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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