a liability of USD 1 million due in December 2021. You have receivables of 10 million Japanese yen due in December 2021. Assuming that the forecasts given in table 1 are accurate and using the forward rates for AUD/USD and AUD/JPY, does it make sense to hedge a) your payable in USD; b) your receivable in JPY? Illustrate with data obtained from internet sources / IRESS trading room. You may use forwards/futures/options on the relevant currency pairs (if available).
a liability of USD 1 million due in December 2021. You have receivables of 10 million Japanese yen due in December 2021. Assuming that the forecasts given in table 1 are accurate and using the forward rates for AUD/USD and AUD/JPY, does it make sense to hedge a) your payable in USD; b) your receivable in JPY? Illustrate with data obtained from internet sources / IRESS trading room. You may use forwards/futures/options on the relevant currency pairs (if available).
Fundamentals Of Financial Management, Concise Edition (mindtap Course List)
10th Edition
ISBN:9781337902571
Author:Eugene F. Brigham, Joel F. Houston
Publisher:Eugene F. Brigham, Joel F. Houston
Chapter17: Multinational Financial Management
Section: Chapter Questions
Problem 5P: EXCHANGE RATES Table 17.1 lists foreign exchange rates for August 30, 2018. On that day, how many...
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You are a CFO of an Australian company with a liability of USD 1 million due in December 2021. You have receivables of 10 million Japanese yen due in December 2021. Assuming that the
Transcribed Image Text:Table 1: Foreign currency Forecasts: Source NAB September 28, 2020
Exchange rate forecast
Dec-20
Mar-21
Jun-21
Sep-21
Dec-21
Mar-22
Jun-22
Sep-22
Majors
AUD/USD
0.74
0.76
0.77
0.77
0.78
0.79
0.80
0.80
NZD/USD
0.66
0.67
0.68
0.69
0.70
0.70
0.72
0.72
USD/JPY
103
103
100
100
100
99
98
98
EUR/USD
1.22
1.23
1.25
1.26
1.27
1.28
1.30
1.31
GBP/USD
1.36
1.40
1.40
1.43
1.44
1.45
1.47
1.48
USD/CHF
0.91
0.91
0.91
0.91
0.91
0.92
0.91
0.91
USD/CAD
1.32
1.29
1.28
1.28
1.27
1.26
1.25
1.25
USD/CNY
6.70
6.60
6.55
6.50
6.45
6.40
6.35
6.30
Australian Cross Rates
AUD/NZD
1.13
1.13
1.13
1.12
1.11
1.12
1.11
1.11
AUD/JPY
76
78
77
77
78
78
78
78
AUD/EUR
0.61
0.61
0.62
0.61
0.62
0.62
0.61
0.61
AUD/GBP
0.54
0.54
0.55
0.54
0.54
0.54
0.54
0.54
AUD/CHF
0.67
0.69
0.70
0.71
0.71
0.72
0.73
0.73
AUD/CAD
0.97
0.98
0.99
0.99
0.99
0.99
1.00
1.00
AUD/CNY
4.96
4.99
5.04
5.03
5.05
5.04
5.06
5.04
Effective 28 September 2020
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