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Long term ECB loan hedging cost

Written by QuantArt Market

Forex Hedging | 10 min Read

Updated on : 15th January 2021

Best Hedging Strategy For Importers, import port

Please find below the pricing.

Spot Reference: 71.10

MonthJan-2210.02
Sl. No.Strategy nameCostAnnualized %
1Forward3.364.5%
2Plain Call strike at 73.13.825.3%
3Plain Call strike at 76.52.002.8%
4Call Spread (Buy Call at 73.1/ Sell Call at 76)1.632.3%
5Call Spread (Buy Call at 73.1/ Sell Call at 77)2.012.8%
6Call Spread (Buy Call at 73.1/ Sell Call at 78)2.303.2%
7Capped Forward (73.1 to 76)1.041.5%
8Capped Forward (73.1 to 77)1.432.0%
9Capped Forward (73.1 to 78)1.722.4%
MonthJan-23  
Sl. No.Strategy nameCostAnnualized %
1Forward7.074.6%
2Plain Call strike at 73.16.864.9%
3Plain Call strike at 803.092.2%
4Call Spread (Buy Call at 73.1/ Sell Call at 77)2.521.8%
5Call Spread (Buy Call at 73.1/ Sell Call at 78)3.042.2%
6Call Spread (Buy Call at 73.1/ Sell Call at 79)3.452.5%
7Capped Forward (73.1 to 77)2.091.5%
8Capped Forward (73.1 to 78)2.611.9%
9Capped Forward (73.1 to 79)3.022.2%
MonthJan-24  
Sl. No.Strategy nameCostAnnualized %
1Forward11.384.8%
2Plain Call strike at 73.19.964.9%
3Plain Call strike at 84.53.781.9%
4Call Spread (Buy Call at 73.1/ Sell Call at 78)3.441.7%
5Call Spread (Buy Call at 73.1/ Sell Call at 80)4.472.2%
6Call Spread (Buy Call at 73.1/ Sell Call at 83)5.702.8%
7Capped Forward (73.1 to 78)3.261.6%
8Capped Forward (73.1 to 80)4.292.1%
9Capped Forward (73.1 to 83)5.532.7%
MonthJan-25  
Sl. No.Strategy nameCostAnnualized %
1Forward15.664.8%
2Plain Call strike at 73.112.824.9%
3Plain Call strike at 894.621.8%
4Call Spread (Buy Call at 73.1/ Sell Call at 81)5.162.0%
5Call Spread (Buy Call at 73.1/ Sell Call at 83)6.082.3%
6Call Spread (Buy Call at 73.1/ Sell Call at 85)6.902.7%
7Capped Forward (73.1 to 81)5.051.9%
8Capped Forward (73.1 to 83)5.972.3%
9Capped Forward (73.1 to 85)6.782.6%
MonthJan-26  
Sl. No.Strategy nameCostAnnualized %
1Forward20.084.8%
2Plain Call strike at 73.115.444.9%
3Plain Call strike at 935.541.8%
4Call Spread (Buy Call at 73.1/ Sell Call at 81)5.191.7%
5Call Spread (Buy Call at 73.1/ Sell Call at 83)6.202.0%
6Call Spread (Buy Call at 73.1/ Sell Call at 85)7.112.3%
7Call Spread (Buy Call at 73.1/ Sell Call at 88)8.312.6%
8Capped Forward (73.1 to 81)5.121.6%
9Capped Forward (73.1 to 83)6.132.0%
10Capped Forward (73.1 to 85)7.0344261950.022415087
MonthJan-28  
Sl. No.Strategy nameCostAnnualized %
1Forward29.644.7%
2Plain Call strike at 73.120.054.9%
3Plain Call strike at 102.56.891.7%
4Call Spread (Buy Call at 73.1/ Sell Call at 83)5.971.5%
5Call Spread (Buy Call at 73.1/ Sell Call at 85)6.961.7%
6Call Spread (Buy Call at 73.1/ Sell Call at 88)8.322.0%
7Call Spread (Buy Call at 73.1/ Sell Call at 93)10.302.5%
8Capped Forward (73.1 to 83)5.931.4%
9Capped Forward (73.1 to 85)6.921.7%
10Capped Forward (73.1 to 88)8.287019220.020244343
MonthJan-31  
Sl. No.Strategy nameCostAnnualized %
1Forward42.544.3%
2Plain Call strike at 73.124.274.6%
3Plain Call strike at 115.58.261.6%
4Call Spread (Buy Call at 73.1/ Sell Call at 85)6.171.2%
5Call Spread (Buy Call at 73.1/ Sell Call at 88)7.501.4%
6Call Spread (Buy Call at 73.1/ Sell Call at 93)9.521.8%
7Call Spread (Buy Call at 73.1/ Sell Call at 98)11.312.1%
8Capped Forward (73.1 to 85)6.141.2%
9Capped Forward (73.1 to 88)7.481.4%
10Capped Forward (73.1 to 93)9.4931338280.017992826

Long term – IRS, POS, COS & CCS

Please find below the IRS, POS, COS & CCS for 1 to 10 years

 1Y2Y3Y4Y5Y7Y10Y
IRS2.19%2.20%2.25%2.35%2.47%2.47%2.47%
POS2.13%4.68%4.88%4.86%4.81%4.73%4.29%
COS2.25%2.33%2.45%2.62%2.83%2.95%2.24%
CCS4.39%7.01%7.33%7.48%7.64%7.68%6.54%

**Assumed  USD 3M Libor + 2% Spread

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