1 .

The current level of the S&P 500 is 1,600. The dividend yield on the S&P 500 is 3.9%. The risk-free interest rate is 1.4%. What should a futures contract with a one-year maturity be selling for?(Do not round intermediate calculations.)

Futures price$

2 .

The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is one year, the current level of the index is 2,000, and the risk-free interest rate is 0.4% permonth. The dividend yield on the index is 0.1% per month. Suppose thatafter one month, the stock index is at 2,033.

a.Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly.(Do not round intermediate calculations. Round your answer to 2 decimal places.)

Cash flow$

b.Find the holding-period return if the initial margin on the contract is $30,000.(Do not round intermediate calculations.Round your answer to 2 decimal places.)

Holding-period return%

3 . A manager is holding a $1.6 million bond portfolio with a modified duration of 8 years. She would like to hedge the risk of the portfolio by short-selling Treasury bonds. The modified duration of T-bonds is 10 years. How many dollars' worth of T-bonds should she sell to minimize the risk of her position?(Enter your answer in dollars not in millions.)

Worth of T-bonds$

4 . It is now January. The current interest rate is 3.4%. The June futures price for gold is $1653.50, while the December futures price is $1,660. Assume the June contract expires in exactly 6 months and the December contract expires in exactly 12 months.

a.Calculate the appropriate price for December futures using the parity relationship?(Do not round intermediate calculations.Round your answer to 2 decimal place.)

Price for December futures$

b.Is there an arbitrage opportunity here?

NoYes

5 . A corporation has issued a $16 million issue of floating-rate bonds on which it pays an interest rate 0.8% over the LIBOR rate. The bonds are selling at par value. The firm is worried that rates are about to rise, and it would like to lock in a fixed interest rate on its borrowings. The firm sees that dealers in the swap market are offering swaps of LIBOR for 5%. A swap arrangement converts the firm's borrowings to a synthetic fixed-rate loan. What interest rate will it pay on that synthetic fixed-rate loan?(Round your answer to 1 decimal place.)

Interest rate

$