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you decide the bank should enter into a 4*9 FRA,based on the appropriate BBSW(4 month rate is 2.4%), with an agreed rate of 2.3%, and with the pricipal is 1,000,000
(1)would you be the buyer or the seller of the FRA?
(2)if the appropriate BBSW on the settlement date is 2.8%, how much compensation will be payable under the FRA?
(3)will you receive or pay this compensation?
suppose the balance sheet is at 31/12/14, the yield on coporate bond is 1.97%, the semi annual coupon rate is 8%, mature is on 21/Oct/2017,they each have a face value of 200. the credit spread for the company is 71bp. (in the balance sheet, the coporate bond is 4,410,000) What is the price of each of the company' s coporate bond?
you decide the company should hedge interest rate risk using 5 year treasury bond futures contracts.(the future contract price is 97.52)
(1)would you sell or buy future contract?
(2)suppose you buy or sell 10 contracts at the quoted price. What is the total value of these contracts?
Solution1: I would be the buyer of this FRA as agreed rate 2.3 %
is less than four month BBSW rate which is 2.4%.
Solution 2: If the appropriate BBSW on the settlement date is
Paper#9210237 | Written in 27-Jul-2016Price : $22