Problem Kenduri co (6/13) page 53 concerns about the use of multilateral netting arrangement to reduce the overall group's exposure to the foreign exchange rate risk. I want to ask, in this problem, why the cash flows for multilateral netting are due in three months, but the exchange rates used for netting are spot-mid rates, although the problem also refers 3-month forward rates ? Thank you!
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Kenduri co (6/13)
8y ago#1For the netting, the question specifically says to use the spot rates.
The use of the forward rates is only relevant for the net payments in three months.
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