Exercise no I: The investor has a portfolio of assets worth USD 5900000, of which 24% are treasury instruments and the rest are shares. The share part of the portfolio has a Beta coefficient of 1,34 . The investor decided to hedge this portfolio with index futures contracts based on the S\&P 500 index. The current rate for these futures contracts is 3845 points. a multiplier 20. Indicate the position (long or short) and the number of contracts that this investor should open to obtain a 64,0% hedge of their asset portfolio against price drops on the stock exchange. Exercise no II: How much should a forward contract cost in EUR/PLN currency with an expiry date of 90 days under the below mentioned data. Provide both for bid and offer forward prices. - Bid rate =4,5090 EUR / PLN - spot price, sale offer - Offer rate =4,5115 EUR / PLN - spot price, bid - Credit rate for PLN per annum =1,30% - Deposit rate for PLN per annum =1,10% - Credit rate for EUR per annum =0,85% - Deposit rate for EUR on an annual basis =0,65% Remember about the base for currencies - (PLN - 365 \& EUR - 360). Exercise no III: Trader has opening a Short position in oat futures contract at 180 cents / bushel at the close of day 0 . The initial margin is USD 1550 while required margin is USD 1162,5 . At the end of day 1 the futures contract is being closed at 183 cents/bushel. At the end of Day 2 the futures contract is being closed at 186cents/bushel. Please establish the value of margin at day 1 and day 2 and calculate variation margin (if needed) at day 1 and 2. One tick for this oat futures contract equals 1 cents = USD 50. Determine the investor's result (total loss or profit) on this transaction (skip the commissions). Exercise no IV: The company intends to ensure a favorable level of interest rate for transactions for 6 months for the anticipated 3-month cash receipt period in the amount of USD 19000000 . On January 8, 20XX, the company sells a 3:6 FRA contract to the dealer with notional principal of USD 19000000 . On this day, the reference rate 3M LIBOR rate was 1,25%. The FRA contract rate is 1,80%. The contract settlement date is April 8,20XX. The company expected a decrease in interest rates and, in line with its expectations, rates fell to 1,95% on the settlement date, i.e., on April 6. The reference rate is lower than the FRA contract rate, which is why the dealer pays the settlement value to the company. Exercise no V: We have two commercial entities named A and B. Both want to take external debt from the capital market (let's assume in the form of bonds or loan/ credit) in the value of 50 million USD each. Both they have been offered the various interest rates for the fixed rate instruments and variable rate instruments. Please analyze the possibility to enter of both of them into the swap agreement in which there will and investment bank as intermediary which requires 0,1% renumeration out of the transaction. The profits of both counterparties divide equally. Show the structure of the swap agreement (what loans they will be granted and they are going to swap each other the payments)