BERKSHIRE TEAM Portfolio Performance Report for the period ending 14/06/2020 PERFORMANCE Note: Some data and information in this Report has been removed for exam purposes Mod Duration at Start Of Quarter Mod Duration at End Of Quarter Cost Of Funds Market Value Start Market Value End Portfolio 4.36 3.38 1,100,000,000.00 1,112,292, 192.26 Benchmark 3.70 3.46 5.01% 1,100,000,000.00 1,113,899,598.21 Difference CUMULATIVE PERFORMANCE Performance Cost of Funds Portfolio Cost of Funds Benchmark Performance % 0.58% Outperformance Central Treasury Accumulated Profits 564,568.65 Profit 4.43% 5.01% 1,607,405.95 Saving Quarter 1 - 15/3/2020 Borrowing Rates for New Advances Term (yrs) 1 2 3 4 5 Rate 5.67% 6.04% 6.41% 6.58% 6.75% 6.82% 6.89% 6.96% 7.03% 7.10% 8 9 10+ Quarter 2 - 15/6/2020 Borrowing Rates for New Advances Term (yrs) 1 No 00 0 Rate 5.96% 6.28% 6.60% 6.73% 6.85% 6.90% 6.95% 7.00% 7.05% 7.10% 7 9 10+ Commodity and Foreign Exchange Total Requirements for year Hedged Requirements (Including Delivered) Unhedged Copper 1,200.00 1,200.00 0.00 USD EUR US9,147,000.00 EUR5,000,000.00 US0.00 EUR0.00 US9, 147,000.00 EUR5,000,000.00 Cost Of Hedged Portion Current Cost Of Hedging Outstanding Requirements Total Position 9,883,306.321 9,883,306.32 7,555,152.61 7,555,152.61 Benchmark Hedging Cost Note: The game begins on 15 March 2020 with an advance of $100m to A Port Authority to be repaid over 8 years. Bond coupons and fixed swap payments occur in March and September. You may need to draw on information from the following documents ("Gamebook Final Exam', and 'Various Game Information') which you will find in QUESTION 1. The document 'Berkshire Team Performance Report is not relevant to this question. You will find rates, prices and Client Profiles in the Gamebook. Required: (a) [3 marks] Detail all of the commodity and foreign exchange transactions executed by Orange team on 15th March 2020. For each transaction, you must identify which deal slip Orange team used (e.g. Commercial Paper, Bond, Commodity, Swap, Foreign Exchange, Futures) and provide all the detail Orange team would have entered into the associated deal slip. (b) [3 marks] Detail the change in the AUD/USD forward rate over the period 15th March 2020 to 14th June 2020. Show all calculations in your answer. Note: 'forward rate' refers to the rate required to hedge known client exposures (client exposures are detailed in the Gamebook). (c) [3 marks] How effective (as at 14 June), relative to the benchmark, has Orange team been at hedging the commodity and foreign exchange risk of the client who needs to purchase copper at a future date? Explain. BERKSHIRE TEAM Portfolio Performance Report for the period ending 14/06/2020 PERFORMANCE Note: Some data and information in this Report has been removed for exam purposes Mod Duration at Start Of Quarter Mod Duration at End Of Quarter Cost Of Funds Market Value Start Market Value End Portfolio 4.36 3.38 1,100,000,000.00 1,112,292, 192.26 Benchmark 3.70 3.46 5.01% 1,100,000,000.00 1,113,899,598.21 Difference CUMULATIVE PERFORMANCE Performance Cost of Funds Portfolio Cost of Funds Benchmark Performance % 0.58% Outperformance Central Treasury Accumulated Profits 564,568.65 Profit 4.43% 5.01% 1,607,405.95 Saving Quarter 1 - 15/3/2020 Borrowing Rates for New Advances Term (yrs) 1 2 3 4 5 Rate 5.67% 6.04% 6.41% 6.58% 6.75% 6.82% 6.89% 6.96% 7.03% 7.10% 8 9 10+ Quarter 2 - 15/6/2020 Borrowing Rates for New Advances Term (yrs) 1 No 00 0 Rate 5.96% 6.28% 6.60% 6.73% 6.85% 6.90% 6.95% 7.00% 7.05% 7.10% 7 9 10+ Commodity and Foreign Exchange Total Requirements for year Hedged Requirements (Including Delivered) Unhedged Copper 1,200.00 1,200.00 0.00 USD EUR US9,147,000.00 EUR5,000,000.00 US0.00 EUR0.00 US9, 147,000.00 EUR5,000,000.00 Cost Of Hedged Portion Current Cost Of Hedging Outstanding Requirements Total Position 9,883,306.321 9,883,306.32 7,555,152.61 7,555,152.61 Benchmark Hedging Cost Note: The game begins on 15 March 2020 with an advance of $100m to A Port Authority to be repaid over 8 years. Bond coupons and fixed swap payments occur in March and September. You may need to draw on information from the following documents ("Gamebook Final Exam', and 'Various Game Information') which you will find in QUESTION 1. The document 'Berkshire Team Performance Report is not relevant to this question. You will find rates, prices and Client Profiles in the Gamebook. Required: (a) [3 marks] Detail all of the commodity and foreign exchange transactions executed by Orange team on 15th March 2020. For each transaction, you must identify which deal slip Orange team used (e.g. Commercial Paper, Bond, Commodity, Swap, Foreign Exchange, Futures) and provide all the detail Orange team would have entered into the associated deal slip. (b) [3 marks] Detail the change in the AUD/USD forward rate over the period 15th March 2020 to 14th June 2020. Show all calculations in your answer. Note: 'forward rate' refers to the rate required to hedge known client exposures (client exposures are detailed in the Gamebook). (c) [3 marks] How effective (as at 14 June), relative to the benchmark, has Orange team been at hedging the commodity and foreign exchange risk of the client who needs to purchase copper at a future date? Explain