9512.net
甜梦文库
当前位置:首页 >> 经管营销 >>

Financial systems Case study


Case study: Another example
“Explain how a two-year bill facility that uses 90-day bills poses interest rate risk for the borrower. Describe FRAs, BAB futures and interest rate swaps and explain how they can be used to hedge the interest rate risk involved in a planned issue of BABs. Demonstrate how each hedge instrument establishes the company’s cost of funds.”
The essay component and the demonstration components of the case study will each be graded out of 5 marks. Illustration of the hedging demonstrations: Assume 90-day BABs with a face value of $100m are to be issued in mid December, that the current December BAB futures price is 95.00, the December one-year swap rate is 4.80% and the December spot rate turns out to be 4.50%, demonstrate the hedged interest rate outcomes in December using the three instruments: ? Proceeds from the spot 90-day bill market:

P=
?

$100m 1 + 0.045 × 90

= $98,902,587.73 365

Using a FRA:

Cash settlement to lender = Vmkt ? Vagreed = $100m 1 + 0.045 × 90 ? $100m 1 + 0.05 × 90

365 365 = $98,902,587.73 ? $98,782,138.02 = $120,449.71

? ? 365 F reffective = ? ? P + or ? Cash settlement ? 1? n ? ? ? $100m ? ? 365 =? ? 1? = 5.00% ? $98,902,587.73 ? $120,449.71 ? 90
? Using BAB futures: Sell 100 December BAB contracts:

It is clear from the question that the answer must be the forward rate; 5.0%

Vsell =

$100m 1 + 0.05 × 90

= $98,782,138.02 365

Close out in December: $100m Vbuy = = $98,902,587.73 1 + 0.045 × 90 365 Loss on futures = $98,782,138.02 - $98,902,587.73 = $120,449.71

Case study in the final exam: Another example, p. 2

$100 m ? ? 365 reffective = ? ? 1? = 5.00% ? $98,902,587.73 ? $120,449.71 ? 90
? Using an interest rate swap Calculate the nominal amount, Q:

It is clear from the question that the answer must be the forward rate; 5.0%

=

$100m 1 + 0.048 × 90

= 98,830,282.68 365

Cash settlement = Q(rFXD ? rFTG )

= $98,830,283.68 × (0.048 ? 0.045) × 90

90 365

365

= $73,107.33

Since the $73,107 is paid in March the present value of this amount (using the December spot rate of 4.50%) should be used to demonstrate the hedge:

PVcash settlement =

$73,107 1 + 0.045 × 90

= $72,305.04 365

$100 m ? ? 365 reffective = ? ? 1? = 4.80% ? $98,902,587.73 ? $72,305.04 ? 90

It is clear from the question that the answer must be the swap rate; 4.80%



更多相关文章:
CASE_STUDY_Dell_图文.pdf
CASE_STUDY_Dell_经管营销_专业资料。Dell会计信息,...XJTLU ACF310 Financial Statement Analysis 2012 ...? Dell ships about 140,000 systems per day, ...
financial system_图文.ppt
financial system_金融/投资_经管营销_专业资料。Financial System M O N E Y A N D B A N K I N G Financial System Asymmetric Information CONTENTS ...
National Finance System Case Study.unkown
HR Shared Services Showcase Event Tuesday 3 December 2013 National Finance System Case Study John Francis SSS Programme Director johnfrancis@nhs.net NHSS ...
The Design of Global Financial Systems: A Case Study.unkown
The Design of Global Financial Systems: A Case Study Shailendra Krishna May 1990 WP # CIS-90-09 THE DESIGN OF GLOBAL FINANCIAL SYSTEMS: A CASE STUDY ...
Building Monetary and Financial Systems: Case Studies in ....unkown
Brochure More information from http://www.researchandmarkets.com/reports/1395687/ Building Monetary and Financial Systems: Case Studies in Technical Assistance...
Engineering Financial Safety: A System-Theoretic Case Study ....unkown
Engineering Financial Safety: A System-Theoretic Case Study from the Financial Crisis by Melissa B Spencer B.S. Economics, Wellesley College, 2005 Submitted...
Shadow Financial Systems Case Study Featured in Celent's ....unkown
The Modern-Day Middle and Back-Office Shadow Financial Systems Case Study Featured in Celent's Latest Straight Through Processing (STP) Market Overview - ...
The Legal and Financial System Link: A Case Study From Brazil....unkown
Richard Haddock The Legal and Financial System Link: A Case Study From Brazil (International Finance and Financial Regulation) jpf Finns Reise im Schlaf...
Case Study Financial System Development.unkown
Case Study Financial System Developmen
SCHOOL FINANCE SYSTEMS AND THEIR RESPONSIVENESS TO ....unkown
RESPONSIVENESS TO PERFORMANCE PRESSURES: A Case Study of North Carolina Janet...System in North Carolina.....................................
Case study: impact of capital flows on financial system in ....unkown
Case study: impact of capital flows on financial system in Estonia Mrten Ross Bank of Estonia 16 April 2009 Fundamental starting point in Estonia ...
Free download Accounting and Financial System Reform in a ....unkown
Free download Accounting and Financial System Reform in a Transition Economy: A Case Study of Russia azw download book continue reading 1/5 2/5 3/5 4...
...systems planning: A case study from the financial services....unkown
Information Systems 16 (2007) 105125 www.elsevier.com/locate/jsis Strategic information systems planning: A case study from the financial services ...
...of the Rural Financial System : A case study of Rural ....unkown
Title Regional economic development and the establishment of the rural financial system: a case study of ruralcredit cooperations in the Pearl River Delta ...
Municipal Finance Systems in Conflict Cities: Case studies on....unkown
15 MUNICIPAL FINANCE SYSTEMS IN CONFLICT CITIES: CASE STUDIES ON AHMEDABAD AND SRINAGAR, INDIA Pritha Venkatachalam Crisis States Research Centre LSE July ...
Accounting and Financial System Reform in a Transition ....unkown
Preobragenskaya Accounting and Financial System Reform in a Transition Economy: A Case Study of Russia Written to help fill the gap regarding the ...
Accounting and Financial System Reform in a Transition ....unkown
Financial Reporting Standards in a Transition Economy: A Case Study of ...in the process of changing from centrally planned systems to market systems....
Fuzzy Expert System for Financial Ratio Analysis (Case Study:....unkown
Science & Research Branch Keywords 1ABSTRACT Financial Ratio, Fuzzy logic, Expert system, Artificial intelligence This paper presents a new mathematical ...
Case Studies Financial Management System of the University at....unkown
IREX UNIVERSITY ADMINISTRATION SUPPORT PROGRAM Case Studies Financial Management System of the University at Buffalo, SUNY Tchon Li Yanka Kupala State ...
...Management and Internal Control Systems in the Financial ....unkown
Risk Management and Internal Control Systems in the Financial Sector of the Norwegian Economy: A case study of DnB NOR ASA by Anne Deladem Siayor ...
更多相关标签:

All rights reserved Powered by 甜梦文库 9512.net

copyright ©right 2010-2021。
甜梦文库内容来自网络,如有侵犯请联系客服。zhit325@126.com|网站地图