As a hedge against currency risks


Claims against the futures were the same as for the forward - the possibility of unlimited losses (but unlike futures traded on the exchange forward every day and can theoretically be sold prior to the date of execution - that in reality it is unlikely, as it requires active speculation, placing stop-loss orders, etc.), and the need to divert resources to make margin and generally underdeveloped market for currency futures in Russia. Currency futures are traded on only two sites - the MICEX and SPCE.

Liquidity of the market (in fact, trade - the number of daily transactions, and applications for pokupkuprodazhu futures) of the Exchange Act is in its infancy. Currency swaps - the kind of financial transactions in which the buyer (seller) of the currency at the time of purchase (sale) is committed to a short-term sell (buy) the same currency. Swap market in Russia, there is little, except for interbank swaps. Structured as derivatives, such as Zero-cost Collar, Convertible-Forward, etc., because of their complexity and exoticism will be considered separately.

A way out

Currency call option dollar / euro settled in rubles! It is this product was offered one of the company's multinational banks. Type of option - deliverable, ie It targets the euro against the dollar. Instead of dollars can be put rubles (at the current exchange rate). What is the convenience of such a scheme for the company First option - it is a right, not an obligation. That is a change in the liquidity of the option can be omitted. Second, the Bank has offered to acquire options on any amount and timing. Third, the option can not be unlimited losses as have a duty to pay only the initial premium (the option price), which is about 1.5% of the amount of a month at the current rate (known at the money). Options for longer periods, two months and more, are more expensive. The premium paid under the new tax code, can be attributed to the cost - in the event that it was hedging, not speculation, it is easy to prove the provision of the contract with the supplier in the euro, which was purchased under the option. Scheme with deliverable options can be easily modified in the scheme with non-deliverable options, where there is no movement of currencies, but only arbitration. Call option buyer receives the difference between the strike price (contractual rate) and spot (current rate) in the event that spot above the strike. However, according to the Tax Code of non-deliverable option must be exchange-traded products, but this is easily bypassed, if the marriage deal, which actually lies between the customer and the bank, to the exchange. The only disadvantage of the option - this product is worth more than the forward or futures contract, which, however, is clearly the right is always more expensive liability.

Thus, a solution was found, and the company in the new year regularly hedge their foreign exchange exposure, which helps it to avoid exchange losses. And hedging going on in Russia, and not in a foreign offshore, which is an advantage and competitive advantage.