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[Total: 10 marks] Table 1 - Movement in Yields Start of End of Quarter 5.50% 5.53% Overnight Rate 3 months 6 months 9 months 12
[Total: 10 marks] Table 1 - Movement in Yields Start of End of Quarter 5.50% 5.53% Overnight Rate 3 months 6 months 9 months 12 months Quarter 5.50% 5.52% 5.54% 5.60% 5.59% 5.58% 5.65% 5.78% DB05 5.70% 5.55% DB07 5.75% 5.70% DB09 5.79% 5.87% 5.92% 6.10% DB14 Table 2 - Cost of Funds Cost Of Funds Instrument CP3M DB05 DB07 DB09 Coupon 0.00% 5.70% 5.75% 5.79% DB14 5.87% Table 1 and Table 2 are extracted from the Lime team performance report for the period ending 14/06/2004. Coupons for all the bonds are paid semi-annually, in March and September. All the bonds have a face value of $1 mil, respectively, and they mature in the month of March (e.g, DB09 matures March 2009). Required: required. a. [2 marks] What is the annualized cost of funds for CP3M for the quarter which ends in June 2004? No calculation b. [4 marks] What is the annualized cost of funds for DB05 for the quarter which ends in June 2004? c. [4 marks] What is the annuolized cost of funds for DB07 for the quarter which ends in June 2004? [Total: 10 marks] Table 1 - Movement in Yields Start of End of Quarter 5.50% 5.53% Overnight Rate 3 months 6 months 9 months 12 months Quarter 5.50% 5.52% 5.54% 5.60% 5.59% 5.58% 5.65% 5.78% DB05 5.70% 5.55% DB07 5.75% 5.70% DB09 5.79% 5.87% 5.92% 6.10% DB14 Table 2 - Cost of Funds Cost Of Funds Instrument CP3M DB05 DB07 DB09 Coupon 0.00% 5.70% 5.75% 5.79% DB14 5.87% Table 1 and Table 2 are extracted from the Lime team performance report for the period ending 14/06/2004. Coupons for all the bonds are paid semi-annually, in March and September. All the bonds have a face value of $1 mil, respectively, and they mature in the month of March (e.g, DB09 matures March 2009). Required: required. a. [2 marks] What is the annualized cost of funds for CP3M for the quarter which ends in June 2004? No calculation b. [4 marks] What is the annualized cost of funds for DB05 for the quarter which ends in June 2004? c. [4 marks] What is the annuolized cost of funds for DB07 for the quarter which ends in June 2004
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