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BLOBY
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Posts: 113
Joined: May 17th, 2004, 5:07 am

Currency futures

March 27th, 2009, 4:06 pm

Does anybody know if currency futures are become liquid products ?Because I currently hedge my portfolio's currency risk with OTC currency swaps, but the problem is that I can not realize my P&L (I can not make an early termination of these swaps).Any suggestions ?
 
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daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

Currency futures

March 27th, 2009, 4:26 pm

it depends on the size you want to do. also, I fear there is a duration mismatch from currency swaps to currency futures.
knowledge comes, wisdom lingers
 
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BLOBY
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Posts: 113
Joined: May 17th, 2004, 5:07 am

Currency futures

March 27th, 2009, 4:28 pm

Could you explain more ?
 
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daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

Currency futures

March 28th, 2009, 7:07 am

futures tend have liquidity in the front month. if you are currently doing a currency swap then you have forward contracts going out a lot further. so you might need to think about that.
knowledge comes, wisdom lingers
 
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BLOBY
Topic Author
Posts: 113
Joined: May 17th, 2004, 5:07 am

Currency futures

March 30th, 2009, 6:10 am

I saw indeed that currency futures (CME) have quarterly cycle, so the next available maturity is june, albeit I currently use 2 weeks maturity currency swaps... so I don't know how to solve this problem if I take the decision to trade now currency futures.Contract Size is 125,000 euro for EURUSD future : is the liquidity not satisfying for small amounts (0.2 M€) or huge amounts (30 M€) ?
 
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daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

Currency futures

March 30th, 2009, 6:56 am

i apologise - when you referred to currency swaps I assumed that it was a much longer dated. I think for the size you want to do the liquidity on futures is fine and there should be no issues.
knowledge comes, wisdom lingers
 
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BLOBY
Topic Author
Posts: 113
Joined: May 17th, 2004, 5:07 am

Currency futures

March 30th, 2009, 7:43 am

daveangel, how would you hedge duration mismatch between currency swaps and currency futures ?
 
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BLOBY
Topic Author
Posts: 113
Joined: May 17th, 2004, 5:07 am

Currency futures

March 31st, 2009, 6:12 am

Moreover, do you know if it's possible to trade less than 1 contract ?
 
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daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

Currency futures

March 31st, 2009, 8:33 am

QuoteOriginally posted by: BLOBYMoreover, do you know if it's possible to trade less than 1 contract ?no its not possible
knowledge comes, wisdom lingers
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