so
75,750 +
3x12 303,000
=
110.1%
-
3,000,000
InterestRate
Fulises
Step#1 Step #1
Today sell
Julie
xxxa
Today
Fatise
by (xxx2)
Step #3
on close Bu Julie (x 1)
x x
Out
Date on closeout
Gain xxx
date. Gain. xx x x
it Reduce it
will increase
will
effective
ous
,
·
I Jan
today
16 Masch
· loan 400,000
=
for 3 month.
Spot:
·
16%
Strike
option (Dossower;option):
·
sate:17.25%
·
Premium:0.2%
Contract
size:R: 100,000
16 Masch
A b
Solution
Care (a)
Decision on 16 Masch
spot:22%
Strike Rate:17.25%. U
Spot transaction
~loanfsom
C. Bank (400,000 x 22.x3112) (22,000)
-
From Int. Rate op- (400,000 445%.x3112) 4,750
x
(17,250)
400,000 x 4.75%. x 3/12
x 12 =
Spot 14%u
=
Strike Rate:17.25%
Spot transaction
Premium
20
400,000 x 0.2%.x3112:
56,800 400,000:114.2%
100
=
12
=
x
·
I Jan
today
16 Masch
· Inventant 400,000
-
for 3 month.
Spot:
·
16%
Strike sate:15.6%
option (leaders option):
·
·
Premium:0.2%
size =R:
Contract 100,000
·
16 Masch
A b
Solution
MKH 22%"v
cau (a) =
Decision
Strik:15.6%
Spot transaction
400,000 22%
x x3112 22,000
=
Premium
400,000 x0.2%. x3112:( 200)
Net ints. Income. 21,800
21,800 87,200
121.8x
~
12:
x
=
3
400,000
Case(b)
MKH 14'
=
> 1.6%
Decision
Strike:"15.6%.
Spot transactions
From
option 400,000 x 1.6% 3112:1600 x
I
61,600 115.4%
15,400 12:
x
400,000
=
Intercit safe option
(a) used
bus bossowing
7 ij Mist
lowes
ate is
3) Investment
·
Encessive
if strike Rate) tate.
MK+
-
5,0)? if mist sate is
high them in
invent
the
MKand
lapse
invent
option and
in MS.
Today (Apsil
0C
-
-
-
-
14.5%
-
Contract
&,160,000 1,000,000 0.16
= =
unhedged postion:150,000
Decision
Kibos-
MICH 114.5%
-
only
8000, 000
option 18.5% Y
Effective intoincome -0.5%)
(14.5%.
-
Investat(14) 14%x 3112:280,000
&000,000 x
Fsomoption 8,000,000 x 4%. x 3112, 80,000