Curreoncy

A
COMPREHENSIVE PROJECT REPORT

ON
MANAGING TRANSACTION EXPOSURE
AT
KABRA EXTRUSIONTECHNIK LTD.
Submitted to:GIDC RAJJU SHROFF ROFEL INSTITUTE OF MANAGEMENT

STUDIES, VAPI.
IN PARTIAL FULFILLMENT OF THE
REQUIREMENT OF THE AWARD FOR THE DEGREE OF
MASTER OF BUSINESS ASMINISTRATION
In
Gujarat Technological University
UNDER THE GUIDANCE OF:Prof. Amit Bhattacharya
Submitted by:Bhavin R. Prajapati [107160592032]
Krunal S.Jariwala
[107160592085]
[Batch: 2010-12]
MBA SEMESTER III/IV
GIDC RAJJU SHROFF ROFEL INSTITUTE OF MANAGEMENT
STUDIES, VAPI.
MBA PROGRAMME
Affiliated to Gujarat Technological University
Ahmedabad
December, 2011
1
DECLARATION
We, Bhavin R Prajapati & Krunal S. Jariwala, hereby declare that the
report for Comprehensive Project entitled Managing Transaction exposure is a
result of our own work and our indebtedness to other work publications, references, if
any, have been duly acknowledged.
PLACE: VAPI
DATE:
Signature
Bhavin R Prajapati
Krunal S. Jariwala
CERTIFICATE
Certified
that
this
Comprehensive
Project
Report
Titled
MANAGING
TRANSACTION EXPOSURE is the bonafide work of Bhavin R. Prajapati

(107160592032) , Krunal S. Jariwala (107160502085)
research
under
my supervision.
who
carried
out
the
I also certify further, that to the best of my
knowledge the work reported herein does not form part of any other project report or
dissertation on the basis of which a degree or award was conferred on an earlier
occasion on this or any other candidate.
Signature
of
the
Faculty
Guide
(Prof. Amit Bhattacharya)
(Certificate is to be counter signed by the Director/HoD)

(Dr. Pankajray Patel)
ACKNOWLEDGEMENT
Accomplishment of a task with desired success calls for dedication towards work
and prompting guidance, co-operation and deliberation from seniors.
This report is the outcome of humble cooperation that I received at Kabra Extrusion
Technik Ltd.
We would like to thank our Director Dr.Pankajray Patel who has given us the
opportunity. First of all, we wish to express our profound gratitude and sincere
thanks to MR. S. L. Gandhi (Head, HR DEPARTMENT), In charge of the project for
his constant guidance and encouragement given during the study at Kabra
Extrusion Technik Ltd.
We are extremely grateful to Prof. Amit Bhattacharya and other faculty members
for their valuable guidance and glorious teaching.
In last, we express our profound gratefulness and indebtedness to the esteemed
Organization for granting me the grand privilege of working on project under team of
Experts and professionals in the field of finance.
LIST OF CONTENT
Chapter No. Particulars
Page No.
Declaration
Certificate
Acknowledgement
List of Contents
List of Tables
List of Charts
Executive Summary
1. Introduction to Company
10
Introduction
11
Organisation Structure
14
Market Share
16
Procedure for export
17
2. Literature review
18
3. Research Methodology
25
Need of the Study
26
Problem statement
26
Research Objective
27
Research design
27
Sources of Data collection
27
Sample Design
28
4. Background of study
29
Exposure
30
Types of exposure
30
5
Currency Risk Management Technique
33
Methods of Payment in International

trade
39
5. Data Analysis & Interpretation
41
Document available for receivable in

company
42
Forward contract
42
Future contracts
45
Money market hedge
46
Summary of Hedging Techniques
48
Technical Chart of Currency
50
6. Findings
54
7. Benefits of study
56
8. Limitation of study
58
9. Conclusion & Suggestion
60
Annexure
Bibliography
List of Tables
Table No
.
Particulars
Page No.
1.
Forward Market Hedge
43
2.
Future Market Hedge
45
3.
Money Market Hedge
46
4.
Summary of Techniques
48
EXECUTIVE SUMMARY
STUDY TOPIC:
Managing Transaction Exposure at Kabra Extrusion Technik Ltd.
OBJECTIVES OF THE STUDY:

To identify foreign exchange transaction exposure faced by the company on
the basis of their receivables.
To identify different types of transaction exposure hedging techniques
available in the market through which company can hedge their foreign
exchange risk.
To compare different hedging techniques and to analyze which is more
beneficial method for the company to hedge their transaction exposure.
To get the knowledge about different documents used in international trading.
TIME SPAN:
A period of three months i.e. 2011-2012 has been taken for the study.
STUDY INSTRUMENT:
Sales ledger and ledger A/c of the company.
The main goal of any company is to update quality of their products and to develop
newer products to keep pace with international range of products, used with added
advantage of better properties at a much competitive price. The efforts of upgrading
the quality of all the existing products is a continuous process of the company, based
on the growing need of the customers for the higher quality of the products from time
to time.
The undertaken project of Managing Transaction Exposure has the main objective of
interpreting the various hedging techniques can be used for transaction exposure at
Kabra Extrusion Technik Ltd.
In this study we have analyzed various techniques such as forward market hedge,
money market hedge and currency future in detail & try to find out which technique is
more beneficial to the company.
Chapter: 1 Introduction to Company
10
INTRODUCTION OF KABRA EXTRUSIONTECHNIK LTD
The company was incorporated on 21st October 1982 and was converted into
public limited company on 30th march 1984. Kabra Extrusiontechnik Ltd (KET), a
part of Kolsite group is a leading manufacturer of Plastic extrusion machinery in
India.
Kabra Extrusion Technik is the market leader in the production of pipe extrusion
lines. The company has collaboration with world leader Battenfeld of Germany for
twin-screw extrusion lines for PVC pipes, profiles & pellets apart from polyolefin
pipes.
They collaborated with Battenfeld, which is a part of SMS Plastics Technology the world's largest plastic machinery manufacturers, ensures they remain at the
cutting edge of technology and have the best next generation extruders.
KET offers a wide range of hi-tech sophisticated single and twin screw extrusion
lines for pipes, profiles, pellets, PO pipelines for HDPE/PPR, teleduct, mono and
multilayer blown films etc.
The Company has won Excellence in Export award five times and also is an ISO
9000 Company.
R & D techniques and various processes to cater to the market requirements for
low power consumption, high output, maintenance free and user friendly Plastics
Extrusion plants and machineries.
11
VISION
We, at Kolsite group are committed to demonstrate our leadership in our chosen
field of business by focusing all our actions towards customers satisfaction and
make significant contributions to his success.
We shall continue to innovate our processes, products and services to provide

value for money in all our efforts - both internal and external.
Total employee involvement, sincerity of purpose and commitment to objectives

are the pillars of this vision where all of us will perform as a team and shall trust
and respect each other.
12
COMPANY PROFILE
Registered Office
"Kolsite House" Off-Vera Desai Road, Andheri (west)

Mumbai 400053 Maharashtra India.
Works
Kabra Industrial Estate, Kachigam, Daman 396 210
Tel
(022) 26734822-24
Fax
(022) 26735041
Website
http://www.kolsite.com
Company turnover
` 150 cr. (approx)
Banker
State Bank of India (SBI),
Compliance Officer
Mr. Y D Sanghavi
Auditors
A. G. Ogle & Co.
13
ORGANISATION STRUCTURE
Chairman and M.D.
Vice chairman and M.D.
Director
Vice
President
Sales &
mktg.
Vice
president
Design
Vice
president
Works
Dy. Gen
Manager A/C
Gen.
Manager HRD
& Adm.
14
ACHIEVEMENTS DURING RECENT YEARS.

Plasticon Award for fastest Growing Enterprise
All India Award for Export Excellence 2006-2007 for Star performer
A certificate of recognition from the industry 2.0 magazine.
15
Market Coverage
KABRA company has both domestic and export market.
Market Share
Export
45%
Domestic
Domestic
55%
Export
In domestic & Export market, their maximum sales are in states like:Domestic
Export Market
Market
Maharashtra
African
Haryana
Gulf Countries
Punjab
United States of America
Rajasthan
United Kingdom
Gujarat
Himachal Pradesh
Chennai etc
16
Export
Finalize
Order
Order
Getting
Payment
All
documen
t
submitte
d to bank
Manufactu
ring
Procedure
Procedure
For
For
Dispatchin
g
Export
Export
Getting
Permissio
n from
excise
Export
Shipping
Bill
Documen
t-ation
17
Chapter: 2 Literature review
18
Literature review
Foreign exchange risk management - the paradox by Belk, P.A., Edelshain,

D.J. (1997) studied that the World currency changes either positively or negatively
affect expected revenues of companies. Complexity of determining, classifying
and managing economic exposure is restraining several managers to focus on the
issue while disregarding the positive effect it may bring to the company's finance.
But, facing the challenge and gaining greater understanding of the effects of
currency movement provide enormous advantage. Determinate reasoning and
agency theories help explain certain vague issues relating to currency exposure.
Foreign
Exchange
Risk
Management
in
German
Non-Financial
Corporations by Martin Glaum (1998) analysis that the paper reports the
results of an empirical study into the foreign exchange risk management of large
German non-financial corporations. The survey found a number of interesting
discrepancies between the positions of the academic literature and corporate
practice. For instance, numerous firms are concerned about their accounting
exposure and some firms are actively managing it. The exposure concept favored
by the academic literature, that is, economic exposure, is of little importance in
practice. the widespread use of exchange rate forecasts and of exchange risk
management strategies based on forecasts (selective hedging). By adopting such
strategies, the managers indicate that they do not believe that the foreign
exchange markets are information efficient and they are able to beat the market
with their own forecasts. The academic literature, on the other hand, emphasizes
that it is very difficult indeed to make systematically successful exchange rate
forecasts. The study actually addressed a broader range of questions on
corporate risk management (strategic risk management, use of derivatives,
management of exchange rate risk and interest rate risk, accounting for financial
instruments and risk disclosure). However, only the results on exchange rate risk
management are reported.
19
Foreign exchange risk management practices A study in Indian scrnario

by Sathya Swaroop Debasish (2008) studied that Indian economy in the postliberalization era has witnessed increasing awareness of the need for introduction
of various risk management products to enable hedging against market risk in a
cost effective way. This industry-wide, cross-sectional study concentrates on
recent foreign exchange risk management practices and derivatives product
usage by large non-banking Indian-based firms. The study is exploratory in nature
and aims at an understanding the risk appetite and FERM (Foreign Exchange
Risk Management) practices of Indian corporate enterprises. This study focuses
on the activity of end-users of financial derivatives and is confined to 501 nonbanking corporate enterprises. A combination of simple random and judgment
sampling was used for selecting the corporate enterprises and the major statistical
tools used were Correlation and Factor analysis. The study finds wide usage of
derivative products for risk management and the prime reason of hedging is
reduction in volatility of cash flows. VAR (Value-at-Risk) technique was found to
be the preferred method of risk evaluation by maximum number of Indian
corporate. Further, in terms of the external techniques for risk hedging, the
preference is mostly in favour of forward contracts, followed by swaps and crosscurrency options This article throws light on various concerns of Indian firms
regarding derivative usage and reasons for non-usage, apart form techniques of
risk hedging, risk evaluation methods adopted, risk management policy and types
of derivatives used.
Hedging versus not hedging: strategies for managing foreign exchange

transaction exposure by Scott McCarthy (2003) in the paper compares a
number of strategies for managing foreign exchange exposures. The strategies
are never hedging, hedging every exposure using a forward exchange contract,
and hedging on selective occasions using a forward exchange contract. With
regard to the selective hedging, the decision as to whether to hedge or not
depends on the future spot exchange rate as determined by a number of
forecasting techniques. The techniques include the random walk, the large premia
model and a volatility model. The paper considers the USD vis a vis the AUD,
SGD and JPY. The results are mixed and show that for the period 1992 to 2003
20
the Australian exporter is better off always hedging while the Singapore and
Japanese exporters are better off never hedging. The various management
strategies are compared using Sharpes model and the minimum variance model
though it seems the results are not sensitive to use of either.
Exposure to permanent and temporary exchange rate stocks of industries
in Thailand by Anya khanthavit (March 15, 1998) has studied the proposes an
alternative approach for testing exposure of firms to foreign exchange risk. It
allows asymmetric response of firms to permanent and transitory shocks in the
exchange rate in appositive or negative direction. It is motivated by the fact that
firms may respond to permanent and temporary shocks in the exchange rate in a
different way and that firms may devise business strategies to benefit from
currency appreciation and depreciation. Using monthly, real returns from
December 1984 to June 1997 on industries classified by the stock exchange of
Thailand, the study finds that the industries responded to both permanent and
transitory shocks and that the response was asymmetric to the shocks in a
positive and negative direction. The finding supports the fact that the industries
devised strategies to cope with both currency appreciation and depreciation.
Moreover, the test proposed by this study can detect significant exposure for
many more cases than the conventional tests can. The asymmetric response may
help to explain why the conventional tests cannot detect the exposure of firms to
foreign exchange risk.
Hedging Foreign Exchange Exposure: Risk Reduction from Transaction
and Translation Hedging by Niclas Hagelin and Bengt Pramborg (May 28,
2002) analysis that the Using a sample of Swedish firms we investigate the risk
reducing effect of foreign exchange exposure hedging. Further, we investigate risk
reduction from using different hedging instruments, and particular interest is
directed towards the impact of transaction exposure hedges and translation
exposure hedges respectively. We find that firms foreign exchange exposure is
increasing with the level of inherent exposure, measured as the difference
between revenues and costs denominated in foreign currency, and that it is
decreasing with firm size. We find a significant reduction in foreign exchange
exposure from the use of financial hedges. The evidence suggests that the usage
21
of foreign denominated debt as well as currency derivatives reduce firms foreign

exchange exposure. Further, we find that transaction exposure hedges
significantly reduce exposure, and that translation exposure hedges also reduce
exposure. A possible explanation for the latter is that translation exposure
approximates the exposed value of future cash flows from operations in foreign
subsidiaries (i.e. economic exposure). If so, by hedging translation exposure,
economic exposure is reduced.
Hedging exposure to foreign exchange risk when the forward market is
rudimentary: The case of the KD market by Imad A Moosa (1991) studied the
Four hedging decisions are evaluated when the KD is the base currency using
historical data involving five foreign currencies. Using the mean-variance criterion
as applied to the domestic currency value of foreign currency payables, it is found
that staying unhedged, direct forward hedging, cross forward hedging, and money
market hedging produce similar results. This finding is attributed to the validity of
the unbiasness hypothesis and the cyclical movements of exchange rates, which
cause the extreme domestic currency values of the payables to cancel out over a
long period of time. The finding that cross forward hedging and money market
hedging lead to similar results as those obtained from direct forward hedging is
due to the high correlation of the KD exchange rates and to the fact that covered
interest parity holds precisely. The results suggest that if hedging is felt to be
necessary on certain occasions then the unavailability of forward contracts should
not be considered a problem.
Corporate Hedging for Foreign Exchange Risk in India by Anuradha
Sivakumar and Runa Sarkar (1993) has attempts to evaluate the various
alternatives available to the Indian corporate for hedging financial risks. By
studying the use of hedging instruments by major Indian firms from different
sectors, the paper concludes that forwards and options are preferred as short
term hedging instruments while swaps are preferred as long term hedging
instruments. The high usage of forward contracts by Indian firms as compared to
firms in other markets underscores the need for rupee futures in India. In addition,
the paper also looks at the necessity of managing foreign currency risks, and
looks at ways by which it is accomplished. A review of available literature results
22
in the development of a framework for the risk management process design, and
a compilation of the determinants of hedging decisions of firms. The paper
concludes by pointing out that the onus is on Reserve Bank of India, the apex
bank of the country, and its Working Group on Rupee Futures to realise the need
for rupee futures in India and the convertibility of the rupee.
Managing transaction exposure by Dalina Dumitrescu (2009) studied that in
the period of crisis the volatility of foreign exchange is one of most important
elements to be consider in the risk management strategy at corporate level .The
paper will focus on the main types of foreign exchange exposure, the role of
hedging in managing the currency risk and the measurement of transaction
exposure. The risk management in practice is illustrated by a case study designed
to capture and contrast the effects of different types of options for hedging the
transaction exposure.
Analytical Approaches for Exposure Management Strategies by John
Worthington (2007) Exposure management on revolving credit portfolios in
many markets across the globe is frequently carried out via sophisticated
strategies executed by parameter driven decision engines. Analysts and
managers confronted with legacy strategies can be foxed by large and complex
strategies where the rationale for the strategy design and the layers of
performance and behavior which make up the whole of the strategys
performance may be barely understood, if at all. Given that exposure
management strategies may typically be multi-layered and complex, utilizing
numerous scores and metrics, this can also lead to difficulties in tracking large
strategies with many layers of segmentation. This in turn may lead to reductive
tracking and monitoring approaches, which can overlook the valuable insights into
customer and portfolio behavior to be gathered from a more granular approach to
strategy performance monitoring. This presentation will discuss a number of
alternative approaches to exposure management strategy and performance
analytics on revolving credit portfolios, paying particular regard to approaches
which deliver insights that feed directly into test strategy design and modification.
23
Foreign Exchange Exposure Management Practices of Indian Firms: An

Empirical Analysis (March 2008) by Prof Madhu Vij employs questionnaire
survey and reports the findings of a survey of chief financial officers of Indian
Companies conducted in 2008. The objective of this study is to investigate if the
CFOs had a clear understanding of the difference between translation, transaction
and economic exposure. In addition, the study also concentrates on the hedging
policies used by firms, the key factors that determine the decision to hedge and
how frequently is the hedging policy reviewed.
The article Foreign exchange exposure perception and management of

Turkish SMEs. (22nd September 2005) by Kula, Veysel , aimed at analyzing
the foreign exchange (FX) exposure perception and management of small and
medium-sized enterprises (SMEs) in Turkey. FX exposure is divided into three
groups of translation exposure, transaction exposure and economic exposure. Of
these groups, only transaction and economic exposures are relevant to the
wealth-maximizing firm. Drawing on a survey of 412 SMEs located throughout
Turkey, this study explores the perceptions of managers regarding transaction
and economic exposure as well as how they manage these two exposure groups.
The survey results show that the term of FX exposure is conceptually perceived
as economic exposure which also covers transaction exposure. However, the
SMEs focus to manage the transaction exposure rather than the economic
exposure. In managing the transaction exposure, the SMEs heavily rely on
internal hedging techniques while they are not even aware of the nature of
external hedging techniques
24
Chapter: 3 Research Methodologies
25
Research Methodology
Need of the Study :In todays scenario, Currency appreciation and currency depreciation, is the
biggest problem for country as well as company involved in cross border
transactions. The motive of the any company is to get more profit in both
conditions .This could be achieved only by using Currency risk management
techniques. Any company can decide to hedge its payables or receivables
transactions so that it can protect itself from possible appreciation or depreciation
of the currency.
Problem statement
Kabra is a Plastic Processing Machine Manufacturing company its products are
exported in foreign countries also. So the firm has foreign currency denominated
receivables and it is subject to transaction exposure (exchange risk). Their
settlements are likely to affect firms cash flow positions. Through the overall study
of Kabra we came to know that Kabra is not using any hedging technique. So the
reason to select this topic is to identify various transaction exposure management
techniques and to find out the best hedging technique suitable for Kabra.
26
Research Objective
To identify foreign exchange transaction exposure faced by the company on
the basis of their receivables.
To identify different types of transaction exposure hedging techniques
available in the market through which company can hedge their foreign
exchange risk.
To compare different hedging techniques and to analyze which is more
beneficial method for the company to hedge their transaction exposure.
To get the knowledge about different documents used in international trading.
Research Design
Our research is completely based on descriptive study.
Sources of Data
Data is obtained by secondary sources
Internal
Ledger account of the company
Sales record of the company
External
Books
Newspaper
Internet
Data Collection Method

Secondary Data
27
Sample Design
Universe
All export transaction done in the last 1 year
Samples
High values export transaction are selected for the study
Sample size
Total 10 values transaction will be taken under study
28
Chapter: 4 Background of study
29
BACKGROUND OF STUDY
Exposure:The degree to which country is affected by exchange rate change is called exposure.
There are two type of Exposure
(1) Accounting
Translation
(2) Economic
Transaction
Operating
Translation:
Translation exposure is the possibility of a change in the equity section (common
stock, retained earnings, and equity reserves) of a multinational companys
consolidated balance sheet, caused by a change (expected or not expected) in
foreign exchange rates. As such it is not a cash flow change, but is rather the
result of consolidating into one parent companys financial statement the individual
financial statements of related subsidiaries and affiliates exposure is the possibility
of a change in the equity section (common stock, retained earnings, and equity
reserves) of a multinational companys consolidated balance sheet, caused by a
change (expected or not expected) in foreign exchange rates. As such it is not a
cash flow change, but is rather the result of consolidating into one parent
companys financial statement the individual financial statements of related
subsidiaries and affiliates.
Transaction exposure:
30
Transaction exposure the potential for a gain or loss in contracted-for near term
cash flows caused by a foreign exchange rate-induced change in the value of
amounts due to the multinational 2 companies or amounts that the multinational
companies owes to other parties. As Such, it is a change in the home currency
value of cash flows that are already contracted for Transaction exposure
measures changes in the value of outstanding financial obligations incurred prior
to a change in exchange rates but not due to be settled until after the exchange
rates change .Thus, this type of exposure deals with changes in cash flows the
result from existing Contractual obligations.
Operating exposure:
Operating exposure, also called economic exposure, competitive exposure, or
strategic exposure, measures the change in the present value of the firm resulting
from any change in future operating cash flows of the firm caused by an
unexpected change in exchange rates. The same it also called economic
exposure, competitive exposure, or strategic exposure, measures the change in
the present value of the firm resulting from any change in future operating cash
flows of the firm caused by an unexpected change in exchange rates. The same it
refers to a change in expected long-term cash flows; i.e., future cash flows
expected in the course of normal business but not yet contracted for.
31
32
CURRENCY RISK MANAGEMENT TECHNIQUES

A firm may choose any one or any set of combinations of the following techniques
to manage foreign exchange rate risks.
Forward
Market Hedge
Currency
future
Money
Market Hedge
Foreign
Currency
Option
Risk shifting
Techniques
of
Hedging
Pricing
Decisions
Currency Risk
Sharing
Currency
Currency
Diversification
Collars
Leading &
Lagging
33
FORWARD MARKET HEDGE:

Forward contract is a private contract between a buyer and a seller in which the
buyer agrees to buy and the seller agrees to sell a specific quantity of a certain
security or commodity (known as the underlying instrument) at the price specified
in the contract. The difference between a forward contract and most other sales
contracts is that with the forward contract, the delivery and payment of the
underlying instrument occurs at a specified future date instead of immediately.
Advantages
Can be written for any amount and term
Offers a complete hedge
Disadvantages
Difficult to find a counterparty (no liquidity)
Requires tying up capital
Subject to default risk
MONEY MARKET HEDGE:

The use of borrowing and lending transactions in foreign currencies to lock in the
home currency value of a foreign currency transaction. The use of borrowing and
lending transactions in foreign currencies to lock in the home currency value of a
foreign currency transaction.
Advantages
Contract standardization and central counterparty clearing to more efficiently
manage your counterparty credit risk
34
Disadvantages
Complexity
Hedging strategy is typically misunderstood by all but the most knowledgeable
insiders. Futures, forwards, options and swaps are the most commonly employed
money market hedges. Further, financial engineering and large investors continue
to roll out "exotic" products that add to the confusion. Institutions often have
difficulty simply selecting the right product for the right situation.
Volatility
Hedges are typically related to derivatives, which derive their valuations from
other assets. This added layer of valuation that must be adjusted according to the
overall mechanics of the particular hedge makes the pricing of these strategies
prone to wild fluctuations. Volatility increases further as the contract approaches
its execution date. At the extreme end, investors realize the fact that unexercised
options expire worthless.
Disclosure
Disclosure or its lack thereof, is always an issue with derivatives. Obviously,
derivatives can be traded frequently and financial managers often do not know
who holds what. Contracts carry counterparties that must make good on the
agreement to deliver assets at a specified date. Because of the volatility,
businesses and the accounting industry disagree on how to present hedge
positions upon financial statements. Marking to market may show losses, even
when the business has no intention of selling the contract at a loss. Disclosure
practices are further muddled by the idea that large investors are not likely to
openly telegraph each transaction. Markets are highly competitive, and access to
institutional trading patterns reduces their chances for profitability.
Inflexibility
The basic foreign exchange hedges are inflexible in some way. Futures that trade
upon organized markets are liquid, but do not allow for customization. Forward
35
contracts are customized between two parties, but are not liquid. Futures and
forwards carry legal obligations for investors to deliver and accept payment or
assets at a set price and date. Options are exercised at the discretion of the
holder. Again, unexercised options expire as worthless instruments.
Real and Opportunity Costs
Investors must remit payments to buy derivatives and put together hedging
strategies. For example, payments to purchase options are referred to as
premiums. These payments become losses when the options are not exercised.
Opportunity costs relate to foregoing profits from another transaction. Opportunity
costs are more so associated with futures and forwards contracts that enforce
execution. You may not be able to participate within favorable developments
related to a particular asset because a rate of exchange has already been agreed
upon.
CURRENCY FUTURE:A futures contract is similar to the forward contract but is more liquid
because it
is traded in an organized exchange i.e. the futures market. Depreciation of a

currency can be hedged by selling futures and appreciation can be hedged by
buying futures. Advantages of futures are that there is a central market for futures
which eliminates the problem of double coincidence. Futures require a small initial
outlay (a proportion of the value of future) with which significant amounts of
money can be gained or lost with the actual forwards price fluctuations. This
provides a sort of leverage.
Advantages
Easy to own underlying commodity or stock.
No need for holding/storing the underlying commodity or equity.
Standardized contracts guarantee the quality and quantity of underlying product.
Reasonable market liquidity available for all major futures types.
Instant execution of market orders.
Availability of both standard and mini contracts helps traders to choose; especially
with modest accounts.
36
Availability of around the clock electronic trading services.

Futures trading usually include simple and reasonably low commission fees and
plans.
By using futures contracts, traders can maximize profit or limit risk on trading other
funds, equities or commodities.
Position can be reversed easily
Doesnt tie up much capital
Disadvantages
Written for fixed amounts and terms
Offers only a partial hedge
Subject to basis risk (bond issuer can default)
CURRENCY OPTIONS:
Currency options offer the holder the right, but not the obligation, to buy or sell
foreign currency at an agreed price, within a specified period of time. Generally,
on most exchanges, options are not constructed on the underlying market, but
rather convey the right to buy or sell the futures contract. There can be exchangetraded options as also OTC options.
Advantages
Limits potential losses without limiting potential gains
Doesnt tie up much capital
Position can be reversed
Disadvantages
Written for fixed amounts and terms
Not much liquidity
Subject to basis risk
Offers only a partial hedge
37
CURRENCY RISK SHARING:

An agreement between two parties where they share the foreign exchange risk
associated with a transaction. For example, a buyer in Britain and a seller in the
United States may agree to split the difference between any gains or losses that
may result from the sale of the good or service. Currency risk sharing reduces
foreign exchange risk for both parties.
CURRENCY DIVERSIFICATION:
Any investment strategy that involves investing in securities denominated in
several currencies. For example, one may buy stocks that trade in U.S. dollars,
British pounds, Japanese yen, and euros. One conducts a currency diversification
strategy to reduce the foreign exchange risk involved in trading with only one or
two currencies.
LEADING & LAGGING:
Accounting technique of expediting (leading) or delaying (lagging) receipts and
payments of cash to gain a business advantage. Transactions between the
subsidiaries of the same firm, receipts and payments of cash may be delayed or
expedited to defer taxes Accounting technique of expediting (leading) or delaying
(lagging) receipts and payments of cash to gain a business advantage In foreign
trade.
38
METHODS OF PAYMENT IN INTERNATIONAL TRADE
Getting paid for providing goods or services is critical for any business. However,
getting paid for an international transaction can be a very different experience
from securing payment on business with other UK entities, due to the number of
extra factors that can influence the process.
The main factor in considering how an exporter expects to be paid for a
transaction is the potential risk that they and their customer are willing to face
between them don't forget, there are always two sides to any situation. There are
different types of risk that you will face as an exporter; this briefing will consider
the payment risk.
A. Advance Payment
The most secure method of trading for exporters and, consequently the least
attractive for buyers. Payment is expected by the exporter, in full, prior to goods
being shipped. As one might imagine, having covered the two extremes on the
Payment Risk Ladder, commercial decisions have to be made and this usually
results in selecting one of the middle rungs of the ladder.
B. Letters of Credit (L/Cs):A Letter of Credit is a bank-to-bank commitment of payment in favour of an
exporter, guaranteeing that payment will be made against certain documents that,
on presentation, are found to be in compliance with terms set by the buyer.
Irrevocable: The terms and conditions within a L/C cannot be changed without
the express agreement of the Beneficiary. Under UCP600, revocable L/Cs are no
longer acceptable under any circumstances.
Unconfirmed: The payment commitment within the L/C is provided by the
Applicant's issuing bank.
Confirmed: If an exporter has any concerns about the circumstances which may
prevent payment being made from either the Issuing Bank or buyer's Country, the
adding of "Confirmation" moves the bank/country risk issues to the bank which
adds its confirmation (the confirming or advising bank) and notifies the DC to the
exporter. The price of such a confirmation will obviously depend upon the level of
39
perceived risks to be covered. Banks can often provide indicative pricing for
confirmations prior to the arrival of the DC, so that costs can be estimated.
C. Documents against Payment (D/P):
Usually used where payment is expected from the buyer immediately, otherwise
known as "at sight". This process is often referred to as "Cash against
Documents". The buyer's bank is instructed to release the exporter's goods only
when payment has been made. Where goods have been shipped by sea freight,
covered by a full set of Bills of Lading, title is retained by the exporter until these
documents are properly released to the buyer. Unfortunately, for airfreight items,
unless the goods are consigned to the buyer's bank no such control is available
under an Air Waybill or Air Consignment Note, as these documents are merely
"movement certificates" rather than "documents of title". Similarly there is no such
control available for road or rail transport.
D. Documents against Acceptance (D/A):Used where a credit period has been agreed between the exporter and buyer. The
buyer is able to collect the documents against their undertaking to pay on an
agreed date in the future, rather than immediate payment. The exporter's
documents are usually accompanied by a "Draft" or "Bill of Exchange" which looks
something like a cheque, but is payable by the buyer. When a buyer agrees to pay
on a certain date, they sign the draft. It is against this acceptance that documents
are released to the buyer. Up until the point of acceptance, the exporter may
retain control of the goods, as in the D/P scenario above. However, after
acceptance, the exporter is financially exposed until the buyer actually initiates
payment through their bank.
Bills for Collection are used in certain markets to fulfill Exchange Control
Regulations. They are a cost-effective method of evidencing a transaction for
buyers, where documents are handled via the banking system
40
Chapter: 5 Data Analysis &

Interpretations
41
Data Analysis & Interpretation
Document available for receivable in company:There are various documents are available for international trading like letter of
credit, drafts like documents against payment (D/P) and documents against
acceptance (D/A). Out of this company uses L/C for the export transaction. A
letter of credit is an instrument issued by a bank on behalf of the importer (buyer)
promising to pay the exporter (beneficiary) upon presentation of shipping
documents in compliance with the terms stipulated therein.
Company presently does not use any hedging technique is exposed to transaction
risk.
Forward contract :A forward contract is negotiated between the firm and a financial institution such
as a commercial bank and, therefore, can be tailored to meet the specific needs of
the firm. The contract will specify the:
Currency that the firm will pay
Currency that the firm will receive
Amount of currency to be received by the firm
Rate at which the MNC will exchange currencies (called the forward rate ).
Future date at which the exchange of currencies will occur.
The data relating to the forward contracts were collected and comparison was
shown between hedged position and unhedged position.
42
Calculation of Forward Contract:
Date
Future
Amt. rec.
Amt. rec. @
Credit
Contract
Forward
Spot
@ forward
future spot
Profit / Loss
period
Value $
Rate
Rate
rate
rate
28/05/2011
90 Days
307850
45.7200
46.150
14074902 1,42,07,277.50
1,32,375.50
29/05/2011
90 Days
308475
45.7200
46.150
14103477 1,42,36,121.25
1,32,644.25
04-06-2011
90 Days
315920
45.3600
45.730 14330131.2 1,44,47,021.60
1,16,890.40
21/06/2011
90 Days
384550
45.3600
47.700
17443188 1,83,43,035.00
8,99,847.00
28/06/2011
90 Days
323650
45.3600
49.450
14680764 1,60,04,492.50 13,23,728.50
26/08/2011
90 Days
276350
46.4200
52.068
12828167 1,43,88,853.63 15,60,686.63
31/08/2011
90 Days
463800
46.4200
52.013
21529596 2,41,23,397.50 25,93,801.50
09-07-2011
90 Days
439900
49.6800
51.413
21854232 2,26,16,358.75
22/12/2011
90 Days
397875
54.4000
50.654
21644400 2,01,53,840.89 14,90,559.11
29/12/2011
90 Days
349500
54.4000
50.780
19012800 1,77,47,610.00 12,65,190.00

Total
7,62,126.75
47,66,351.41
Source:- http://www.forexpros.com/currencies/usd-inr-historical-data
www.mcx-sx.com/sitepages/mkt_data.aspx
Interpretation:
From the above table we can say that if the company hedge the risk by using
forward contract then in the first eight contracts company suffers
loss in
forward contracts.& company gains profit in last two contract which can be set off
against the loss but ultimately company suffers loss of 47,66,351.41 due to the
unexpected increase in dollar value.
43
44
Future contracts:A futures contract is similar to the forward contract but is more liquid because it
is traded in an organized exchange.
The data relating to the forward contracts were collected and comparison was
shown between hedged position and unhedged position.
Calculation of Future Contract:
Amt rec. at
Amt received
Contract
Future Spot
future spot
by future
Profit/Loss
Date
Value $
Rate `
rate
contract
28-05-2011
307850
46.150
14207277.50
15516845.63
1309568.13
29-05-2011
308475
46.150
14236121.25
15561701.06
1325579.81
04-06-2011
315920
45.730
14447021.60
15694310.00
1247288.40
21-06-2011
384550
47.700
18343035.00
18756493.33
413458.33
28-06-2011
323650
49.450
16004492.50
15846241.00
-158251.50
26-08-2011
276350
52.068
14388853.63
13550929.17
-837924.46
31-08-2011
463800
52.013
24123397.50
22614197.67
-1509199.83
07-09-2011`
439900
51.413
22616358.75
21399862.25
-1216496.50
22-12-2011
397875
50.654
20153840.89
23843968.25
3690127.36
29-12-2011
349500
50.780
17747610.00
21216835.00
3469225.00
Total Profit /
Loss
7733374.75
Source: - www.mcx-sx.com/sitepages/mkt_data.aspx
Interpretation:
There is an another way to hedge the risk related to foreign trade is future
contract in which daily settlement is done which is said to be mark to market
account where daily settlement takes place. Here the company has to pay the
initial margin related to that contract. Even if the company goes for the future
contract then also they can get benefit and can reduce their risk. Here, company
faces loss in four future contracts & get Profit in other six future contracts.
Company get Overall profit of 77, 33,374.75 and this is one of the best techniques
to hedge the position in export contract.
45
Money market hedge :

A money market hedge involves simultaneous borrowing & lending activities in
two different currencies to lock in dollar value of future foreign currency cash flow.
To hedge receivables:
i.
Borrow the funds from foreign currency denominating receivables & convert
it to LC.
ii.
Invest these funds in LC & payoff the loan with cash inflow from receivables.
46
Table No.3 Calculation of Money market hedge
Date
Credit
Contract
US
Amount to
period
Value $
Borrowing
be
Rate
borrowed(
Spot
Amt.
Indian
Amt. Invested
Rate `
Converted in
lending
in Indian `
Indian INR `
rate
Future
Amt. Received
Spot
@ Fut. Spot
Rate `
Rate
Profit/Loss
in `
$)
28/05/2011
90
307850
0.008125
305368.8779
45.2100
13805726.97
0.023125
14124984.4045
46.1500
14207277.5
82,293.0018
308475
0.008125
305988.8407
45.2100
13833755.49
0.023125
14153661.08
46.1500
14236121.25
82,460.17
315920
0.008125
313373.8376
44.8550
14056383.4841
0.023125
14381437.3523
45.7300
14447021.6
65,584.2479
384550
0.008125
381450.7130
44.9100
17130951.5208
0.023125
17527104.7728
47.7000
18343035
815930.2253
323650
0.008125
321041.5375
45.0500
14462921.2646
0.023125
14797376.3190
49.4500
16004492.5
12,07,116.1812
276350
0.008125
274122.7526
46.0750
12630205.8276
0.023125
12922279.3374
52.0675
14388853.625
14,66,574.2877
463800
0.008125
460061.9963
45.9950
21160551.5188
0.023125
21649889.2726
52.0125
24123397.5
24,73,508.2274
439900
0.008125
436354.6187
46.0200
20081039.5525
0.023125
20545413.5921
51.4125
22616358.75
20,70,945.1579
397875
0.008125
394668.3199
52.7850
20832567.2659
0.023125
21314320.3839
50.6537
20153840.8875
11,60,479.4964
349500
0.008125
346683.1990
53.3550
18497282.083
0.023125
18925031.7311
50.7800
17747610
11,77,421.7311
Total Loss
59,26,510.36
Days
29/05/2011
90
Days
04/6/2011
90
Days
21/06/2011
90
Days
28/06/2011
90
Days
26/08/2011
90
Days
31/08/2011
90
Days
07/9/2011
90
Days
22/12/2011
90
Days
29/12/2011
90
Days
Interpretation:
If the company uses money market hedge where they have to borrow the amount
from the foreign currency and have to invest in the home currency so the
difference which comes at the time of repayment gives the benefit to the company
but from the above calculation we can analyze that the company suffers losses
constantly in first eight contracts so here company suffered overall loss of 59, 26,
510.36 due to the unexpected future spot price.
47
Summary :
The following table shows the summary of different technique:

Table No : Summary of various techniques
Date
forward contract
future contract
money market
28/05/2011
-1,32,375.50
13,09,568.13
-82,293.00
29/05/2011
-1,32,644.25
13,25,579.81
-82,460.17
06-04-2011
-1,16,890.40
12,47,228.40
-65,584.25
21/06/2011
-8,99,847.00
4,13,458.33
-815930.2253
28/06/2011
-13,23,728.50
-1,58,251.50
-1207116.181
26/08/2011
-15,60,686.63
-8,37,924.455
-1466574.288
31/08/2011
-25,93,801.50
-15,09,199.83
-2473508.227
09-07-2011
-7,62,126.75
-12,16,496.50
-2070945.158
22/12/2011
14,90,559.11
36,90,127.36
11,60,479.50
29/12/2011
12,65,190.00
34,69,225.00
11,77,421.73
Total
-47,66,351.42
77,33,314.75
-59,26,510.27
40,00,000.00
30,00,000.00
20,00,000.00
10,00,000.00
forward contract
future contract
0.00
money market
-10,00,000.00
-20,00,000.00
-30,00,000.00
48
Interpretation
The above table shows the brief summary of all the hedging techniques that is
forward contract hedge, future contract hedge and money market hedge. So from
the above calculation we can say that if the company uses the tools to hedge the
risk they get the benefit only from the future contract hedge. Rupee is depreciated
& Dollar is being strengthened by the following period so exporter gets loss if he
uses the hedging techniques. Even though this loss is not actual loss. This is
estimated loss.
49
TECHNICAL CHART OF CURRENCY

EXCHANGE RATE OF RUPEE AGAINST DOLLAR
CHART 1: SIMPLE MOVING AVERAGE
50
Interpretation:
From the above chart we can analyze trend i.e. upward from the last one
year. That defines that dollar is becoming more strengthen as compare to
rupee. This chart shows Moving average trend of USD red X shows the
selling signal to the investor and green arrow shows the buying signals to the
investor and now current situation in USD, it is cross the above average line
and now it is up word slop, in future if trend cross its average line and go
down side So In future, there is chances of loss for the unhedged exporter.
51
CHART 2: MOVING AVERAGE CONVERGENCE-DIVERGENCE
52
Interpretation:
This MACD chart indicates the buy & sale position for investors. & we can
also analyze that when to take short position for exporter with a view to
minimize loss and make a profit.
53
Chapter: 6 Findings
54
FINDINGS
From the past years of exports in different countries, we found that to hedge
the risk of foreign exchange, Company is not using any hedging technique.
According to the data collected from Kabra during the last 1 year companys
total transaction exposure was $ 3567870, of total 10 transactions done.
In forward hedge, There is Loss available was -47, 66,351.42, for future
hedge, there was Profit worth rupees 77, 33,314.75 & from money market
hedge loss is -59, 26,510.27. Company loss this amount on contracts due to
the unstable Dollar price.
Various hedging techniques like forward hedge, future hedge and money
market hedge was applied to companys exposed position for the last 1 year
and it was found that future hedge is more beneficial according to companys
requirement.
Company utilizes L/C out of various documents available in market

We also found that from last one year dollar price was fluctuating very fast. It
was becoming strengthened as compare to Indian currency (Rupee).
55
Chapter: 7 Benefits of the study
56
Benefits of the study

The main benefit of this study for the company is that it can identify the
available transaction exposure hedging technique for reducing their currency
risk. By doing so they can manage their foreign currency receivables more
efficiently and can insulate their cash flow position.
As a researcher this study will help me to get knowledge about foreign
exchange risk that a company can face who is involved in international
transaction. It will also help me in getting knowledge about various hedging
techniques and their practical application to a company facing transaction
exposure.
57
Chapter: 8 Limitations of Study
58
Limitation of the study
Main limitation is that only some of the techniques to reduce the risk by
hedging can be shown as there are many different techniques available in
the market. And data availability is limited.
Study is based on last 1 years data only.
Out of the total transaction available only the transaction still December
2011 were taken under study whose contract data were available till March
2012.
59
Chapter: 9 Conclusion &

Suggestions
60
CONCLUSION & SUGGESTION:
Kabra Extrusion Technik is the market leader in the production of pipe

extrusion lines. The company has collaboration with world leader Battenfeld of
Germany for twin-screw extrusion lines for PVC pipes, profiles & pellets apart
from polyolefin pipes.& The company is using not any hedging technique yet.
A range of techniques exists in the market which enables the company to limit
their exposure to the effect of fluctuating exchange rate. The decision to
protect or hedge is made after an assessment of the significance of the risk to
the business of exchange rate movements.
Various factors which affect the selection of hedging techniques in our project
includes,
The percentage of Kabras turnover that is expose to currency risk. the
greater the proportion of sales revenue received in home currency v/s the
international currency, the greater the risk to the business. the turnover of
Kabra was $ 35,67,870 for the last one year.
The market position of the company, its financial strength & ability to reach
the competitive pressure, the relationship of cost of sales with trading blocks.
Here the trading block is USD that determines the extent of hedging required
by the firm.
In Todays Scenario Indian currency is depreciating as compare to U.s
currency. Therefore, it is essential for the company to go for future hedge, its
position.
As par the reserve bank of Indias central board, private companies & state
owned companies are not using hedging techniques, which is the reason of
sharp depreciation of rupee. So RBI suggest for hedging to companies which
is expressed in THE FINANCIAL EXPREESS dated on 17th May 2012.
In long run, dollar depreciates and rupee appreciates as par the RBIs efforts.
if Kabra Industry dont hedge their position, they will face loss . It is advisable
for the company to enter future contract to hedge its position.
61
Annexure
62
Forward Market Hedge:Profit= (Forward Rate Future spot rate)* Contact Amount
Transaction No. 1
= (45.7200 - 46.150) * $ 307850
= - 1, 32,375.50
Transaction No. 2
= (45.7200 - 46.150) * $ 308475
= - 1, 32,644.25
Transaction No. 3
= (45.3600 - 45.730) * $ 315920
= - 1, 16,890.40
Transaction No. 4
= (45.3600 - 47.700) * $ 384550
= - 8, 99,847.00
Transaction No. 5
= (45.3600 - 49.450) * $ 323650
= - 13, 23,728.50
Transaction No. 6
= (46.4200 - 52.068) * $ 276350
= - 15, 60,686.63
Transaction No. 7
= (46.4200 - 52.013) * $ 463800
= - 25, 93,801.50
63
Transaction No. 8
= (49.6800 - 51.413) * $ 439900
= - 7, 62,126.75
Transaction No. 9
= (54.4000 - 50.654) * $ 397875
= 14, 90,559.11
Transaction No. 10
= (54.4000 - 50.780) * $ 349500
= 12, 65,190.00
64
Marking To Market Process and details of Margin A/c.

Marking To Market of Transaction No. 1
28-May-11
US $
receivables
No. of
contracts
Future
Price
47.7525
29-May-11
30-May-11
31-May-11
01-Jun-11
02-Jun-11
03-Jun-11
04-Jun-11
05-Jun-11
06-Jun-11
07-Jun-11
08-Jun-11
09-Jun-11
10-Jun-11
11-Jun-11
12-Jun-11
13-Jun-11
14-Jun-11
15-Jun-11
16-Jun-11
17-Jun-11
18-Jun-11
19-Jun-11
20-Jun-11
21-Jun-11
22-Jun-11
23-Jun-11
24-Jun-11
25-Jun-11
26-Jun-11
27-Jun-11
28-Jun-11
29-Jun-11
30-Jun-11
47.7525
47.86
47.3725
47.33
47.275
47.25
47.25
47.25
47.3025
47.28
47.23
47
47.185
47.185
47.185
47.21
47.15
47.2
47.25
47.545
47.545
47.545
47.3725
47.2
47.2
47.1925
47.3125
47.3125
47.3125
47.325
47.38
47.3075
47.13
Date
307850
Initial Margin
735388.5
308
490259
Cash flow
Maintenance
Margin
Mark to
Margin
735388.5
0
-33110
150150
13090
16940
7700
0
0
-16170
6930
15400
70840
-56980
0
0
-7700
18480
-15400
-15400
-90860
0
0
53130
53130
0
2310
-36960
0
0
-3850
-16940
22330
54670
735388.5
702278.5
852428.5
865518.5
882458.5
890158.5
890158.5
890158.5
873988.5
880918.5
896318.5
967158.5
910178.5
910178.5
910178.5
902478.5
920958.5
905558.5
890158.5
799298.5
799298.5
799298.5
852428.5
905558.5
905558.5
907868.5
870908.5
870908.5
870908.5
867058.5
850118.5
872448.5
927118.5
Margin Call
Margin
Account Bal.
735388.5
735388.5
702278.5
852428.5
865518.5
882458.5
890158.5
890158.5
890158.5
873988.5
880918.5
896318.5
967158.5
910178.5
910178.5
910178.5
902478.5
920958.5
905558.5
890158.5
799298.5
799298.5
799298.5
852428.5
905558.5
905558.5
907868.5
870908.5
870908.5
870908.5
867058.5
850118.5
872448.5
927118.5
65
01-Jul-11
02-Jul-11
03-Jul-11
04-Jul-11
05-Jul-11
06-Jul-11
07-Jul-11
08-Jul-11
09-Jul-11
10-Jul-11
11-Jul-11
12-Jul-11
13-Jul-11
14-Jul-11
15-Jul-11
16-Jul-11
17-Jul-11
18-Jul-11
19-Jul-11
20-Jul-11
21-Jul-11
22-Jul-11
23-Jul-11
24-Jul-11
25-Jul-11
26-Jul-11
27-Jul-11
28-Jul-11
29-Jul-11
30-Jul-11
31-Jul-11
01-Aug-11
02-Aug-11
03-Aug-11
04-Aug-11
05-Aug-11
06-Aug-11
07-Aug-11
08-Aug-11
09-Aug-11
10-Aug-11
11-Aug-11
12-Aug-11
47.03
47.03
47.03
46.9625
46.85
46.8475
46.8725
46.8275
46.8275
46.8275
46.61
46.76
46.9825
46.73
46.63
46.63
46.63
46.6575
46.67
46.585
46.45
46.555
46.555
46.555
46.43
46.505
46.2425
46.11
46.25
46.25
46.25
46.345
46.06
46.0825
46.2
46.2
46.2
46.2
46.2725
46.41
46.8075
46.655
46.11
30800
0
0
20790
34650
770
-7700
13860
0
0
66990
-46200
-68530
77770
30800
0
0
-8470
-3850
26180
41580
-32340
0
0
38500
-23100
80850
40810
-43120
0
0
-29260
87780
-6930
-36190
0
0
0
-22330
-42350
-122430
46970
167860
957918.5
957918.5
957918.5
978708.5
1013358.5
1014128.5
1006428.5
1020288.5
1020288.5
1020288.5
1087278.5
1041078.5
972548.5
1050318.5
1081118.5
1081118.5
1081118.5
1072648.5
1068798.5
1094978.5
1136558.5
1104218.5
1104218.5
1104218.5
1142718.5
1119618.5
1200468.5
1241278.5
1198158.5
1198158.5
1198158.5
1168898.5
1256678.5
1249748.5
1213558.5
1213558.5
1213558.5
1213558.5
1191228.5
1148878.5
1026448.5
1073418.5
1241278.5
957918.5
957918.5
957918.5
978708.5
1013358.5
1014128.5
1006428.5
1020288.5
1020288.5
1020288.5
1087278.5
1041078.5
972548.5
1050318.5
1081118.5
1081118.5
1081118.5
1072648.5
1068798.5
1094978.5
1136558.5
1104218.5
1104218.5
1104218.5
1142718.5
1119618.5
1200468.5
1241278.5
1198158.5
1198158.5
1198158.5
1168898.5
1256678.5
1249748.5
1213558.5
1213558.5
1213558.5
1213558.5
1191228.5
1148878.5
1026448.5
1073418.5
1241278.5
66
13-Aug-11
14-Aug-11
15-Aug-11
16-Aug-11
17-Aug-11
18-Aug-11
19-Aug-11
20-Aug-11
21-Aug-11
22-Aug-11
23-Aug-11
24-Aug-11
25-Aug-11
46.11
46.11
46.11
46.4475
46.7
46.5575
46.5575
46.5575
46.5575
46.5575
46.755
46.91
47.49
0
0
0
-103950
-77770
43890
0
0
0
0
-60830
-47740
-178640
1241278.5
1241278.5
1241278.5
1137328.5
1059558.5
1103448.5
1103448.5
1103448.5
1103448.5
1103448.5
1042618.5
994878.5
816238.5
Future contract
Future contract + M to M profit
Future spot rate
P/l
1241278.5
1241278.5
1241278.5
1137328.5
1059558.5
1103448.5
1103448.5
1103448.5
1103448.5
1103448.5
1042618.5
994878.5
816238.5
14700607.13
15516845
14207277.5
1309568.125
Where Exercise Price = 47.7525, Future Spot Rate = 46.15
67
Date
US $
receivable
No. of
contracts
Future Price
29-May-11
47.7525
30-May-11
31-May-11
01-Jun-11
02-Jun-11
03-Jun-11
04-Jun-11
05-Jun-11
06-Jun-11
07-Jun-11
08-Jun-11
09-Jun-11
10-Jun-11
11-Jun-11
12-Jun-11
13-Jun-11
14-Jun-11
15-Jun-11
16-Jun-11
17-Jun-11
18-Jun-11
19-Jun-11
20-Jun-11
21-Jun-11
22-Jun-11
23-Jun-11
24-Jun-11
25-Jun-11
26-Jun-11
27-Jun-11
28-Jun-11
29-Jun-11
30-Jun-11
01-Jul-11
02-Jul-11
47.86
47.3725
47.33
47.275
47.25
47.25
47.25
47.3025
47.28
47.23
47
47.185
47.185
47.185
47.21
47.21
47.2
47.25
47.545
47.545
47.545
47.3725
47.2
47.2
47.1925
47.3125
47.3125
47.3125
47.325
47.38
47.3075
47.13
47.03
47.03
308475
Initial Margin
737776.125
309
Maintenance
Margin
Mark to
Margin
737776.125
491850.75
Cash flow
-33217.5
150637.5
13132.5
16995
7725
0
0
-16222.5
6952.5
15450
71070
-57165
0
0
-7725
0
3090
-15450
-91155
0
0
53302.5
53302.5
0
2317.5
-37080
0
0
-3862.5
-16995
22402.5
54847.5
30900
0
704558.625
855196.125
868328.625
885323.625
893048.625
893048.625
893048.625
876826.125
883778.625
899228.625
970298.625
913133.625
913133.625
913133.625
905408.625
905408.625
908498.625
893048.625
801893.625
801893.625
801893.625
855196.125
908498.625
908498.625
910816.125
873736.125
873736.125
873736.125
869873.625
852878.625
875281.125
930128.625
961028.625
961028.625
Margin Call
Margin
Account Bal
737776.125
704558.625
855196.125
868328.625
885323.625
893048.625
893048.625
893048.625
876826.125
883778.625
899228.625
970298.625
913133.625
913133.625
913133.625
905408.625
905408.625
908498.625
893048.625
801893.625
801893.625
801893.625
855196.125
908498.625
908498.625
910816.125
873736.125
873736.125
873736.125
869873.625
852878.625
875281.125
930128.625
961028.625
961028.625
68
03-Jul-11
04-Jul-11
05-Jul-11
06-Jul-11
07-Jul-11
08-Jul-11
09-Jul-11
10-Jul-11
11-Jul-11
12-Jul-11
13-Jul-11
14-Jul-11
15-Jul-11
16-Jul-11
17-Jul-11
18-Jul-11
19-Jul-11
20-Jul-11
21-Jul-11
22-Jul-11
23-Jul-11
24-Jul-11
25-Jul-11
26-Jul-11
27-Jul-11
28-Jul-11
29-Jul-11
30-Jul-11
31-Jul-11
01-Aug-11
02-Aug-11
03-Aug-11
04-Aug-11
05-Aug-11
06-Aug-11
07-Aug-11
08-Aug-11
09-Aug-11
10-Aug-11
11-Aug-11
12-Aug-11
13-Aug-11
14-Aug-11
47.03
46.9625
46.85
46.8475
46.8725
46.8275
46.8275
46.8275
46.61
46.76
46.9825
46.73
46.63
46.63
46.63
46.6575
46.67
46.585
46.45
46.555
46.555
46.555
46.43
46.505
46.2425
46.11
46.25
46.25
46.25
46.345
46.06
46.0825
46.2
46.2
46.2
46.2
46.2725
46.41
46.8075
46.655
46.11
46.11
46.11
0
20857.5
34762.5
772.5
-7725
13905
0
0
67207.5
-46350
-68752.5
78022.5
30900
0
0
-8497.5
-3862.5
26265
41715
-32445
0
0
38625
-23175
81112.5
40942.5
-43260
0
0
-29355
88065
-6952.5
-36307.5
0
0
0
-22402.5
-42487.5
-122827.5
47122.5
168405
0
0
961028.625
981886.125
1016648.625
1017421.125
1009696.125
1023601.125
1023601.125
1023601.125
1090808.625
1044458.625
975706.125
1053728.625
1084628.625
1084628.625
1084628.625
1076131.125
1072268.625
1098533.625
1140248.625
1107803.625
1107803.625
1107803.625
1146428.625
1123253.625
1204366.125
1245308.625
1202048.625
1202048.625
1202048.625
1172693.625
1260758.625
1253806.125
1217498.625
1217498.625
1217498.625
1217498.625
1195096.125
1152608.625
1029781.125
1076903.625
1245308.625
1245308.625
1245308.625
961028.625
981886.125
1016648.625
1017421.125
1009696.125
1023601.125
1023601.125
1023601.125
1090808.625
1044458.625
975706.125
1053728.625
1084628.625
1084628.625
1084628.625
1076131.125
1072268.625
1098533.625
1140248.625
1107803.625
1107803.625
1107803.625
1146428.625
1123253.625
1204366.125
1245308.625
1202048.625
1202048.625
1202048.625
1172693.625
1260758.625
1253806.125
1217498.625
1217498.625
1217498.625
1217498.625
1195096.125
1152608.625
1029781.125
1076903.625
1245308.625
1245308.625
1245308.625
69
15-Aug-11
16-Aug-11
17-Aug-11
18-Aug-11
19-Aug-11
20-Aug-11
21-Aug-11
22-Aug-11
23-Aug-11
24-Aug-11
25-Aug-11
26-Aug-11
46.11
46.4475
46.7
46.5575
46.5575
46.5575
46.5575
46.5575
46.755
46.91
47.49
47.45
0
-104287.5
-78022.5
44032.5
0
0
0
0
-61027.5
-47895
-179220
12360
1245308.625
1141021.125
1062998.625
1107031.125
1107031.125
1107031.125
1107031.125
1107031.125
1046003.625
998108.625
818888.625
831248.625
Future contract
Future spot rate
P/l
1245308.625
1141021.125
1062998.625
1107031.125
1107031.125
1107031.125
1107031.125
1107031.125
1046003.625
998108.625
818888.625
831248.625
14730452.44
15561701.06
1,42,36,121.25
13,25,579.81
70
Date
US $
recevables
No. of
contracts
Future
Price
04-Jun-11
47.25
05-Jun-11
06-Jun-11
07-Jun-11
08-Jun-11
09-Jun-11
10-Jun-11
11-Jun-11
12-Jun-11
13-Jun-11
14-Jun-11
15-Jun-11
16-Jun-11
17-Jun-11
18-Jun-11
19-Jun-11
20-Jun-11
21-Jun-11
22-Jun-11
23-Jun-11
24-Jun-11
25-Jun-11
26-Jun-11
27-Jun-11
28-Jun-11
29-Jun-11
30-Jun-11
01-Jul-11
02-Jul-11
03-Jul-11
04-Jul-11
05-Jul-11
06-Jul-11
07-Jul-11
47.25
47.3025
47.28
47.23
47
47.185
47.185
47.185
47.21
47.21
47.2
47.25
47.545
47.545
47.545
47.3725
47.2
47.2
47.1925
47.3125
47.3125
47.3125
47.325
47.38
47.3075
47.13
47.03
47.03
47.03
46.9625
46.85
46.8475
46.8725
315920
316
Cash flow
0
-16590
7110
15800
72680
-58460
0
0
-7900
0
3160
-15800
-93220
0
0
54510
54510
0
2370
-37920
0
0
-3950
-17380
22910
56090
31600
0
0
21330
35550
790
-7900
Initial
Margin
Maintenance
Margin
Mark to
Margin
746550
497700
Margin
Call
Margin
AcountBal
746550
746550
746550
729960
737070
752870
825550
767090
767090
767090
759190
759190
762350
746550
653330
653330
653330
707840
762350
762350
764720
726800
726800
726800
722850
705470
728380
784470
816070
816070
816070
837400
872950
873740
865840
746550
729960
737070
752870
825550
767090
767090
767090
759190
759190
762350
746550
653330
653330
653330
707840
762350
762350
764720
726800
726800
726800
722850
705470
728380
784470
816070
816070
816070
837400
872950
873740
865840
71
08-Jul-11
09-Jul-11
10-Jul-11
11-Jul-11
12-Jul-11
13-Jul-11
14-Jul-11
15-Jul-11
16-Jul-11
17-Jul-11
18-Jul-11
19-Jul-11
20-Jul-11
21-Jul-11
22-Jul-11
23-Jul-11
24-Jul-11
25-Jul-11
26-Jul-11
27-Jul-11
28-Jul-11
29-Jul-11
30-Jul-11
31-Jul-11
01-Aug-11
02-Aug-11
03-Aug-11
04-Aug-11
05-Aug-11
06-Aug-11
07-Aug-11
08-Aug-11
09-Aug-11
10-Aug-11
11-Aug-11
12-Aug-11
13-Aug-11
14-Aug-11
15-Aug-11
16-Aug-11
17-Aug-11
18-Aug-11
19-Aug-11
46.8275
46.8275
46.8275
46.61
46.76
46.9825
46.73
46.63
46.63
46.63
46.6575
46.67
46.585
46.45
46.555
46.555
46.555
46.43
46.505
46.2425
46.11
46.25
46.25
46.25
46.345
46.06
46.0825
46.2
46.2
46.2
46.2
46.2725
46.41
46.8075
46.655
46.11
46.11
46.11
46.11
46.4475
46.7
46.5575
46.5575
14220
0
0
68730
-47400
-70310
79790
31600
0
0
-8690
-3950
26860
42660
-33180
0
0
39500
-23700
82950
41870
-44240
0
0
-30020
90060
-7110
-37130
0
0
0
-22910
-43450
-125610
48190
172220
0
0
0
-106650
-79790
45030
0
880060
880060
880060
948790
901390
831080
910870
942470
942470
942470
933780
929830
956690
999350
966170
966170
966170
1005670
981970
1064920
1106790
1062550
1062550
1062550
1032530
1122590
1115480
1078350
1078350
1078350
1078350
1055440
1011990
886380
934570
1106790
1106790
1106790
1106790
1000140
920350
965380
965380
880060
880060
880060
948790
901390
831080
910870
942470
942470
942470
933780
929830
956690
999350
966170
966170
966170
1005670
981970
1064920
1106790
1062550
1062550
1062550
1032530
1122590
1115480
1078350
1078350
1078350
1078350
1055440
1011990
886380
934570
1106790
1106790
1106790
1106790
1000140
920350
965380
965380
72
20-Aug-11
21-Aug-11
22-Aug-11
23-Aug-11
24-Aug-11
25-Aug-11
26-Aug-11
27-Aug-11
28-Aug-11
29-Aug-11
30-Aug-11
31-Aug-11
01-Sep-11
46.5575
46.5575
46.5575
46.755
46.91
47.49
47.45
47.45
47.45
47.2325
47.185
47.185
47.185
0
0
0
-62410
-48980
-183280
12640
0
0
68730
15010
0
0
965380
965380
965380
902970
853990
670710
683350
683350
683350
752080
767090
767090
767090
Future contract
Future spot rate
P/l
965380
965380
965380
902970
853990
670710
683350
683350
683350
752080
767090
767090
767090
14927220
15694310
14447021.6
1247288.4
73
Date
US $
recevables
No. of
contracts
Future
Price
21-Jun-11
47.2
22-Jun-11
23-Jun-11
24-Jun-11
25-Jun-11
26-Jun-11
27-Jun-11
28-Jun-11
29-Jun-11
30-Jun-11
01-Jul-11
02-Jul-11
03-Jul-11
04-Jul-11
05-Jul-11
06-Jul-11
07-Jul-11
08-Jul-11
09-Jul-11
10-Jul-11
11-Jul-11
12-Jul-11
13-Jul-11
14-Jul-11
15-Jul-11
16-Jul-11
17-Jul-11
18-Jul-11
19-Jul-11
20-Jul-11
21-Jul-11
22-Jul-11
23-Jul-11
24-Jul-11
47.2
47.1925
47.3125
47.3125
47.3125
47.325
47.38
47.3075
47.13
47.03
47.03
47.03
46.9625
46.85
46.8475
46.8725
46.8275
46.8275
46.8275
46.61
46.76
46.9825
46.73
46.63
46.63
46.63
46.6575
46.67
46.585
46.45
46.555
46.555
46.555
384550
385
Cash flow
0
2887.5
-46200
0
0
-4812.5
-21175
27912.5
68337.5
38500
0
0
25987.5
43312.5
962.5
-9625
17325
0
0
83737.5
-57750
-85662.5
97212.5
38500
0
0
-10587.5
-4812.5
32725
51975
-40425
0
0
Initial
Margin
Maintenance
Margin
Mark to
Margin
908600
605733.33
Margin
Call
Margin
AcountBal
908600
908600
908600
911487.5
865287.5
865287.5
865287.5
860475
839300
867212.5
935550
974050
974050
974050
1000037.5
1043350
1044312.5
1034687.5
1052012.5
1052012.5
1052012.5
1135750
1078000
992337.5
1089550
1128050
1128050
1128050
1117462.5
1112650
1145375
1197350
1156925
1156925
1156925
908600
911487.5
865287.5
865287.5
865287.5
860475
839300
867212.5
935550
974050
974050
974050
1000037.5
1043350
1044312.5
1034687.5
1052012.5
1052012.5
1052012.5
1135750
1078000
992337.5
1089550
1128050
1128050
1128050
1117462.5
1112650
1145375
1197350
1156925
1156925
1156925
74
25-Jul-11
26-Jul-11
27-Jul-11
28-Jul-11
29-Jul-11
30-Jul-11
31-Jul-11
01-Aug-11
02-Aug-11
03-Aug-11
04-Aug-11
05-Aug-11
06-Aug-11
07-Aug-11
08-Aug-11
09-Aug-11
10-Aug-11
11-Aug-11
12-Aug-11
13-Aug-11
14-Aug-11
15-Aug-11
16-Aug-11
17-Aug-11
18-Aug-11
19-Aug-11
20-Aug-11
21-Aug-11
22-Aug-11
23-Aug-11
24-Aug-11
25-Aug-11
26-Aug-11
27-Aug-11
28-Aug-11
29-Aug-11
30-Aug-11
31-Aug-11
01-Sep-11
02-Sep-11
03-Sep-11
04-Sep-11
05-Sep-11
46.43
46.505
46.2425
46.11
46.25
46.25
46.25
46.345
46.06
46.0825
46.2
46.2
46.2
46.2
46.2725
46.41
46.8075
46.655
46.11
46.11
46.11
46.11
46.4475
46.7
46.5575
46.5575
46.5575
46.5575
46.5575
46.755
46.91
47.49
47.45
47.45
47.45
47.2325
47.185
47.185
47.185
47.3225
47.3225
47.3225
46.6975
48125
-28875
101062.5
51012.5
-53900
0
0
-36575
109725
-8662.5
-45237.5
0
0
0
-27912.5
-52937.5
-153037.5
58712.5
209825
0
0
0
-129937.5
-97212.5
54862.5
0
0
0
0
-76037.5
-59675
-223300
15400
0
0
83737.5
18287.5
0
0
-52937.5
0
0
240625
1205050
1176175
1277237.5
1328250
1274350
1274350
1274350
1237775
1347500
1338837.5
1293600
1293600
1293600
1293600
1265687.5
1212750
1059712.5
1118425
1328250
1328250
1328250
1328250
1198312.5
1101100
1155962.5
1155962.5
1155962.5
1155962.5
1155962.5
1079925
1020250
796950
812350
812350
812350
896087.5
914375
914375
914375
861437.5
861437.5
861437.5
1102062.5
1205050
1176175
1277237.5
1328250
1274350
1274350
1274350
1237775
1347500
1338837.5
1293600
1293600
1293600
1293600
1265687.5
1212750
1059712.5
1118425
1328250
1328250
1328250
1328250
1198312.5
1101100
1155962.5
1155962.5
1155962.5
1155962.5
1155962.5
1079925
1020250
796950
812350
812350
812350
896087.5
914375
914375
914375
861437.5
861437.5
861437.5
1102062.5
75
06-Sep-11
07-Sep-11
08-Sep-11
09-Sep-11
10-Sep-11
11-Sep-11
12-Sep-11
13-Sep-11
14-Sep-11
15-Sep-11
16-Sep-11
17-Sep-11
18-Sep-11
47.0025
47.0775
47.1275
47.5
47.5
47.5
47.5
48.415
48.6075
48.5
48.38
48.38
48.38
-117425
-28875
-19250
-143412.5
0
0
0
-352275
-74112.5
41387.5
46200
0
0
984637.5
955762.5
936512.5
793100
793100
793100
793100
440825
366712.5
408100
454300
454300
454300
164908.33
239020.83
197633.33
151433.33
151433.33
151433.33
Future contract
Future spot rate
P/l
984637.5
955762.5
936512.5
793100
793100
793100
793100
605733.33
605733.33
605733.33
605733.33
605733.33
605733.33
18150760
18756493.33
18343035
413458.33
76
Date
US $
recevables
No. of
contracts
Future
Price
28-Jun-11
47.38
29-Jun-11
30-Jun-11
01-Jul-11
02-Jul-11
03-Jul-11
04-Jul-11
05-Jul-11
06-Jul-11
07-Jul-11
08-Jul-11
09-Jul-11
10-Jul-11
11-Jul-11
12-Jul-11
13-Jul-11
14-Jul-11
15-Jul-11
16-Jul-11
17-Jul-11
18-Jul-11
19-Jul-11
20-Jul-11
21-Jul-11
22-Jul-11
23-Jul-11
24-Jul-11
25-Jul-11
26-Jul-11
27-Jul-11
28-Jul-11
29-Jul-11
30-Jul-11
31-Jul-11
47.3075
47.13
47.03
47.03
47.03
46.9625
46.85
46.8475
46.8725
46.8275
46.8275
46.8275
46.61
46.76
46.9825
46.73
46.63
46.63
46.63
46.6575
46.67
46.585
46.45
46.555
46.555
46.555
46.43
46.505
46.2425
46.11
46.25
46.25
46.25
323650
324
Cash flow
23490
57510
32400
0
0
21870
36450
810
-8100
14580
0
0
70470
-48600
-72090
81810
32400
0
0
-8910
-4050
27540
43740
-34020
0
0
40500
-24300
85050
42930
-45360
0
0
Initial
Margin
Maintenance
Margin
Mark to
Margin
767556
511704
Margin
Call
Margin
AcountBal
767556
767556
791046
848556
880956
880956
880956
902826
939276
940086
931986
946566
946566
946566
1017036
968436
896346
978156
1010556
1010556
1010556
1001646
997596
1025136
1068876
1034856
1034856
1034856
1075356
1051056
1136106
1179036
1133676
1133676
1133676
791046
848556
880956
880956
880956
902826
939276
940086
931986
946566
946566
946566
1017036
968436
896346
978156
1010556
1010556
1010556
1001646
997596
1025136
1068876
1034856
1034856
1034856
1075356
1051056
1136106
1179036
1133676
1133676
1133676
77
01-Aug-11
02-Aug-11
03-Aug-11
04-Aug-11
05-Aug-11
06-Aug-11
07-Aug-11
08-Aug-11
09-Aug-11
10-Aug-11
11-Aug-11
12-Aug-11
13-Aug-11
14-Aug-11
15-Aug-11
16-Aug-11
17-Aug-11
18-Aug-11
19-Aug-11
20-Aug-11
21-Aug-11
22-Aug-11
23-Aug-11
24-Aug-11
25-Aug-11
26-Aug-11
27-Aug-11
28-Aug-11
29-Aug-11
30-Aug-11
31-Aug-11
01-Sep-11
02-Sep-11
03-Sep-11
04-Sep-11
05-Sep-11
06-Sep-11
07-Sep-11
08-Sep-11
09-Sep-11
10-Sep-11
11-Sep-11
12-Sep-11
46.345
46.06
46.0825
46.2
46.2
46.2
46.2
46.2725
46.41
46.8075
46.655
46.11
46.11
46.11
46.11
46.4475
46.7
46.5575
46.5575
46.5575
46.5575
46.5575
46.755
46.91
47.49
47.45
47.45
47.45
47.2325
47.185
47.185
47.185
47.3225
47.3225
47.3225
46.6975
47.0025
47.0775
47.1275
47.5
47.5
47.5
47.5
-30780
92340
-7290
-38070
0
0
0
-23490
-44550
-128790
49410
176580
0
0
0
-109350
-81810
46170
0
0
0
0
-63990
-50220
-187920
12960
0
0
70470
15390
0
0
-44550
0
0
202500
-98820
-24300
-16200
-120690
0
0
0
1102896
1195236
1187946
1149876
1149876
1149876
1149876
1126386
1081836
953046
1002456
1179036
1179036
1179036
1179036
1069686
987876
1034046
1034046
1034046
1034046
1034046
970056
919836
731916
744876
744876
744876
815346
830736
830736
830736
786186
786186
786186
988686
889866
865566
849366
728676
728676
728676
728676
1102896
1195236
1187946
1149876
1149876
1149876
1149876
1126386
1081836
953046
1002456
1179036
1179036
1179036
1179036
1069686
987876
1034046
1034046
1034046
1034046
1034046
970056
919836
731916
744876
744876
744876
815346
830736
830736
830736
786186
786186
786186
988686
889866
865566
849366
728676
728676
728676
728676
78
13-Sep-11
14-Sep-11
15-Sep-11
16-Sep-11
17-Sep-11
18-Sep-11
19-Sep-11
20-Sep-11
21-Sep-11
22-Sep-11
23-Sep-11
24-Sep-11
25-Sep-11
48.415
48.6075
48.5
48.38
48.38
48.38
48.21
48.8825
49.0075
50.4
50.7
50.7
50.7
-296460
-62370
34830
38880
0
0
55080
-217890
-40500
-451170
-97200
0
0
432216
369846
404676
443556
443556
443556
498636
280746
240246
-210924
-308124
-308124
-308124
79488
141858
107028
68148
68148
68148
13068
230958
271458
722628
819828
819828
819828
Future contract
Future spot rate
P/l
511704
511704
511704
511704
511704
511704
511704
511704
511704
511704
511704
511704
511704
15334537
15846241
16004492.5
-158251.5
79
Date
US $
recevables
No. of
contracts
Future
Price
26-Aug-11
47.45
27-Aug-11
28-Aug-11
29-Aug-11
30-Aug-11
31-Aug-11
01-Sep-11
02-Sep-11
03-Sep-11
04-Sep-11
05-Sep-11
06-Sep-11
07-Sep-11
08-Sep-11
09-Sep-11
10-Sep-11
11-Sep-11
12-Sep-11
13-Sep-11
14-Sep-11
15-Sep-11
16-Sep-11
17-Sep-11
18-Sep-11
19-Sep-11
20-Sep-11
21-Sep-11
22-Sep-11
23-Sep-11
24-Sep-11
25-Sep-11
26-Sep-11
27-Sep-11
28-Sep-11
47.45
47.45
47.2325
47.185
47.185
47.185
47.3225
47.3225
47.3225
46.6975
47.0025
47.0775
47.1275
47.5
47.5
47.5
47.5
48.415
48.6075
48.5
48.38
48.38
48.38
48.21
48.8825
49.0075
50.4
50.7
50.7
50.7
50.535
50.66
50.155
276350
277
Cash flow
0
0
60247.5
13157.5
0
0
-38087.5
0
0
173125
-84485
-20775
-13850
-103182.5
0
0
0
-253455
-53322.5
29777.5
33240
0
0
47090
-186282.5
-34625
-385722.5
-83100
0
0
45705
-34625
139885
Initial
Margin
Maintenance
Margin
Mark to
Margin
657182.5
438121.67
Margin
Call
Margin
AcountBal
657182.5
657182.5
657182.5
657182.5
717430
730587.5
730587.5
730587.5
692500
692500
692500
865625
781140
760365
746515
643332.5
643332.5
643332.5
643332.5
389877.5
336555
366332.5
399572.5
399572.5
399572.5
446662.5
260380
225755
-159967.5
-243067.5
-243067.5
-243067.5
-197362.5
-231987.5
-92102.5
657182.5
657182.5
717430
730587.5
730587.5
730587.5
692500
692500
692500
865625
781140
760365
746515
643332.5
643332.5
643332.5
643332.5
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
446662.5
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
48244.17
101566.67
71789.17
38549.17
38549.17
38549.17
177741.67
212366.67
598089.17
681189.17
681189.17
681189.17
635484.17
670109.17
530224.17
80
29-Sep-11
30-Sep-11
01-Oct-11
02-Oct-11
03-Oct-11
04-Oct-11
05-Oct-11
06-Oct-11
07-Oct-11
08-Oct-11
09-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
15-Oct-11
16-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
22-Oct-11
23-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
27-Oct-11
28-Oct-11
29-Oct-11
30-Oct-11
31-Oct-11
01-Nov-11
02-Nov-11
03-Nov-11
04-Nov-11
05-Nov-11
06-Nov-11
07-Nov-11
08-Nov-11
09-Nov-11
10-Nov-11
49.8675
49.8675
49.8675
49.8675
50.4
50.31
50.25
50.25
50.3275
50.3275
50.3275
50
49.8675
49.86
49.86
50.13
50.13
50.13
50.0725
50.21
50.4
50.855
51.105
51.105
51.105
51.105
50.62
50.62
50.62
50.665
50.665
50.665
49.8
50.38
50.38
50.4475
50.4
50.4
50.4
50.4
50.4
51.2
51.2
79637.5
0
0
0
-147502.5
24930
16620
0
-21467.5
0
0
90717.5
36702.5
2077.5
0
-74790
0
0
15927.5
-38087.5
-52630
-126035
-69250
0
0
0
134345
0
0
-12465
0
0
239605
-160660
0
-18697.5
13157.5
0
0
0
0
-221600
0
-12465
-12465
-12465
-12465
-159967.5
-135037.5
-118417.5
-118417.5
-139885
-139885
-139885
-49167.5
-12465
-10387.5
-10387.5
-85177.5
-85177.5
-85177.5
-69250
-107337.5
-159967.5
-286002.5
-355252.5
-355252.5
-355252.5
-355252.5
-220907.5
-220907.5
-220907.5
-233372.5
-233372.5
-233372.5
6232.5
-154427.5
-154427.5
-173125
-159967.5
-159967.5
-159967.5
-159967.5
-159967.5
-381567.5
-381567.5
450586.67
450586.67
450586.67
450586.67
598089.17
573159.17
556539.17
556539.17
578006.67
578006.67
578006.67
487289.17
450586.67
448509.17
448509.17
523299.17
523299.17
523299.17
507371.67
545459.17
598089.17
724124.17
793374.17
793374.17
793374.17
793374.17
659029.17
659029.17
659029.17
671494.17
671494.17
671494.17
431889.17
592549.17
592549.17
611246.67
598089.17
598089.17
598089.17
598089.17
598089.17
819689.17
819689.17
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
81
11-Nov-11
12-Nov-11
13-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11
19-Nov-11
20-Nov-11
21-Nov-11
22-Nov-11
23-Nov-11
51.3
51.3
51.3
51.2
51.95
52.115
52.1
52.4
52.4
52.4
52.9325
53.45
53.1
-27700
0
0
27700
-207750
-45705
4155
-83100
0
0
-147502.5
-143347.5
96950
-409267.5
-409267.5
-409267.5
-381567.5
-589317.5
-635022.5
-630867.5
-713967.5
-713967.5
-713967.5
-861470
-1004817.5
-907867.5
847389.17
847389.17
847389.17
819689.17
1027439.17
1073144.17
1068989.17
1152089.17
1152089.17
1152089.17
1299591.67
1442939.17
1345989.17
Future contract
Future spot rate
P/l
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
438121.67
13112807.5
13550929.17
14388853.63
-837924.455
82
Date
US $
recevables
No. of
contracts
Future
Price
31-Aug-11
47.185
01-Sep-11
02-Sep-11
03-Sep-11
04-Sep-11
05-Sep-11
06-Sep-11
07-Sep-11
08-Sep-11
09-Sep-11
10-Sep-11
11-Sep-11
12-Sep-11
13-Sep-11
14-Sep-11
15-Sep-11
16-Sep-11
17-Sep-11
18-Sep-11
19-Sep-11
20-Sep-11
21-Sep-11
22-Sep-11
23-Sep-11
24-Sep-11
25-Sep-11
26-Sep-11
27-Sep-11
28-Sep-11
29-Sep-11
30-Sep-11
01-Oct-11
02-Oct-11
03-Oct-11
47.185
47.3225
47.3225
47.3225
46.6975
47.0025
47.0775
47.1275
47.5
47.5
47.5
47.5
48.415
48.6075
48.5
48.38
48.38
48.38
48.21
48.8825
49.0075
50.4
50.7
50.7
50.7
50.535
50.66
50.155
49.8675
49.8675
49.8675
49.8675
50.4
463800
464
Cash flow
0
-63800
0
0
290000
-141520
-34800
-23200
-172840
0
0
0
-424560
-89320
49880
55680
0
0
78880
-312040
-58000
-646120
-139200
0
0
76560
-58000
234320
133400
0
0
0
-247080
Initial
Margin
Maintenance
Margin
Mark to
Margin
1094692
729794.67
Margin
Call
Margin
AcountBal
1094692
1094692
1094692
1030892
1030892
1030892
1320892
1179372
1144572
1121372
948532
948532
948532
948532
523972
434652
484532
540212
540212
540212
619092
307052
249052
-397068
-536268
-536268
-536268
-459708
-517708
-283388
-149988
-149988
-149988
-149988
-397068
1094692
1030892
1030892
1030892
1320892
1179372
1144572
1121372
948532
948532
948532
948532
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
205822.67
295142.67
245262.67
189582.67
189582.67
189582.67
110702.67
422742.67
480742.67
1126862.67
1266062.67
1266062.67
1266062.67
1189502.67
1247502.67
1013182.67
879782.67
879782.67
879782.67
879782.67
1126862.67
83
04-Oct-11
05-Oct-11
06-Oct-11
07-Oct-11
08-Oct-11
09-Oct-11
10-Oct-11
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
15-Oct-11
16-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
22-Oct-11
23-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
27-Oct-11
28-Oct-11
29-Oct-11
30-Oct-11
31-Oct-11
01-Nov-11
02-Nov-11
03-Nov-11
04-Nov-11
05-Nov-11
06-Nov-11
07-Nov-11
08-Nov-11
09-Nov-11
10-Nov-11
11-Nov-11
12-Nov-11
13-Nov-11
14-Nov-11
15-Nov-11
50.31
50.25
50.25
50.3275
50.3275
50.3275
50
49.8675
49.86
49.86
50.13
50.13
50.13
50.0725
50.21
50.4
50.855
51.105
51.105
51.105
51.105
50.62
50.62
50.62
50.665
50.665
50.665
49.8
50.38
50.38
50.4475
50.4
50.4
50.4
50.4
50.4
51.2
51.2
51.3
51.3
51.3
51.2
51.95
41760
27840
0
-35960
0
0
151960
61480
3480
0
-125280
0
0
26680
-63800
-88160
-211120
-116000
0
0
0
225040
0
0
-20880
0
0
401360
-269120
0
-31320
22040
0
0
0
0
-371200
0
-46400
0
0
46400
-348000
-355308
-327468
-327468
-363428
-363428
-363428
-211468
-149988
-146508
-146508
-271788
-271788
-271788
-245108
-308908
-397068
-608188
-724188
-724188
-724188
-724188
-499148
-499148
-499148
-520028
-520028
-520028
-118668
-387788
-387788
-419108
-397068
-397068
-397068
-397068
-397068
-768268
-768268
-814668
-814668
-814668
-768268
-1116268
1085102.67
1057262.67
1057262.67
1093222.67
1093222.67
1093222.67
941262.67
879782.67
876302.67
876302.67
1001582.67
1001582.67
1001582.67
974902.67
1038702.67
1126862.67
1337982.67
1453982.67
1453982.67
1453982.67
1453982.67
1228942.67
1228942.67
1228942.67
1249822.67
1249822.67
1249822.67
848462.67
1117582.67
1117582.67
1148902.67
1126862.67
1126862.67
1126862.67
1126862.67
1126862.67
1498062.67
1498062.67
1544462.67
1544462.67
1544462.67
1498062.67
1846062.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
84
16-Nov-11
17-Nov-11
18-Nov-11
19-Nov-11
20-Nov-11
21-Nov-11
22-Nov-11
23-Nov-11
24-Nov-11
25-Nov-11
26-Nov-11
27-Nov-11
28-Nov-11
52.115
52.1
52.4
52.4
52.4
52.9325
53.45
53.1
53.06
53.35
53.35
53.35
53
-76560
6960
-139200
0
0
-247080
-240120
162400
18560
-134560
0
0
162400
-1192828
-1185868
-1325068
-1325068
-1325068
-1572148
-1812268
-1649868
-1631308
-1765868
-1765868
-1765868
-1603468
1922622.67
1915662.67
2054862.67
2054862.67
2054862.67
2301942.67
2542062.67
2379662.67
2361102.67
2495662.67
2495662.67
2495662.67
2333262.67
Future contract
Future spot rate
P/l
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
729794.67
21884403
22614197.67
24123397.5
-1509199.83
Where Exercise Price = 47.185 , Future Spot Rate = 52.0125
85
Date
US $
recevables
No. of
contracts
Future
Price
07-Sep-11
47.0775
08-Sep-11
09-Sep-11
10-Sep-11
11-Sep-11
12-Sep-11
13-Sep-11
14-Sep-11
15-Sep-11
16-Sep-11
17-Sep-11
18-Sep-11
19-Sep-11
20-Sep-11
21-Sep-11
22-Sep-11
23-Sep-11
24-Sep-11
25-Sep-11
26-Sep-11
27-Sep-11
28-Sep-11
29-Sep-11
30-Sep-11
01-Oct-11
02-Oct-11
03-Oct-11
04-Oct-11
05-Oct-11
06-Oct-11
07-Oct-11
08-Oct-11
09-Oct-11
10-Oct-11
47.1275
47.5
47.5
47.5
47.5
48.415
48.6075
48.5
48.38
48.38
48.38
48.21
48.8825
49.0075
50.4
50.7
50.7
50.7
50.535
50.66
50.155
49.8675
49.8675
49.8675
49.8675
50.4
50.31
50.25
50.25
50.3275
50.3275
50.3275
50
439900
440
Cash flow
-22000
-163900
0
0
0
-402600
-84700
47300
52800
0
0
74800
-295900
-55000
-612700
-132000
0
0
72600
-55000
222200
126500
0
0
0
-234300
39600
26400
0
-34100
0
0
144100
Initial
Margin
Maintenance
Margin
Mark to
Margin
1035705
690470
Margin
Call
Margin
AcountBal
1035705
1035705
1013705
849805
849805
849805
849805
447205
362505
409805
462605
462605
462605
537405
241505
186505
-426195
-558195
-558195
-558195
-485595
-540595
-318395
-191895
-191895
-191895
-191895
-426195
-386595
-360195
-360195
-394295
-394295
-394295
-250195
1013705
849805
849805
849805
849805
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
243265
327965
280665
227865
227865
227865
153065
448965
503965
1116665
1248665
1248665
1248665
1176065
1231065
1008865
882365
882365
882365
882365
1116665
1077065
1050665
1050665
1084765
1084765
1084765
940665
86
11-Oct-11
12-Oct-11
13-Oct-11
14-Oct-11
15-Oct-11
16-Oct-11
17-Oct-11
18-Oct-11
19-Oct-11
20-Oct-11
21-Oct-11
22-Oct-11
23-Oct-11
24-Oct-11
25-Oct-11
26-Oct-11
27-Oct-11
28-Oct-11
29-Oct-11
30-Oct-11
31-Oct-11
01-Nov-11
02-Nov-11
03-Nov-11
04-Nov-11
05-Nov-11
06-Nov-11
07-Nov-11
08-Nov-11
09-Nov-11
10-Nov-11
11-Nov-11
12-Nov-11
13-Nov-11
14-Nov-11
15-Nov-11
16-Nov-11
17-Nov-11
18-Nov-11
19-Nov-11
20-Nov-11
21-Nov-11
22-Nov-11
49.8675
49.86
49.86
50.13
50.13
50.13
50.0725
50.21
50.4
50.855
51.105
51.105
51.105
51.105
50.62
50.62
50.62
50.665
50.665
50.665
49.8
50.38
50.38
50.4475
50.4
50.4
50.4
50.4
50.4
51.2
51.2
51.3
51.3
51.3
51.2
51.95
52.115
52.1
52.4
52.4
52.4
52.9325
53.45
58300
3300
0
-118800
0
0
25300
-60500
-83600
-200200
-110000
0
0
0
213400
0
0
-19800
0
0
380600
-255200
0
-29700
20900
0
0
0
0
-352000
0
-44000
0
0
44000
-330000
-72600
6600
-132000
0
0
-234300
-227700
-191895
-188595
-188595
-307395
-307395
-307395
-282095
-342595
-426195
-626395
-736395
-736395
-736395
-736395
-522995
-522995
-522995
-542795
-542795
-542795
-162195
-417395
-417395
-447095
-426195
-426195
-426195
-426195
-426195
-778195
-778195
-822195
-822195
-822195
-778195
-1108195
-1180795
-1174195
-1306195
-1306195
-1306195
-1540495
-1768195
882365
879065
879065
997865
997865
997865
972565
1033065
1116665
1316865
1426865
1426865
1426865
1426865
1213465
1213465
1213465
1233265
1233265
1233265
852665
1107865
1107865
1137565
1116665
1116665
1116665
1116665
1116665
1468665
1468665
1512665
1512665
1512665
1468665
1798665
1871265
1864665
1996665
1996665
1996665
2230965
2458665
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
87
23-Nov-11
24-Nov-11
25-Nov-11
26-Nov-11
27-Nov-11
28-Nov-11
29-Nov-11
30-Nov-11
01-Dec-11
02-Dec-11
03-Dec-11
04-Dec-11
05-Dec-11
53.1
53.06
53.35
53.35
53.35
53
53.0725
53.4
52.6375
52.37
52.37
52.37
52.3775
154000
17600
-127600
0
0
154000
-31900
-144100
335500
117700
0
0
-3300
-1614195
-1596595
-1724195
-1724195
-1724195
-1570195
-1602095
-1746195
-1410695
-1292995
-1292995
-1292995
-1296295
2304665
2287065
2414665
2414665
2414665
2260665
2292565
2436665
2101165
1983465
1983465
1983465
1986765
Future contract
Future spot rate
P/l
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
690470
20709392.25
21399862.25
22616358.75
-1216496.5
88
Date
US $
recevables
No. of
contracts
Future
Price
22-Dec-11
54.23
23-Dec-11
24-Dec-11
25-Dec-11
26-Dec-11
27-Dec-11
28-Dec-11
29-Dec-11
30-Dec-11
31-Dec-11
01-Jan-12
02-Jan-12
03-Jan-12
04-Jan-12
05-Jan-12
06-Jan-12
07-Jan-12
08-Jan-12
09-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
14-Jan-12
15-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
21-Jan-12
22-Jan-12
23-Jan-12
24-Jan-12
54.3775
54.3775
54.3775
54.2125
54.6
54.645
54.755
54.69
54.69
54.69
54.6625
54.65
54.3625
54.215
54.015
54.015
54.015
53.82
53.1225
53.0275
53.0475
52.8525
52.8525
52.8525
52.8575
52.1825
51.815
51.59
51.7175
51.7175
51.7175
51.3975
51.3875
397875
398
Cash flow
-58705
0
0
65670
-154225
-17910
-43780
25870
0
0
10945
4975
114425
58705
79600
0
0
77610
277605
37810
-7960
77610
0
0
-1990
268650
146265
89550
-50745
0
0
127360
3980
Initial
Margin
Maintenance
Margin
Mark to
Margin
1079177
719451.33
Margin
Call
Margin
AcountBal
1079177
1079177
1020472
1020472
1020472
1086142
931917
914007
870227
896097
896097
896097
907042
912017
1026442
1085147
1164747
1164747
1164747
1242357
1519962
1557772
1549812
1627422
1627422
1627422
1625432
1894082
2040347
2129897
2079152
2079152
2079152
2206512
2210492
1020472
1020472
1020472
1086142
931917
914007
870227
896097
896097
896097
907042
912017
1026442
1085147
1164747
1164747
1164747
1242357
1519962
1557772
1549812
1627422
1627422
1627422
1625432
1894082
2040347
2129897
2079152
2079152
2079152
2206512
2210492
89
25-Jan-12
26-Jan-12
27-Jan-12
28-Jan-12
29-Jan-12
30-Jan-12
31-Jan-12
01-Feb-12
02-Feb-12
03-Feb-12
04-Feb-12
05-Feb-12
06-Feb-12
07-Feb-12
08-Feb-12
09-Feb-12
10-Feb-12
11-Feb-12
12-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
18-Feb-12
19-Feb-12
20-Feb-12
21-Feb-12
22-Feb-12
23-Feb-12
24-Feb-12
25-Feb-12
26-Feb-12
27-Feb-12
28-Feb-12
29-Feb-12
01-Mar-12
02-Mar-12
03-Mar-12
04-Mar-12
05-Mar-12
06-Mar-12
07-Mar-12
51.54
51.54
50.6725
50.6725
50.6725
51.045
50.71
50.5425
50.37
49.83
49.83
49.83
50.24
50.305
50.29
50.6425
50.6025
50.6025
50.6025
50.33
50.435
50.3875
50.3875
50.32
50.32
50.32
50.32
50.3425
50.3025
50.25
50.02
50.02
50.02
50.32
50.115
50.04
50.215
50.46
50.46
50.46
50.8475
51.3
51.2275
-60695
0
345265
0
0
-148255
133330
66665
68655
214920
0
0
-163180
-25870
5970
-140295
15920
0
0
108455
-41790
18905
0
26865
0
0
0
-8955
15920
20895
91540
0
0
-119400
81590
29850
-69650
-97510
0
0
-154225
-180095
28855
2149797
2149797
2495062
2495062
2495062
2346807
2480137
2546802
2615457
2830377
2830377
2830377
2667197
2641327
2647297
2507002
2522922
2522922
2522922
2631377
2589587
2608492
2608492
2635357
2635357
2635357
2635357
2626402
2642322
2663217
2754757
2754757
2754757
2635357
2716947
2746797
2677147
2579637
2579637
2579637
2425412
2245317
2274172
2149797
2149797
2495062
2495062
2495062
2346807
2480137
2546802
2615457
2830377
2830377
2830377
2667197
2641327
2647297
2507002
2522922
2522922
2522922
2631377
2589587
2608492
2608492
2635357
2635357
2635357
2635357
2626402
2642322
2663217
2754757
2754757
2754757
2635357
2716947
2746797
2677147
2579637
2579637
2579637
2425412
2245317
2274172
90
08-Mar-12
09-Mar-12
10-Mar-12
11-Mar-12
12-Mar-12
13-Mar-12
14-Mar-12
15-Mar-12
16-Mar-12
17-Mar-12
18-Mar-12
19-Mar-12
20-Mar-12
51.2275
50.8075
50.8075
50.8075
50.8825
50.8325
50.8225
51.2725
51.0775
51.0775
51.0775
51.0625
51.245
0
167160
0
0
-29850
19900
3980
-179100
77610
0
0
5970
-72635
2274172
2441332
2441332
2441332
2411482
2431382
2435362
2256262
2333872
2333872
2333872
2339842
2267207
Future contract
Future spot rate
P/l
2274172
2441332
2441332
2441332
2411482
2431382
2435362
2256262
2333872
2333872
2333872
2339842
2267207
21576761.25
23843968.25
20153840.89
3690127.363
91
29-Dec-11
US $
recevables
No. of
contracts
Future
Price
54.755
30-Dec-11
31-Dec-11
01-Jan-12
02-Jan-12
03-Jan-12
04-Jan-12
05-Jan-12
06-Jan-12
07-Jan-12
08-Jan-12
09-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
14-Jan-12
15-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
21-Jan-12
22-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
26-Jan-12
27-Jan-12
28-Jan-12
29-Jan-12
30-Jan-12
31-Jan-12
01-Feb-12
54.69
54.69
54.69
54.6625
54.65
54.3625
54.215
54.015
54.015
54.015
53.82
53.1225
53.0275
53.0475
52.8525
52.8525
52.8525
52.8575
52.1825
51.815
51.59
51.7175
51.7175
51.7175
51.3975
51.3875
51.54
51.54
50.6725
50.6725
50.6725
51.045
50.71
50.5425
Date
349500
Initial Margin
958212.5
350
Maintenance
Margin
Mark to
Margin
958212.5
638808.33
Cash flow
22750
0
0
9625
4375
100625
51625
70000
0
0
68250
244125
33250
-7000
68250
0
0
-1750
236250
128625
78750
-44625
0
0
112000
3500
-53375
0
303625
0
0
-130375
117250
58625
980962.5
980962.5
980962.5
990587.5
994962.5
1095587.5
1147212.5
1217212.5
1217212.5
1217212.5
1285462.5
1529587.5
1562837.5
1555837.5
1624087.5
1624087.5
1624087.5
1622337.5
1858587.5
1987212.5
2065962.5
2021337.5
2021337.5
2021337.5
2133337.5
2136837.5
2083462.5
2083462.5
2387087.5
2387087.5
2387087.5
2256712.5
2373962.5
2432587.5
Margin Call
Margin
AcountBal
958212.5
980962.5
980962.5
980962.5
990587.5
994962.5
1095587.5
1147212.5
1217212.5
1217212.5
1217212.5
1285462.5
1529587.5
1562837.5
1555837.5
1624087.5
1624087.5
1624087.5
1622337.5
1858587.5
1987212.5
2065962.5
2021337.5
2021337.5
2021337.5
2133337.5
2136837.5
2083462.5
2083462.5
2387087.5
2387087.5
2387087.5
2256712.5
2373962.5
2432587.5
92
02-Feb-12
03-Feb-12
04-Feb-12
05-Feb-12
06-Feb-12
07-Feb-12
08-Feb-12
09-Feb-12
10-Feb-12
11-Feb-12
12-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
18-Feb-12
19-Feb-12
20-Feb-12
21-Feb-12
22-Feb-12
23-Feb-12
24-Feb-12
25-Feb-12
26-Feb-12
27-Feb-12
28-Feb-12
29-Feb-12
01-Mar-12
02-Mar-12
03-Mar-12
04-Mar-12
05-Mar-12
06-Mar-12
07-Mar-12
08-Mar-12
09-Mar-12
10-Mar-12
11-Mar-12
12-Mar-12
13-Mar-12
14-Mar-12
15-Mar-12
50.37
49.83
49.83
49.83
50.24
50.305
50.29
50.6425
50.6025
50.6025
50.6025
50.33
50.435
50.3875
50.3875
50.32
50.32
50.32
50.32
50.3425
50.3025
50.25
50.02
50.02
50.02
50.32
50.115
50.04
50.215
50.46
50.46
50.46
50.8475
51.3
51.2275
51.2275
50.8075
50.8075
50.8075
50.8825
50.8325
50.8225
51.2725
60375
189000
0
0
-143500
-22750
5250
-123375
14000
0
0
95375
-36750
16625
0
23625
0
0
0
-7875
14000
18375
80500
0
0
-105000
71750
26250
-61250
-85750
0
0
-135625
-158375
25375
0
147000
0
0
-26250
17500
3500
-157500
2492962.5
2681962.5
2681962.5
2681962.5
2538462.5
2515712.5
2520962.5
2397587.5
2411587.5
2411587.5
2411587.5
2506962.5
2470212.5
2486837.5
2486837.5
2510462.5
2510462.5
2510462.5
2510462.5
2502587.5
2516587.5
2534962.5
2615462.5
2615462.5
2615462.5
2510462.5
2582212.5
2608462.5
2547212.5
2461462.5
2461462.5
2461462.5
2325837.5
2167462.5
2192837.5
2192837.5
2339837.5
2339837.5
2339837.5
2313587.5
2331087.5
2334587.5
2177087.5
2492962.5
2681962.5
2681962.5
2681962.5
2538462.5
2515712.5
2520962.5
2397587.5
2411587.5
2411587.5
2411587.5
2506962.5
2470212.5
2486837.5
2486837.5
2510462.5
2510462.5
2510462.5
2510462.5
2502587.5
2516587.5
2534962.5
2615462.5
2615462.5
2615462.5
2510462.5
2582212.5
2608462.5
2547212.5
2461462.5
2461462.5
2461462.5
2325837.5
2167462.5
2192837.5
2192837.5
2339837.5
2339837.5
2339837.5
2313587.5
2331087.5
2334587.5
2177087.5
93
16-Mar-12
17-Mar-12
18-Mar-12
19-Mar-12
20-Mar-12
21-Mar-12
22-Mar-12
23-Mar-12
24-Mar-12
25-Mar12
26-Mar12
27-Mar12
51.0775
51.0775
51.0775
51.0625
51.245
51.4275
52.0125
52.0125
52.0125
52.0125
52.13
51.55
68250
0
0
5250
-63875
-63875
-204750
0
0
0
-41125
203000
2245337.5
2245337.5
2245337.5
2250587.5
2186712.5
2122837.5
1918087.5
1918087.5
1918087.5
1918087.5
1876962.5
2079962.5
Future contract
Future spot rate
P/l
2245337.5
2245337.5
2245337.5
2250587.5
2186712.5
2122837.5
1918087.5
1918087.5
1918087.5
1918087.5
1876962.5
2079962.5
19136872.5
21216835
17747610
3469225
94
Money Market Hedge:
1st
Export Transaction of KABRA:For 90 days maturity period:-
US Borrowing Rate
(per annum)
India Lending Rate

(Per annum)
Spot Rate
Future Spot
Rate
3.25 %
9.25%
45.21
46.15
Step 1:- Borrow from US:= 307850 (1+0.008125) = 305368.8779$

Step 2:- Convert it in Rupees & invest in India:= 305368.8779 $ X 45.21
= 13805726.97 X (1+ 0.023125)
=14124984.4045
Step 3: - Repay the loan to US:= Amount received from Client
Step 4: - Compute profit /loss:= 307850 $ x 46.15
= 14207277.5
Therefore Loss of ` - 82,293.0018 (14124984.4982 14207277.5).
95
2nd
US Borrowing
Rate(per annum)
3.25 %
India Lending Rate

(Per annum)
9.25%
Spot Rate
45.2100
Future Spot
Rate
46.15
Step 1:- Borrow from US:= 308475 (1+0.008125) = 305988.8407$

Step 2:- Convert it in Rupees & invest in India:= 305988.8407$ X 45.21
= 13833755.49X (1+ 0.023125)
= 14153661.08
Step 4: - Compute profit /loss:= 308475 $ x 46.15 `
= 14236121.25 `
Therefore loss of -82,460.17` (14153661.08- 14236121.25 ).
96
3rd
US Borrowing
Rate(per annum)
3.25 %
India Lending Rate

(Per annum)
9.25%
Spot Rate
44.8550
Future Spot
Rate
45.73
Step 1:- Borrow from US:= 315920 (1+0.008125)

= 313373.8376 $
Step 2:- Convert it in Rupees & invest in India:= 313373.8376 $ X 44.8550 `
= 14056383.4841 X (1+ 0.023125)
= 14381437.3521 `
= 14447021.6 `
Therefore Loss of -65,584.2479 (14381437.3521 -14447021.6).
97
4th
US Borrowing
Rate (Per annum)
3.25 %
India Lending Rate

(Per annum)
9.25%
Spot Rate
44.91
Future Spot
Rate
47.7

= 381450.7130$
Step 2:- Convert it in Rupees & invest in India:= 381450.7130$ X 44.91 `
= 17130951.5208 X (1+ 0.023125)
= 17527104.7747 `
`
= 18343035 `
Therefore loss of -815930.2253 ` (17527104.7747 - 18343035)
98
5th
Export Transaction of KABRA:For 90 days maturity period:US Borrowing

Rate(Per
annum)
3.25 %
India Lending Rate

(Per annum)
Spot Rate
Future Spot
Rate
9.25%
45.05
49.45

= 321041.5375$
Step 2:- Convert it in Rupees & invest in India:=321041.5375$

X 45.05 `
= 14462921.2646 X (1+ 0.023125)
= 14797376.3188 `

= 16004492.5 `
Therefore loss of -12,10,716.1812 (14797376.3188 - 16004492.5)
99
6th
US Borrowing Rate
(Per annum)
3.25 %
India Lending Rate

(Per annum)
9.25%
Spot Rate
46.0750
Future Spot
Rate
52.0675

= 274122.7526 $

= 12630205.8276 X (1+ 0.023125 )
= 12922279.3373

= 14388853.625
Therefore loss of -14,66,574.2877 ` (12922279.3373 - 14388853.625)
100
7th
US Borrowing
Rate(per annum)
3.25 %
India Lending Rate

(Per annum)
9.25%
Spot Rate
45.9950
Future Spot
Rate
52.0125

= 460061.9963 $

= 21160551.5188 X (1+ 0.023125)
= 21649889.2726 `

= 24123397.5 `
Therefore loss of -24,73,508.2274 ` (21649889.2726 - 24123397.
101
8th
Export Transaction of KABRA:-
For 90 days maturity period:US Borrowing

Rate( Per
annum)
3.25%
India Lending Rate

(Per annum)
Spot Rate
Future Spot
Rate
9.25%
46.0200
51.4125

= 436354.6187 $
Step 2:- Convert it in Rupees & invest in India:= 436354.6187 $ X 46.0200`

= 20081039.5525 X (1+ 0.023125)
= 20545413.5921 `
`
Step 4: - Compute profit /loss:=439900 $ x 51.4125 `
= 22616358.75 `
Therefore Loss of -20,70,945.1579 ` (20545413.5921 - 22616358.75 )
102
9th
US Borrowing
Rate (Per annum)
3.25%
India Lending Rate

(Per annum)
9.25%
Spot Rate
52.7850
Future Spot
Rate
50.6537

= 394668.3199 $

= 20832567.2659 X (1+ 0.023125)
= 21314320.3839
`
= 20153840.8875`
Therefore profit of 11,60,479.4964 ` (21314320.3839
- 20153840.8875)
103
10th
Export Transaction of KABRA:For 90 days maturity period:US Borrowing India Lending Rate
Rate(Per
(Per annum)
annum)
9.25%
3.25%
Spot Rate
Future Spot
Rate
53.3550
50.78

= 346683.1990$

= 18497282.083 X (1+ 0.023125)
= 18925031.7311 `
`
= 17747610 `
Therefore profit of 11,77,421.7311 ` (18925031.7311 - 17747610)
104
Bibliography
105
REFERENCES AND BIBLIOGRAPHY

Referance Book:
Madura Jeff., 2nd Indian Reprint
(2009) International Financial
Management, Cengage Learning India Private Limited, New Delhi.
Donald R. Cooper, 9st edition Business Research Methodology, Tata Mc

graw hill.
Shapiro Alan C.,4th Edition (2002) Multinational Financial Management,

Prentice Hall of India Private Limited, New Delhi.
Internet:-
http://www.fedai.org.in/PrimeRates.html (U.s lending rate i.e. borrowing rate for

India)
http://www.kolsite.com
http://www.rbi.org.in
http://www.fedai.org.in
http://www.google.com
http://www.forexpros.com/currencies/usd-inr-historical-data
http://www.riksbank.com/templates/stat.aspx?id=17206
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=203151
Software:
Market viewer software
106
107

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A

COMPREHENSIVE PROJECT REPORT

KABRA EXTRUSIONTECHNIK LTD.

Submitted to:GIDC RAJJU SHROFF ROFEL INSTITUTE OF MANAGEMENT

TRANSACTION EXPOSURE is the bonafide work of Bhavin R. Prajapati

I also certify further, that to the best of my

(Prof. Amit Bhattacharya)

(Certificate is to be counter signed by the Director/HoD)

Procedure for export

Need of the Study

Sources of Data collection

Currency Risk Management Technique

Methods of Payment in International

5. Data Analysis & Interpretation

Document available for receivable in

Money market hedge

Summary of Hedging Techniques

Technical Chart of Currency

9. Conclusion & Suggestion

Forward Market Hedge

Future Market Hedge

Money Market Hedge

OBJECTIVES OF THE STUDY:

Chapter: 1 Introduction to Company

INTRODUCTION OF KABRA EXTRUSIONTECHNIK LTD

We shall continue to innovate our processes, products and services to provide

Total employee involvement, sincerity of purpose and commitment to objectives

"Kolsite House" Off-Vera Desai Road, Andheri (west)

Kabra Industrial Estate, Kachigam, Daman 396 210

` 150 cr. (approx)

State Bank of India (SBI),

A. G. Ogle & Co.

Chairman and M.D.

Vice chairman and M.D.

ACHIEVEMENTS DURING RECENT YEARS.

KABRA company has both domestic and export market.

United States of America

Chapter: 2 Literature review

Foreign exchange risk management - the paradox by Belk, P.A., Edelshain,

Foreign exchange risk management practices A study in Indian scrnario

Hedging versus not hedging: strategies for managing foreign exchange

of foreign denominated debt as well as currency derivatives reduce firms foreign

Foreign Exchange Exposure Management Practices of Indian Firms: An

The article Foreign exchange exposure perception and management of

Chapter: 3 Research Methodologies

Data Collection Method

All export transaction done in the last 1 year

High values export transaction are selected for the study

Total 10 values transaction will be taken under study

Chapter: 4 Background of study

CURRENCY RISK MANAGEMENT TECHNIQUES

FORWARD MARKET HEDGE:

MONEY MARKET HEDGE:

is traded in an organized exchange i.e. the futures market. Depreciation of a

Availability of around the clock electronic trading services.

CURRENCY RISK SHARING:

METHODS OF PAYMENT IN INTERNATIONAL TRADE

Chapter: 5 Data Analysis &

Data Analysis & Interpretation

Calculation of Forward Contract:

45.730 14330131.2 1,44,47,021.60

14680764 1,60,04,492.50 13,23,728.50

12828167 1,43,88,853.63 15,60,686.63