assignment1and2 - 1,328.24 Divisior 0.1323 10-5.3 Shares...

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Assignment 1 Q2 sp 500 1121.6 etf  112.16 3 mth libor 0.30% 56080 div yld 2.10% 3 mth T-Bill 0.05% etf comm $ 0.03 etf shortfall bps 3 etf fee bps fut comm $ 5 fut shortfall bps 3 nearby fv 1116.6 nearby price 1116 nearby mis bps cal spd mis bps -4 cash - libor 25 etf futures futures reinvest T-Bill swap mgmt fee 10.0 comm 2.2 3.6 3.6 liquid short 3.0 3.0 3.0 0.0 nearby mis -5.3 -5.3 0.0 cal spd mis -12.0 -12.0 libor - cash   -25.0 25.0 -25.0 swap spread 25.0 total 15.2 -35.8 14.2 0.0 Assignment 2 Assignment 1 - Q1 AAPL 260 As of 10/20 Term (mths) 3 Stock Close Pri Rebate 0.20% AA 13.79 Shares 100,000 AXP 35.42 BA 51.89 Swap Income $25,000 BAC 17.01 CAT 59.61 Stock Drops 150 CSCO 24.11 CVX 77.03 Short Sale DD 33.87 Cap Gain $11,000,000 DIS 29.35 Rebate $13,000 GE 15.58 Total $11,013,000 HD 26.97 HPQ 48.74 Swap IBM 122.82 HF Pays $11,000,000 INTC 20.18 HF Receives $25,000 JNJ 60.59 Total $11,025,000 JPM 46.03 KFT 27.23 KO 54.07 MCD 58.92 MMM 75.95 MRK 33.72 MSFT 26.37 PFE 17.93 PG 57.69 T 25.99 TRV 48.46
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UTX 65.4 VZ 28.8 WMT 51.7 XOM 73.02 Index 10,041.48 Sum of Stock Prices
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Unformatted text preview: 1,328.24 Divisior 0.1323 10-5.3 Shares Check 752,876 10,382,160 752,876 26,666,868 sum of pri 1,328.24 752,876 39,066,736 divisor 0.1323 752,876 12,806,421 752,876 44,878,938 shortfall $2,258,628 752,876 18,151,840 pct short 0.23% 752,876 57,994,038 diamond 100.64 752,876 25,499,910 752,876 22,096,911 buy the portfolio 752,876 11,729,808 described 752,876 20,305,066 752,876 36,695,176 exchange portfolio for 752,876 92,468,230 9,936,249 diamonds 752,876 15,193,038 deliver to buyer 752,876 45,616,757 752,876 34,654,882 752,876 20,500,813 752,876 40,708,005 752,876 44,359,454 752,876 57,180,932 752,876 25,386,979 752,876 19,853,340 752,876 13,499,067 752,876 43,433,416 752,876 19,567,247 752,876 36,484,371 752,876 49,238,090 752,876 21,682,829 752,876 38,923,689 752,876 54,975,006 1,000,000,018...
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This note was uploaded on 01/25/2011 for the course NBA 6940 at Cornell University (Engineering School).

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assignment1and2 - 1,328.24 Divisior 0.1323 10-5.3 Shares...

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