Long term ECB loan hedging cost
Written by QuantArt Market
Forex Hedging | 10 min Read
Updated on : 15th January 2021
Please find below the pricing.
Spot Reference: 71.10
| Month | Jan-22 | 1 | 0.02 |
|---|---|---|---|
| Sl. No. | Strategy name | Cost | Annualized % |
| 1 | Forward | 3.36 | 4.5% |
| 2 | Plain Call strike at 73.1 | 3.82 | 5.3% |
| 3 | Plain Call strike at 76.5 | 2.00 | 2.8% |
| 4 | Call Spread (Buy Call at 73.1/ Sell Call at 76) | 1.63 | 2.3% |
| 5 | Call Spread (Buy Call at 73.1/ Sell Call at 77) | 2.01 | 2.8% |
| 6 | Call Spread (Buy Call at 73.1/ Sell Call at 78) | 2.30 | 3.2% |
| 7 | Capped Forward (73.1 to 76) | 1.04 | 1.5% |
| 8 | Capped Forward (73.1 to 77) | 1.43 | 2.0% |
| 9 | Capped Forward (73.1 to 78) | 1.72 | 2.4% |
| Month | Jan-23 | ||
|---|---|---|---|
| Sl. No. | Strategy name | Cost | Annualized % |
| 1 | Forward | 7.07 | 4.6% |
| 2 | Plain Call strike at 73.1 | 6.86 | 4.9% |
| 3 | Plain Call strike at 80 | 3.09 | 2.2% |
| 4 | Call Spread (Buy Call at 73.1/ Sell Call at 77) | 2.52 | 1.8% |
| 5 | Call Spread (Buy Call at 73.1/ Sell Call at 78) | 3.04 | 2.2% |
| 6 | Call Spread (Buy Call at 73.1/ Sell Call at 79) | 3.45 | 2.5% |
| 7 | Capped Forward (73.1 to 77) | 2.09 | 1.5% |
| 8 | Capped Forward (73.1 to 78) | 2.61 | 1.9% |
| 9 | Capped Forward (73.1 to 79) | 3.02 | 2.2% |
| Month | Jan-24 | ||
|---|---|---|---|
| Sl. No. | Strategy name | Cost | Annualized % |
| 1 | Forward | 11.38 | 4.8% |
| 2 | Plain Call strike at 73.1 | 9.96 | 4.9% |
| 3 | Plain Call strike at 84.5 | 3.78 | 1.9% |
| 4 | Call Spread (Buy Call at 73.1/ Sell Call at 78) | 3.44 | 1.7% |
| 5 | Call Spread (Buy Call at 73.1/ Sell Call at 80) | 4.47 | 2.2% |
| 6 | Call Spread (Buy Call at 73.1/ Sell Call at 83) | 5.70 | 2.8% |
| 7 | Capped Forward (73.1 to 78) | 3.26 | 1.6% |
| 8 | Capped Forward (73.1 to 80) | 4.29 | 2.1% |
| 9 | Capped Forward (73.1 to 83) | 5.53 | 2.7% |
| Month | Jan-25 | ||
|---|---|---|---|
| Sl. No. | Strategy name | Cost | Annualized % |
| 1 | Forward | 15.66 | 4.8% |
| 2 | Plain Call strike at 73.1 | 12.82 | 4.9% |
| 3 | Plain Call strike at 89 | 4.62 | 1.8% |
| 4 | Call Spread (Buy Call at 73.1/ Sell Call at 81) | 5.16 | 2.0% |
| 5 | Call Spread (Buy Call at 73.1/ Sell Call at 83) | 6.08 | 2.3% |
| 6 | Call Spread (Buy Call at 73.1/ Sell Call at 85) | 6.90 | 2.7% |
| 7 | Capped Forward (73.1 to 81) | 5.05 | 1.9% |
| 8 | Capped Forward (73.1 to 83) | 5.97 | 2.3% |
| 9 | Capped Forward (73.1 to 85) | 6.78 | 2.6% |
| Month | Jan-26 | ||
|---|---|---|---|
| Sl. No. | Strategy name | Cost | Annualized % |
| 1 | Forward | 20.08 | 4.8% |
| 2 | Plain Call strike at 73.1 | 15.44 | 4.9% |
| 3 | Plain Call strike at 93 | 5.54 | 1.8% |
| 4 | Call Spread (Buy Call at 73.1/ Sell Call at 81) | 5.19 | 1.7% |
| 5 | Call Spread (Buy Call at 73.1/ Sell Call at 83) | 6.20 | 2.0% |
| 6 | Call Spread (Buy Call at 73.1/ Sell Call at 85) | 7.11 | 2.3% |
| 7 | Call Spread (Buy Call at 73.1/ Sell Call at 88) | 8.31 | 2.6% |
| 8 | Capped Forward (73.1 to 81) | 5.12 | 1.6% |
| 9 | Capped Forward (73.1 to 83) | 6.13 | 2.0% |
| 10 | Capped Forward (73.1 to 85) | 7.034426195 | 0.022415087 |
| Month | Jan-28 | ||
|---|---|---|---|
| Sl. No. | Strategy name | Cost | Annualized % |
| 1 | Forward | 29.64 | 4.7% |
| 2 | Plain Call strike at 73.1 | 20.05 | 4.9% |
| 3 | Plain Call strike at 102.5 | 6.89 | 1.7% |
| 4 | Call Spread (Buy Call at 73.1/ Sell Call at 83) | 5.97 | 1.5% |
| 5 | Call Spread (Buy Call at 73.1/ Sell Call at 85) | 6.96 | 1.7% |
| 6 | Call Spread (Buy Call at 73.1/ Sell Call at 88) | 8.32 | 2.0% |
| 7 | Call Spread (Buy Call at 73.1/ Sell Call at 93) | 10.30 | 2.5% |
| 8 | Capped Forward (73.1 to 83) | 5.93 | 1.4% |
| 9 | Capped Forward (73.1 to 85) | 6.92 | 1.7% |
| 10 | Capped Forward (73.1 to 88) | 8.28701922 | 0.020244343 |
| Month | Jan-31 | ||
|---|---|---|---|
| Sl. No. | Strategy name | Cost | Annualized % |
| 1 | Forward | 42.54 | 4.3% |
| 2 | Plain Call strike at 73.1 | 24.27 | 4.6% |
| 3 | Plain Call strike at 115.5 | 8.26 | 1.6% |
| 4 | Call Spread (Buy Call at 73.1/ Sell Call at 85) | 6.17 | 1.2% |
| 5 | Call Spread (Buy Call at 73.1/ Sell Call at 88) | 7.50 | 1.4% |
| 6 | Call Spread (Buy Call at 73.1/ Sell Call at 93) | 9.52 | 1.8% |
| 7 | Call Spread (Buy Call at 73.1/ Sell Call at 98) | 11.31 | 2.1% |
| 8 | Capped Forward (73.1 to 85) | 6.14 | 1.2% |
| 9 | Capped Forward (73.1 to 88) | 7.48 | 1.4% |
| 10 | Capped Forward (73.1 to 93) | 9.493133828 | 0.017992826 |
Long term – IRS, POS, COS & CCS
Please find below the IRS, POS, COS & CCS for 1 to 10 years
| 1Y | 2Y | 3Y | 4Y | 5Y | 7Y | 10Y | |
|---|---|---|---|---|---|---|---|
| IRS | 2.19% | 2.20% | 2.25% | 2.35% | 2.47% | 2.47% | 2.47% |
| POS | 2.13% | 4.68% | 4.88% | 4.86% | 4.81% | 4.73% | 4.29% |
| COS | 2.25% | 2.33% | 2.45% | 2.62% | 2.83% | 2.95% | 2.24% |
| CCS | 4.39% | 7.01% | 7.33% | 7.48% | 7.64% | 7.68% | 6.54% |
**Assumed USD 3M Libor + 2% Spread