Long term ECB loan hedging cost

Written by QuantArt Market

Forex Hedging | 10 min Read

Updated on : 22nd October 2021

Best Hedging Strategy For Importers, import port

Please find below the pricing.

Spot Reference: 72.50

MonthMar-2210.02
Sl. No.Strategy nameCostAnnualized %
1Forward3.87255.25%
2Plain Call strike at 72.54.1834912115.84%
3Plain Call strike at 76.52.0442105962.86%
4Call Spread (Buy Call at 72.5/ Sell Call at 76)1.9885626932.78%
5Call Spread (Buy Call at 72.5/ Sell Call at 77)2.3335857853.26%
6Call Spread (Buy Call at 72.5/ Sell Call at 78)2.6300525293.67%
7Capped Forward (72.5 to 76)1.4917633782.08%
8Capped Forward (72.5 to 77)1.8367864692.57%
9Capped Forward (72.5 to 78)2.1332532142.98%
MonthMar-231 
Sl. No.Strategy nameCostAnnualized %
1Forward7.6412457375.06%
2Plain Call strike at 72.57.2676631645.26%
3Plain Call strike at 803.1960752442.31%
4Call Spread (Buy Call at 72.5/ Sell Call at 77)2.8829578392.08%
5Call Spread (Buy Call at 72.5/ Sell Call at 78)3.3507161912.42%
6Call Spread (Buy Call at 72.5/ Sell Call at 79)3.7496078812.71%
7Capped Forward (72.5 to 77)2.5062144421.81%
8Capped Forward (72.5 to 78)2.9739727942.15%
9Capped Forward (72.5 to 79)3.3728644832.44%
MonthMar-241 
Sl. No.Strategy nameCostAnnualized %
1Forward11.659011024.99%
2Plain Call strike at 72.510.162796835.07%
3Plain Call strike at 844.0748348712.03%
4Call Spread (Buy Call at 72.5/ Sell Call at 78)3.675834941.83%
5Call Spread (Buy Call at 72.5/ Sell Call at 80)4.6170764852.30%
6Call Spread (Buy Call at 72.5/ Sell Call at 83)5.7966879762.89%
7Capped Forward (72.5 to 78)3.4231439321.71%
8Capped Forward (72.5 to 80)4.3643854772.18%
9Capped Forward (72.5 to 83)5.5439969682.77%
MonthMar-251 
Sl. No.Strategy nameCostAnnualized %
1Forward15.643833774.87%
2Plain Call strike at 72.512.702188984.93%
3Plain Call strike at 885.0464798481.96%
4Call Spread (Buy Call at 72.5/ Sell Call at 81)5.1257211971.99%
5Call Spread (Buy Call at 72.5/ Sell Call at 83)5.97049772.32%
6Call Spread (Buy Call at 72.5/ Sell Call at 85)6.7250819692.61%
7Capped Forward (72.5 to 81)4.9134408711.91%
8Capped Forward (72.5 to 83)5.7582173742.24%
9Capped Forward (72.5 to 85)6.5128016432.53%
MonthMar-261 
Sl. No.Strategy nameCostAnnualized %
1Forward19.818580544.77%
2Plain Call strike at 72.514.9702644.83%
3Plain Call strike at 92.55.7912859691.87%
4Call Spread (Buy Call at 72.5/ Sell Call at 81)5.0473880581.63%
5Call Spread (Buy Call at 72.5/ Sell Call at 83)5.9434183621.92%
6Call Spread (Buy Call at 72.5/ Sell Call at 85)6.7598466272.18%
7Call Spread (Buy Call at 72.5/ Sell Call at 88)7.8527321122.53%
8Capped Forward (72.5 to 81)4.8665337141.57%
9Capped Forward (72.5 to 83)5.7625640171.86%
10Capped Forward (72.5 to 85)6.5789922830.021206856
MonthMar-281 
Sl. No.Strategy nameCostAnnualized %
1Forward29.32083884.71%
2Plain Call strike at 72.519.085099434.74%
3Plain Call strike at 1027.1633863871.78%
4Call Spread (Buy Call at 72.5/ Sell Call at 83)5.625809181.40%
5Call Spread (Buy Call at 72.5/ Sell Call at 85)6.4928909141.61%
6Call Spread (Buy Call at 72.5/ Sell Call at 88)7.6923728181.91%
7Call Spread (Buy Call at 72.5/ Sell Call at 93)9.45075062.35%
8Capped Forward (72.5 to 83)5.506658791.37%
9Capped Forward (72.5 to 85)6.3737405241.58%
10Capped Forward (72.5 to 88)7.5732224280.018808636
MonthMar-311 
Sl. No.Strategy nameCostAnnualized %
1Forward43.319088274.37%
2Plain Call strike at 72.522.901403974.46%
3Plain Call strike at 1168.5041068551.65%
4Call Spread (Buy Call at 72.5/ Sell Call at 85)5.6142633521.09%
5Call Spread (Buy Call at 72.5/ Sell Call at 88)6.7590414761.32%
6Call Spread (Buy Call at 72.5/ Sell Call at 93)8.5073785251.66%
7Call Spread (Buy Call at 72.5/ Sell Call at 99)10.3655192.02%
8Capped Forward (72.5 to 85)5.5322931421.08%
9Capped Forward (72.5 to 88)6.6770712661.30%
10Capped Forward (72.5 to 93)8.4254083160.016394473

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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