10 In May, a German export company exported a batch of goods worth 5 million pounds to Britain. In September, it will be settled in pounds. At that time, the exchange rate of the pound against the US dollar was 1 = 1.2, and the exchange rate of the German mark against the US dollar was 1 US dollar =2.5, so the exchange rate of the pound against the German mark was 65438+. The September sterling futures contract is trading at the price of 1 = 1. 1 USD, and the September mark futures contract is trading at the price of 1 DM =0.4348 USD, which means that people think that the spot exchange rate of sterling against DM in September should be 1 GBP =2.53 DM. In order to prevent the pound from falling further against the Deutsche Mark, the company decided to hedge the pound. Because the futures contract between the pound and the Deutsche Mark does not exist, export companies cannot use the traditional futures contract for hedging. However, the company can achieve the purpose of maintaining the value by selling the futures contract of Deutsche Mark against the US dollar and buying the futures contract of British pound against the US dollar. The specific operation process is as follows:

On may 10, 80 futures contracts in pounds sterling (500,000 pounds ÷ 62,500 pounds =80) were sold, each with a face value of 62,500 pounds, and the price was 1 pound = 1 dollar. At the price of 1 mark =0.4348 USD, buy 120 Deutsche mark futures contract (500,000× 3 mark/pound ÷125,000 mark = 120).

Deutsche mark futures

On September 10, the spot exchange rate of the pound against the Deutsche Mark was 1 =2.5 marks, so the loss in the spot market was 2.5 million marks ((3 marks/pound -2.5 marks/pound) × 5 million pounds). In the futures market, the September sterling futures price is 1 = 1.02 USD, and the September Deutsche Mark futures price is 1 Deutsche Mark =0.5 USD. Export companies hedge their positions in the futures market, buy back 80 pounds of futures and sell 120 Deutsche Mark futures. The profit of sterling futures market is (1. 1 USD/GBP-0/.02 USD/GBP) × 62,500 GBP× 80 shares = 400,000 USD, while the profit of Deutsche Mark futures market is (0.5 USD/DM -0.4348 USD/DM). The profit of the futures market is1$378,000. At that time, the spot exchange rate of Deutsche Mark against the US dollar was 65,438+0 USD = 65,438+0.8500 DM, so 65,438+0.378,000 USD could be converted into 2,549,300 DM. Without considering the cost of hedging, the loss in the spot market can be completely offset by the profit in the futures market, and there is a profit of 49,300 marks.