b What contract rate will be used c Suppose at the settlement date the

# B what contract rate will be used c suppose at the

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b. What contract rate will be used? c. Suppose at the settlement date the following DNRIBOR rates apply period 3 6 9 12 (in months) DNRIBOR rate 4.90% 5.10% 5.20% 5.30% Q 01. Suppose you(r firm) knows you need to borrow an amount of 150.000 CNY eight months from now i r i c t F Q 02. Suppose you(r firm) knows you can invest an amount of 245.000 DNR three months from now for a
What is the settlement amount exchanged in the FRA? d. Do you make or loose money on the FRA? e. Now suppose that whenever you borrow you pay 0.75% above DNRIBOR at any maturity and receiv Exactly how much money are you left with nine months from now? What is the corresponding ef a. (you sell, because you are a lender) a 3 by 9 FRA for a principal amount of 245,00 b. 3.850% i.e. the 3 month forward 6 month rate c. reference rate contract rate principal contract period settlement sum A FRA 5.100% 3.850% 245,000.00 0.500 1,493.17 d. the contract rate is below the reference rate, therefore you will have to pay (you c e. 3 months from now you will invest the 245000 DNR that you have at your disposa 9 months from now you will receive back the balance including the interest on it o so time in months cash flow 0 245,000.00 6 249,107.48 effective interest rate 3.35% which is indeed 0,5% below the Current ZCBIBOR rates are given below period 1 5 6 11 12 (in months) ZCBIBOR rate 7.45% 7.66% 7.69% 8.31% 8.44% a. What are the specifications of the FRA you will use? b. What contract rate will be used? c. Suppose at the settlement date the following ZCBIBOR rates apply period 1 5 6 11 12 (in months) ZCBIBOR rate 7.17% 8.11% 8.65% 8.79% 9.00% What is the settlement amount exchanged in the FRA? d. Do you make or loose money on the FRA? e. Now suppose that whenever you borrow you pay 0.66% above ZCBIBOR at any maturity and receive Exactly how much money are you left with nine months from now? What is the corresponding ef a. (you sell, because you are a lender) a 1 by 6 FRA for a principal amount of 1.459. b. 7.738% i.e. the 1 month forward 5 month rate c. reference rate contract rate principal contract period settlement sum A FRA 8.110% 7.738% 1,459,366.00 0.417 2,188.08 d. the contract rate is below the reference rate, therefore you will have to pay (you c i r i c t F Q 03. Suppose you(r firm) knows you can invest an amount of 1.459.366 ZCB one month from now for a i r i c t F
e. 1 month from now you will invest the 1459366 ZCB that you have at your disposa 6 months from now you will receive back the balance including the interest on it o so time in months cash flow 0 1,459,366.00 5 1,504,111.19 effective interest rate 7.359% which is indeed 0,38% below the
12 3.70% 12 5.40% 1% below CNYIBOR whenever you invest. ponding effective interest rate? 150,000 CNY can also identify this direction by the minus sign in the settlement sum) 4,8%+1% = 5,8% and borrow a further 246,06 CNY to pay to your counterparty in the FRA erest on it of 150000*5,8%*4/12 contract rate w for a four month period. In order to cover this obligation you want to enter into an FRA.Current CNYIBOR ra a six month period. In order to fix conditions for this excess cash you want to enter into an FRA.
ve 0.50% below DNRIBOR whenever you invest.

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