French translation: le prix à terme du premier mois négociable
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18:56 Jul 3, 2007
English to French translations [PRO] Bus/Financial - Finance (general) / instruments financiers -dérivés
English term or phrase:front month contract ou near month contract
Texte relatif à l'application de la comptabilité de couverture (hedging accounting) dans le cas de la comptabilisation d'une opération de couverture dun achat de marchandise par un contrat à terme bourseir - hedging a forecasted commodity transaction with a futures contract
Company XYZ anticipates that it will buy natural gas each month over several coming months. The gas is priced at an industry benchmark price, with a spread (or basis) that changes over time. The Company decides to enter into a hedge using a strip of natural gas futures contracts, traded at the NYMEX – i.e., a series of contracts with sequential expiration dates, with each expiration being associated with purchases in successive months. Each respective contract will be liquidated when the prices are determined for the designated hedged items.
Hedging derivative: Futures contracts
Type of futures contract Natural gas
Contract size 10,000 mmbtus
Broker Ace Futures Brokers, Inc.
Trade date 8/15/05
Front-month contract price on trade date 2.194
Plus loin dans le texte ....
Method of assessing hedge effectiveness:
Prospective testing – The Company elects to exclude the futures’ forward points in its assessment of hedge effectiveness. This election is reflected in the regression analysis used to make the assessment. The Y variable in the regression will be the historical prices that the Company has paid for natural gas purchased at Chicago City Gate. Ideally, the X variable should be the spot price of gas at Henry Hub (i.e., the delivery point associated with the NYMEX futures contract). Because of the lack of spot price data at Henry Hub, and in light of industry practice, the Company uses the front-month futures price as a proxy for this spot price for the X variable.