Question：Assume that it is now 30 June. KYT Inc is a company located in the USA that has a contract to purchase goods from Japan in two months time on 1 September. The payment is to be made in yen and will total 140 million yen.
The managing director of KYT Inc wishes to protect the contract against adverse movements in foreign exchange rates and is considering the use of currency futures. The following data are available.
Spot foreign exchange rate
Yen/$ 128.15
Yen currency futures contracts on SIMEX (Singapore Monetary Exchange)
Contract size 12,500,000 yen, contract prices are $US per yen.
Contract prices: September 0.007985
December 0.008250
Assume that futures contracts mature at the end of the month.
For September futures contracts, what is the current basis risk in ticks?
If the spot rate on 1 September is 120 Yen/$ and the basis risk declines in a linear manner what will be the futures market rate at 1 September?
The current basis risk is: ________ ticks
The estimated futures market rate at 1 September is: ________ to six decimal places
The correct answers are: 182 ticks and 0.008394.
解析：The basis risk is the difference between the spot rate and the futures market rate. Currently the spot rate is 128.15 Yen/$, which is 0.007803 $/yen. The current futures market rate is 0.007985, which is a difference of 182 ticks (with three months until expiry of the contract).
On 1 September, the spot rate is 120 Yen/$, which is 0.008333 $/Yen. The basis with three months to go was 182 ticks (above). This declines evenly over time so with one month to go until the end of September there will be 1/3 of the basis left, so 182/3 equals 61 ticks. Hence the futures rate is 0.008333 plus 61 ticks (0.000061) which equals 0.008394.
To work out the basis of 182 ticks we took the difference between the spot and futures rate. On 1 September we know the spot rate and the expected basis so we can find out the futures rate. This is bigger than the spot rate at the start, so we expect it to be bigger at the end.
　　高顿网校温馨提醒
　　各位考生，2016年ACCA备考已经开始，为了方便各位学员能更加系统地掌握考试大纲的重点知识，帮助大家充分备考，体验实战，高顿网校开通了全免费的ACCA题库（包括精题真题和全真模考系统），题库里附有详细的答案解析，学员可以通过多种题型加强练习。戳这里进入ACCA免费题库>>>

微信扫一扫，关注ACCA*7资讯，满满的干货喂饱你！ACCA微信公众号：gaodunaccaACCA分享与交流QQ群：227573128 

展开全文