Ignore Sammy. Another derivatives trader, John, took a long position in IRU9 on 04/07/2019 and held it until maturity. When the IRU9 matured in mid-September 2019, John closed his derivative long position and bought the 90-day Bank Bill at the 1% spot rate. What net rate of interest did he earn on his investment? 0.80% 1.00% 2.08% 1.08%

Ignore Sammy. Another derivatives trader, John, took a long position in IRU9 on 04/07/2019 and held it until maturity. When the IRU9 matured in mid-September 2019, John closed his derivative long position and bought the 90-day Bank Bill at the 1% spot rate. What net rate of interest did he earn on his investment? 0.80% 1.00% 2.08% 1.08%

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Clarke plans to satisfy cash needs in nine months by selling its Treasury bond holdings for $4 million. However, Clarke is concerned that interest rates might increase over the next three months. To hedge against this possibility, Clarke plans to sell Treasury bond futures. Thus, Clarke sells futures contract for a price of 99-12. Assuming that the actual price of the futures contract declined to 97-20, Clarke would make a of $___. from closing out the futures position. a. b. C. d. e. -——— 40; profit; $76,800 40; loss; $76,800 50; profit; $70,000 40; profit; $70,000 none of the above
Suppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from a correspondent bank at a price of $31,950,000, with the promise to buy them back at a price of $32,000,000. a. Calculate the yield on the repo if it has a 5-day maturity. b. Calculate the yield on the repo if it has a 15-day maturity. (For all requirements, use 360 days in a year. Do not round intermediate calculations. Round your percentage answers to 5 decimal places. (e.g., 32.16161)) a. b. X Answer is complete but not entirely correct. Yield on the repo Yield on the repo 1.02857 % 0.34286 %
Consider a CDS on Lehman Brothers default event. Given today’s market conditions you know that the present value of expected premium payments 6.0250*s, the present value of expected accrual payments is 0.0515*s and the present value of expected payoff is 0.1325. All measured per $1 of notional principal. You also know that Argo hedge fund bought this CDS on Lehman Brothers default from AIG one week ago with contractual rate of X basis points per year. Given this information the breakeven spread (i.e. the value of s) is _________ and today’s value of the CDS contract to AIG is positive if the value of s is _______ than X. a. 222 basis points;greater b. 218 basis points; smaller c. 218 basis points, greater d. 222 basis points; smaller e. 84 basis points; greater Please help and explain
One-year T-bills currently earn 0.46 percent. You expect that one year from now, one-year T-bill rates will increase to 0.50 percent. If the unbiased expectations theory is correct, what should the current rate be on two-year Treasury securities? (Do not round intermediate calculations. Round your answer to 2 decimal places. (e.g., 32.16)) Current rate on two-year Treasury securities
1. Suppose that someone wanted to buy a $1,000 face value T-bond that matures in November 2001. How much would it have cost on Black Monday? Answer: S per $1,000 face value
Today is January 1. The forward price for contracts maturing on April 1 is $104.4 and on October 1 is $111.6. On April 1, the price of a zero-coupon bond maturing on October 1 is $0.975. Assuming that the underlying interest rate is a continuously compounded interest rate and will not change, the amount of profit that you can make on October 1 by trading one contract each of the near and distant maturity forwards and other securities is: [round to two decimal places]
the math of interest. please indicate if you are unsure or totally sure about the answer
Jay purchased a Treasury bond with a coupon rate of 4.49% and face value of $100. The maturity date of the bond is 15 March 2029. (b) In fact, Yuri changes his plan and Jay plans to sell this bond on 7 January 2022. What was Jay's sale price (rounded to four decimal places)? Assume a yield of 3.02% p.a. compounded half - yearly. Question Answer a. 111.6359 b 110.8412 c. 109.1924 d .108.7396
Jay purchased a Treasury bond with a coupon rate of 4.49% and face value of $100. The maturity date of the bond is 15 March 2029. (b) In fact, Yuri changes his plan and Jay plans to sell this bond on 7 January 2022. What was Jay's sale price (rounded to four decimal places)? Assume a yield of 3.02% p.a. compounded half - yearly. Question Answer a. 111.6359 b 110.8412 c. 109.1924 d .108.7396

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