BAFI 2081 Options Futures and Risk : Covid 19 Outbreak

BAFI 2081 Options Futures and Risk : Covid 19 Outbreak

Task:

Assume that you are one of the highly skilled specialists in the CME Group Risk management team, which was formed to develop the right advice on risk management solutions and the implementation of derivative strategies for CME Group’s customers. The Director has asked you to prepare a report that addresses all the tasks required in the following four scenarios. Note that scenarios are independent of each other.
Scenario 1: Hedging With Stock Index Futures
March 2020 saw one of the most dramatic stock market crashes in history, which was caused by governments’ reactions to a COVID-19 outbreak (e.g. strict quarantines, lockdown of populations and the shut-down of the bulk of business activities). While there was rapid declines in stock prices for the great majority of industries, many sectors were in a position of strength, such as healthcare, consumer staples and information technology. The best industry performers yielded a positive monthly return of over 20% (Mazur et al., 2021).
One of your long-term clients, Mr Johnathan Dobek, constructed a stock portfolio on 30th January 2020 and intended to sell the portfolio on 18th June 2021. His portfolio consists of any four U.S. stocks (among nine stocks listed in Exhibit 1) plus Pfizer, Inc. (PFE) stock. Mr Johnathan was concerned about the spread of the new coronavirus outbreak and how badly coronavirus would hurt the U.S. stock market. However, he was confident that the stocks in his portfolio would outperform the market. Therefore, on 2nd July 2020, he asked you to set up a hedge against his portfolio’s market risk using CME E-Mini S&P500 index futures. He expected the hedge to be in effect at the close of trading on 2nd July 2020. The futures contract prices are presented in Exhibit 2, while the contract size of all futures is $USD50 per index point.
Task 1.1:
This task aims to investigate how index futures can be used to reduce the market risk from holding the stock portfolio. In particular, you need to propose:
a)Which futures contract your client should use (i.e. June 2021 E-Mini S&P500 index futures or September 2021 E-Mini S&P500 index futures). Justify your choice.
b)The number of futures contracts for the hedge and report the position in futures contracts to be taken, in order to reduce the beta of Mr Johnathan’s stock portfolio to 0.5.
Task 1.2:
Estimate the outcome of the hedge on 18th June 2021. Based on this outcome, appraise whether your client regretted having the stock portfolio hedged or not?
Hints:
Note that there are a total of five stocks in Mr Johnathan’s portfolio (Pfizer stock plus any four stocks in Exhibit 1). The selection of these four stocks included in Mr Johnathan’s portfolio is your own choice. Naturally, each student will end up with a different portfolio of five stocks. The number of shares for each of the four stocks chosen must be fixed over the holding period and follow Exhibit 1. For example, if Apple is selected, Mr Johnathan would hold 800 shares of Apple stock in his portfolio. For Pfizer stock, the number of Pfizer shares must equal “84063”. For example, Mr Johnathan would hold   84,063 shares of Pfizer in his portfolio.
Daily stock prices can be obtained from the Refinitiv Eikon website: https://eikon.thomsonreuters.com/index.html (Search the company name/symbol => Select “Price & Chart” – “Price history” Tab => Choose the relevant period then click “Update View” and “Download to Excel” (). Please use Close price.
To complete the tasks, you will need to self-calculate beta for each stock at the start of
the hedge (2nd July 2020). Beta is a measure of systematic risk of a security or portfolio compared to the market as a whole. Steps to compute beta for any stock using Excel is as follow:
(1)Download 2-year historical daily prices for a stock whose beta you want to measure.
(2)Download 2-year historical daily prices for the underlying – market index S&P 500 (.SP500) from the Refinitiv Eikon website.
(3)Calculate the daily returns (i.e. % change) of (1) and (2).
(4)Find beta of the stock by using the Excel function = SLOPE (Y, X)
Y is the stock’s daily returns series, and X is the daily returns series of the S&P500 index, calculated in step (3).
Exhibit 1: List of stocks
Stock name / Symbol    Number of shares held
Apple Inc. (AAPL.O)    800
Microsoft Corporation (MSFT.O)    900
Facebook, Inc. (FB.O)    360
Intel Corporation (INTC.O)    974
PayPal Holdings, Inc. (PYPL.O)    257
International Business Machines Corporation (IBM)    678
Walmart Inc. (WMT)    1,200
General Mills, Inc. (GIS)    965
Costco Wholesale Corporation (COST.O)    900
Exhibit 2: CME E-Mini S&P500 index futures price
Futures Contract    Price on 02/07/2020    Price on 18/06/2021
CME E-MINI S&P 500 INDEX JUNE 2021    3,106.00    4,187.25
CME E-MINI S&P 500 INDEX SEP 2021    3,097.25    4,153.5
Data source: Datastream
Scenario 2: Financial Risk Management
Pfizer Inc. (PFE), established in 1849, is an American research-based multinational biopharmaceutical corporation. Pfizer has a long history of innovation in healthcare and research worldwide to advance wellness, prevention, treatments and cures. With a global portfolio including medicines, vaccines and many of the world’s best-known consumer health care products, Pfizer has become one of the world’s leading biopharmaceutical companies.
Task 2.1
Your task is to identify and discuss the primary financial risks that Pfizer Inc. is exposed to. Since Pfizer is a listed company, the company research can be accomplished through its financial reports and documents publicly available on the company’s website and Eikon.
Task 2.2
Determine and elaborate why Pfizer should hedge and why it shouldn’t hedge its foreign currency risk.
Task 2.3
Explain to your non-technical client how the practice of financial risk management is similar to hedging and how it is different.
Task 2.4
Assume that Mr Johnathan Dobek (in scenario 1) decided not to sell the portfolio. He keeps holding the portfolio until today, which is 7th September 2021. Assume that there is no change in the number of shares in the portfolio.
a)On 7th September 2021, calculate 5% and 1% 10-day VaR of Mr Johnathan’s portfolio (which was constructed in Scenario 1) using the historical method. Interpret the value at risk results calculated so that your client would easily understand them.
b)Follow up your VaR estimates in part a with an ex-post evaluation, i.e. discuss how your VaR results compare to the actual 10-day portfolio returns from 8th September 2021 to 21st September 2021.
Task 2.5
Mrs Susan Moore’s portfolio consists of 800 shares of Apple stock and 555 shares of Pfizer
stock.
a)Calculate Analytical VaR at 99% confidence level over one month and 10-day horizon on Mrs Susan’s portfolio, as of 7th September 2021.
b)Follow up your VaR estimates in part a with an ex-post evaluation, i.e. discuss how your VaR results compare to the actual 10-day portfolio returns from 8th September 2021 to 21st September 2021.
Hints:
Find the standard deviation of each stock’s returns by using the Excel function=STDEVP (a stock’s daily returns series)
Find expected return of each stock by using the Excel function = AVERAGE (a stock’s daily returns series)
Find the correlation between the returns on two stocks by using the Excel function=CORREL (stock 1’s daily returns series, stock 2’s daily returns series)
Scenario 3: Design An Interest Rate Swap
SCG and RMD both wish to invest $55 million in 5 years and have been offered the rates shown in Exhibit 3. SCG wishes to invest at a floating rate of interest, while RMD requires a fixed-rate investment.
Fixed Rate    Floating Rate
SCG    2.8%    LIBOR – 1.5%
RMD    3.6%    LIBOR + 0.9%
Exhibit 3: Interest rates
Task 3.1:
This task requires you to design a vanilla swap that allocates 70% advantage (i.e. gain) to RMD and 30% advantage (i.e. gain) to SCG. Assume that a financial institution, acting as an intermediary, is planning to charge a 0.4% premium.
Task 3.2:
Assume that today is 15th June 2021, the two companies enter the $55 million 5-year swap you have designed in Task 3.1. The payments of the swap are made semi-annually, on 15th December and June each year. Note that LIBOR is determined on the previous settlement date. The accrual period is the actual number of days divided by 360. Your task is to complete the Template (Exhibit 4) below, which demonstrates the cash flows on the swap from the perspective of RMD.
Exhibit 4: Template of CFs on the swap
Scenario 4: Value a Currency Swap
90 days ago, the mutual fund entered into a one-year currency swap by agreeing to swap US dollars for euros at the fixed rates. The annualised fixed rate in dollars and euros are 7.77% and 6.94%, respectively. The exchange rate at the start of the swap was $0.68. The new exchange rate today is $0.65. Assume that the notional dollar amount is $65,000,000. The payments are made semi-annually based on the assumption of 30 days per month and 360 days in a year. The adjustment Current LIBOR and Euribor rates are shown in Exhibit 5.
Term    LIBOR (%)    Euribor (%)
90 days    7.1    5.5
270 days    7.4    6.0
Exhibit 5: Current LIBOR and Euribor rates
Task 4: Your task is to determine the market value of the swap today from the mutual fund’s perspective, which pays dollars and receives euros.

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AFIN310 Issues in Applied Finance- risks associated with investing in these com

AFIN310 Issues in Applied Finance-  risks associated with investing in these com

Task:

Purpose of this Assignment
 
BHP Billiton, Rio Tinto and Fortescue Metals – are publicly listed companies on the ASX and also have debt issuances in the investment market via bonds or loans– you have been assigned to evaluate any risks associated with investing in these companies.

Question 1

Compare and contrast the credit ratings assigned by either Fitch, Moodys or S&P Ratings (any single agency can be used for comparison as not all 3 agencies may have assigned rating to the company). Based on your research, please describe the key reasons for difference or similarities in ratings assigned to each. Please provide some supporting information from their financial statements

Question 2

Calculate the bid/offer spread of this bond?

Question 3

Calculate the beta for BHP Billiton, Rio Tinto and Fortescue Metals (listed on ASX) in excel. • Using weekly data returns from 1 Aug 2019 to 1 Aug 2021 (based on close prices)

Provide a summary of calculations and any assumptions as to how you arrived to the final Beta figure.

Question 4

Identify any 2 risks for each company (excluding credit and liquidity risk), a global investor could face while investing in each of the banks shares and bonds over the next six to twelve months.

Question 5

As a ESG-specialist, which E, S or G factors do you think would be most relevant in assessing the ESG ratings of the Australian Materials Sector. Please identify four factors and explain why these would be important to consider from an ESG perspective for this sector.

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BSB250 Business Citizenship: The Business Model

BSB250 Business Citizenship: The Business Model

Questions:

You will examine issues of local and global significance, and assess the extent to which current business practices contribute to collective wellbeing and sustainable and socially responsible outcomes. Selecting from a list of businesses provided to you, you will analyse a business to develop a report which investigates its CSR performance. The issues can be areas the company is addressing well and/or areas which present opportunities for improvement. You are expected to draw on academic texts to support your claims.
Summarise the company background in terms of its key activities, mission/vision, and key competition. This section should include only salient facts and relevant details relating to the report focus Provide a brief overview of the business model the company has adopted.  
 Identify 2-3 issues relating to sustainability or social responsibility that the company needs to address. Explain why this is a focal area and provide some broad measures or goals against which business performance could be assessed for this issue.  
 Performance in key areas Using evidence (data and references) to support your analysis and linking this to academic literature, 
evaluate the performance of the company for each issue you have identified.  
 Emerging Issues: This section should identify and succinctly discuss emerging issues that the business will need to monitor and 
potentially take action on in the future.

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ENVR3004 Electrical Engineering|Water Integration

ENVR3004 Electrical Engineering|Water Integration
Coach House Design
PART 2: HVAC, Plumbing, Electrical and Lighting Using the design and drawings produced in PART 1, you will design and layout, HVAC, plumbing, electrical and lighting systems to suit your design. As you integrate these system, you should expect your design to evolve and change. Using the information provided in class and the student’s own research, each student will provide the following drawings and information;
1) Updated PART 1 Drawings Revise plans, building section and wall section as needed based on incorporating HVAC, plumbing, electrical and lighting. Ensure these drawings reflect the spatial impact of these systems.
2A) HVAC Plans – 1:50 Assume a forced-air or radiant and/or in-floor radiant system and consider heating, cooling and ventilation. Consider location of windows and doors (areas of heat loss or gain) and how the space is used. Assume municipal services come from laneway. Include the following; Ducting or distribution lines – no specific sizing required or shown in drawing, but approximate sizing must be considered. Is it exposed or concealed? Does if fit within the floor, ceiling or wall assembly. Are the supply diffusers at the wall, floor or ceiling? Supply grilles (Diffusers) and return grilles, radiators, in-floor heating, etc. A small room might only need one diffuser, but a larger room may require two or more. Ventilation, exhaust and fresh air supply. Locate and label energy supply, AHU, condensing unit, boiler and all other equipment required Schedule with symbols and description. Provide brief written description for why the system was chosen including notation of energy type used. Include passive techniques considered. Drawing Hint: HVAC is shown on the floor plan. Ductwork is typically shown on the floor it is on (floor-to-floor) even if it is overhead or in a ceiling space. Diffusers or grilles are shown on the floor they serves. If diffusers and grilles are on the ceiling, the should also appear on your RCP. 2B) Plumbing Plans- 1:50 Assume a standard supply and drain-waste-vent system with no a grey water integration. Do not include rainwater drainage. Assume municipal services come at lane way. Include the following; Layout out of drin-waste-vent system and hot and chilled water supply. Locate and label energy supply, incoming supply, and water heater. Locate and label stacks vents and drain stacks and main drain line and sewer connection. Schedule with symbols and description. Drawing Hint: Plumbing is typically shown on the floor it serves and below (ceiling-to-ceiling). Diffusers or grilles are shown on the floor they serves 2C) Electrical Plans Assume municipal services come from laneway hydro pole. Note, no circuits design required, nor do branch circuits need to be identified. Include the following; Locate and label power entering the coach house, meter and the main panel. Provide receptacle locations (interior and exterior) to support spaces design and use in addition to equipment or other electrical fixtures or devices. Locations of any other power use such as HVAC and plumbing if required. Schedule with symbols and description. 2D) Lighting Plans (RCP) The lighting solution and fixtures should be designed and selected to suite spatial and functional design requirements. Include the following; Selected fixtures/luminaires representing by appropriate symbols Circuits will be shown for the lighting with returns to switches shown on drawing to indicate switching pattern. Schedule with lighting symbols (w/ fixture number or letter) and description. Provide brief written description of your lighting design approach and how it meets the design of your space. Drawing HINT: Your lighting design solution can include switchable outlets. Show this in the Lighting Plan This is not a test of your knowledge of industry standards and graphics or even advanced technical drawing skills, but whether you understand the elements in the system and how they work and fit together in your design. Focus on drawing clarity. Utilize the example symbols provided, examples from the lecture or your own research. Not every element needs a symbol, you can also utilize labels or annotation notes, and smaller secondary or tertiary components do not need to be identified. Although actual specifications of equipment and fixtures are required in construction and tendering documents, please assume generics solutions.
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CUC107 Applying Cultural Capabilities of Strategies

CUC107 Applying Cultural Capabilities of Strategies

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CUC107 Applying Cultural Capabilities Report

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9

  • Course Code: CUC107
  • Course Title: applying cultural capabilities report
  • University: University of Tasmania
  • Country: AU

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ISYS2007 Database|DDL-Schema

ISYS2007 Database|DDL-Schema

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ISYS2007 Database

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  • Course Code: ISYS2007
  • Course Title: database
  • University: Curtin University
  • Country: AU

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FIN80005 Corporate Financial Management- Analyze The Historical Return

FIN80005 Corporate Financial Management- Analyze The Historical Return

Task

After learning about the risk and return topics, you are interested to perform some analysis concerning the risk and return trade-off of various asset classes. You also learn about the benefits of diversification and would like to examine whether there are diversification benefits from investing across asset classes. In particular, you are interested to examine two traditional stock and bond indices, namely S&P/ASX200 and S&P Aggregate Australian Bond Index. You are growingly concerned about issues associated with sustainability outlined by the United Nations.
 
Therefore, you are interested to examine two sustainable indices, namely the S&P/ASX 200 ESG Index and S&P Green Bond Index. All indices are listed as follows. You can click on the hyperlinks to find out more about these indices. 
1) S&P/ASX200
2) S&P Aggregate Australian Bond Index
3) $&P/ASX 200 ESG Index
4) S&P Green Bond Index 
The indices or prices for these asset classes are available from the Excel File named ‘FIN80005 Index levels for various asset classes’. They are real financial data downloaded from the S&P Global website.

Requirements:

1) Calculate the average return and standard deviation of these asset classes over the last five years from July 2016 to June 2021. Note that you are provided with index levels so you will have to calculate returns for these asset classes. Provide brief commentary on the historical performance.
 
2) Analyze the historical return relationships of these asset classes. Provide brief commentary on the correlations of these asset classes. 
 
3) Form an equally-weighted portfolio by investing the same proportion in S&P/ASX200 and S&P Aggregate Australian Bond Index. Based on your portfolio, perform backtesting and calculate the average return and standard deviation if you had held the portfolio for the last five years. Is the portfolio superior in terms of its risk and return tradeoff compared to individual asset classes?
 
4) Repeat (3) above but now using all four asset classes. Form an equally-weighted portfolio with these four asset classes. Perform backtesting and calculate the average return and standard deviation if you had held the portfolio for the last five years. Based on your findings, do you think that it is possible to earn a similar rate of return and at the same time, consider the sustainability aspect?
 
5) Provide recommendations concerning diversification and sustainability investing based on your findings.
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BF054E Financial Derivatives- Facilitate Financial Planning

BF054E Financial Derivatives- Facilitate Financial Planning

Task

(1) Whether to use derivative instruments
(2) The content of financial operations (Ex Fwd/Future/Option…)
(3) The effect of financial operations (Ex cash flow…)
(4) Other suggestions

Case 1: 

Company A is the world’s top-ranked paper manufacturer. The company’s financial report is priced in U.S. dollars.
 
Purchase 2 million hectares of forest land in Canada for 900 million Canadian dollars in February 2021
Purchase 1 million hectares of forest land in New Zealand for 500 million New Zealand dollars in June 2021
Acquire Brazil’s largest paper manufacturer for 900 million Brazilian dollars in August 2021
 
The above transaction is expected to be completed before the end of the year
The company’s profit margin is about 15%
The cost of a 10-year U.S. dollar loan is about USD3MLibor+80bps 10Y USD IRS 1.8%
Canadian dollar/New Zealand dollar/Brazilian dollar annual forward foreign exchange hedging cost 1%/1.3%/9%
 
The company’s strategy is
(1) Does not bear the exchange rate impact of the balance sheet
(2) There are definite interest payments to facilitate financial planning. As the new chief financial officer, how can you achieve it?

Case 2:

Company B is a well-known consistent production grain and oil group/factory located in North China, Northeast and other places.
 
Assets over RMB 5 billion / equivalent cash 2.5 billion
The value of FOB cargo per ship is about 40 million U.S. dollars
Purchase at least 2 ships per month, payment in USD. 
Shipping schedule 3 months, 1 month for processing and sales, TT cash transaction
Adopt JIT low inventory management
Sales competition is fierce and there is no room for price increase, profit is only about 6% when operating properly
Large changes in soybean prices / real-time exchange rate changes.
Newly built factories of the same scale costs about RMB 1.5 billion
The cost of company loan is about 5%
 
The company’s strategy is to quickly double its production capacity to seize the market without losing money. As the chief financial officer, how do you plan to ensure proper operation and not lose money?

Case 3:

Company C is a well-known raw material trader in Singapore
Assets of $500 million
Approximately USD250 million in cash/ USD 50 million in long-term liabilities/ USD 50 million in short-term liabilities
No long – and short-term liabilities
The amount of credit granted by the banks is approximately US$100 million
The company has been downsized with only three people in charge of finance and purchasing
Approximately 24 million barrels of crude oil are purchased annually and monthly purchase volumes are not affected by the season.
The payment will be paid within 30 days and the purchase price of this month will be 10% higher than the average purchase price of last month
Current year crude oil price USD40/barrel and future direction unknown
The futures price for the next delivery date is USD43/barrel  and the market has a premium of $3 per quarter
The company’s goal is to ensure monthly and annual purchase quantity.  As the chief financial officer, how would you plan?

Case Four:

Company D is the world’s top cabinet manufacturer
Headquarters in the Virgin Islands
Annual revenue of USD 360 million, annual growth rate of 10%, little change in monthly revenue, gross profit margin of 6%
U.S. dollar is the main currency for payment and receipt
No RMB income
The factories are located in Guangdong (80%) and Taiwan (20%)
Personnel expenses account for 50% of revenue
Raw materials accounted for 30% of revenue, purchased locally in RMB and U.S. dollars respectively
No long-term and short-term liabilities
The credit amount given by each bank is approximately US$50 million
Estimated that the cost of building a new factory in China is about CNY 900 million cents invested in 3 years.
 
Shareholders hope that the cash flow and revenue in the financial report will maintain steady growth in the next two years. As the chief financial officer, how do you plan?

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AFIN8003 Banking and Financial Intermediation-risk management change going forwa

AFIN8003 Banking and Financial Intermediation-risk management change going forwa

Task:

Please write a report with (excluding bibliography and appendix) focusing on the following questions.

1. Main players and their contribution to the crisis. There are interactions of the below players, please briefly describe how the players together contribute to the crisis.
a. Banks
b. Fed
c. Borrowers
d. Rating agencies

2. What are some key lessons learned so far for banks?

3. How should risk management change going forward?

4. What was “risk management” at Morgan’s Private Bank?

5. Putting yourself in Mary Erdoes’ shoes, what would have concerned you about risk management at the Private Bank? What would you have done about your concerns?

6. Is Morgan’s Private Bank’s risk management model sustainable/applicable elsewhere? 

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ACFI3001 Accounting Theory And Accounting Management

ACFI3001 Accounting Theory And Accounting Management

Question:

A year ago you bought shares in an investment company. The investment company in turn buys, holds and sells shares of business enterprises. You want to use the financial statements of the investment company to assess its performance over the past year.

  1. What financial information about the investment company’s holdings would be most relevant to you?
  2. The investment company earns profits from appreciation of its investment securities and from dividends How would the concepts of recognition in the Conceptual Framework apply here?
The manager of Gladstone Ltd is not convinced of the scientific evidence behind climate change, and does not consider it necessary to adopt changes in the company’s operations which would decrease its greenhouse gas emissions. Gladstone Ltd.’s accountant, however, has argued that if the company does not try to decrease its greenhouse gas emissions, the company’s carbon footprint will begin to appear on its statement of financial position with the introduction of a carbon emissions trading scheme.
  1. Explain why will carbon footprint be appearing on the statement of financial position?
  2. Would that footprint’ be visible to investors? Explain its consequence.
You are an accountant having long professional experience in dealing with lease arrangements. The company board has requested you to explain the following two questions for them so that they can have a clear understanding about the impact of lease on the financial position of the business:
  1. How will the accounting treatment be different if Finance Lease involving a Financier Lessor change to Finance Lease involving a Manufacturer/ Dealer lessor?
  2. Identify three possible adverse effects on an entity’s financial statements arising from recognition of a lease arrangement on the statement of financial position.

Determine whether the following transactions are related party transactions under AASB 24/IAS 24 and explain.

  1. A performance-related amount paid to the directors of the entity.
  2. A loan for $100 000 that was made to a retired director of an entity, and which was written off as an uncollectible debt during the current financial year.
  3. A loan of $30 000 advanced to the chief financial officer of an entity and which is outstanding at the end of the reporting period.
  4. An annual cash bonus amount paid to factory workers employed by the entity
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