please calculate the portfolio-generated cash flows
Assume today is 15/09/2004, and you are about to play Quarter 3 of the trading game. You have the following information: On 15/06/2004, you issued commercial paper with face value of $173,320,000. The face value and coupon of bonds currently on issue is: DB05 ($125mil/5.7%); DB07 ($22mil/5.75%); DB09 ($200mil/5.79%); and DB14 ($375mil/5.87%). Bond coupons (and fixed swap payments) are paid in March and September each year. You have a pay-fixed, receive-floating domestic interest rate swap on issue with face value and coupon: IRSDB07 ($600mil/5.75%). Also on issue is one Eurobond US14 with face value and coupon of USD76.5mil/4.5%, and one Eurobond EURO6 with face value and coupon of EUR60.5mil/3.5%. Both Eurobonds have been swapped back into domestic CP3M with a face value of AUD200mil. The yield on 10-year bonds rose significantly from 15/06/2004 to 15/09/2004. On 15/06/2004, you sold 500 10-year bond futures contracts with brokerage of $5 per contract and deposit margin of $1000 per contract (assume that the deposit margin has not accrued interest over the quarter). The absolute dollar value of variation margin on the futures contract stands at $700,000 for the quarter from 15/06/2004 to 15/09/2004. The market value of your portfolio on 15/06/2004 was $1.1 billion. The market value of your portfolio on 15/09/2004 is now $1 billion. Assume an administrative charge of 0.5% per annum. On 15/06/2004, you advanced one of your clients $80mil for six years. The same client (QEPA) requires a further $20mil today (i.e. 15/09/2004). For new advances, the six-year fixed rate was 5.8% on 15/06/2004, and is 6% today. Another client (LG) has just made a one-off repayment of $30mil, and a debt service payment of $5mil today. Today, on behalf of LG, you will also enter a forward contract (which settles in three months' time) to buy USD 10mil (AUD20mil) that LG needs to pay a supplier. On 15/06/2004, you made a significant error and raised too much money. As a result, the portfolio cash at bank balance is currently $100mil. Assume that there are no debt service payments other than those mentioned or implied above. On 15/06/2004, the mid 3-month rate was 5.5%. On 15/09/2004, the mid 3-month rate is now 6%. There were 92 days from 15/06/2004 to 15/09/2004. Assume today is 15/09/2004, and you are about to play Quarter 3 of the trading game. You have the following information: On 15/06/2004, you issued commercial paper with face value of $173,320,000. The face value and coupon of bonds currently on issue is: DB05 ($125mil/5.7%); DB07 ($22mil/5.75%); DB09 ($200mil/5.79%); and DB14 ($375mil/5.87%). Bond coupons (and fixed swap payments) are paid in March and September each year. You have a pay-fixed, receive-floating domestic interest rate swap on issue with face value and coupon: IRSDB07 ($600mil/5.75%). Also on issue is one Eurobond US14 with face value and coupon of USD76.5mil/4.5%, and one Eurobond EURO6 with face value and coupon of EUR60.5mil/3.5%. Both Eurobonds have been swapped back into domestic CP3M with a face value of AUD200mil. The yield on 10-year bonds rose significantly from 15/06/2004 to 15/09/2004. On 15/06/2004, you sold 500 10-year bond futures contracts with brokerage of $5 per contract and deposit margin of $1000 per contract (assume that the deposit margin has not accrued interest over the quarter). The absolute dollar value of variation margin on the futures contract stands at $700,000 for the quarter from 15/06/2004 to 15/09/2004. The market value of your portfolio on 15/06/2004 was $1.1 billion. The market value of your portfolio on 15/09/2004 is now $1 billion. Assume an administrative charge of 0.5% per annum. On 15/06/2004, you advanced one of your clients $80mil for six years. The same client (QEPA) requires a further $20mil today (i.e. 15/09/2004). For new advances, the six-year fixed rate was 5.8% on 15/06/2004, and is 6% today. Another client (LG) has just made a one-off repayment of $30mil, and a debt service payment of $5mil today. Today, on behalf of LG, you will also enter a forward contract (which settles in three months' time) to buy USD 10mil (AUD20mil) that LG needs to pay a supplier. On 15/06/2004, you made a significant error and raised too much money. As a result, the portfolio cash at bank balance is currently $100mil. Assume that there are no debt service payments other than those mentioned or implied above. On 15/06/2004, the mid 3-month rate was 5.5%. On 15/09/2004, the mid 3-month rate is now 6%. There were 92 days from 15/06/2004 to 15/09/2004
