Money Market

Financial Arithmetic Model Test 2

1 What is the value of USD 475 million (rounded to the nearest integer) in 3 months (89 days), if the rate of return for that interval is 4.55% per annum? 2 What is the compound factor (to six decimal places) in question (1)? 3 What is the value of USD 220 million (rounded to the nearest integer) in 1 week, if it is rolled over every day at the following overnight rates of return: Tuesday 2.25%

Wednesday 2.12%

Thursday 2.03%

Friday 2.17%

Monday 2.01%

4 What is the compound factor (to six decimal places) for each quarter in question (3)? , , , ,5 What is the value of CHF 250,000 (rounded to the nearest integer) in 1 month (28 days), if it is rolled over weekly at an average 1-week rate of return of 4.45% per annum?

6 What is the compound factor (to six decimal places) in question (5)? 7 What is the value today (rounded to the nearest integer) of a payment of GBP 5,750,000 due in 3 months (92 days), if the rate of return for that interval is 5.25% per annum?

8 What is the discount factor (to six decimal places) in question (7)? 9 How much would you have to invest today (rounded to the nearest integer) to have USD 220 million in 1 week if you rolled over your investment every day at the following overnight rates: Tuesday 9.05%

Wednesday 9.11%

Thursday 9.25%

Friday 9.55%

Monday 9.15%

10 What is the discount factor (to six decimal places) for each quarter in question (9)? , , , , 11 How much would you have to invest today (rounded to the nearest integer) to have USD 350 million in 2 weeks if you rolled over your investment daily at an average overnight rate of return of 3.25% per annum? 12 What is the discount factor (to six decimal places) in question (11)? 13 If an investment of USD 105 million increased in value to USD 105,078,604.17 after 7 days, what is the annualised rate of return (to three decimal places)? 14 What is the compound factor (to six decimal places) in question (13)? 15 A bank takes a 1-month deposit of USD 23 million, which it rolls over for 3 months (the day counts being 31, 28 and 31, respectively). If the bank has to pay back USD 23,132,239.88 (principal plus interest), what is its annualised effective average cost of borrowing (to three decimal places)? 16 What is the annualised nominal average rate of return in question (15)? 17 If a 1-month EUR deposit was rolled over for 3 months at the following rates:

1st month (31 days) 4.95%

2nd month (31 days) 5.05%

3rd month (30 days) 4.85% what is the annualised effective average rate of return (to three decimal places)? 18 What is the annualised nominal average rate of return (to three decimal places) in question (17)? 19 What is the annualised effective average rate of return (to three decimal places) if JPY 150 million is rolled monthly (each month being 30 days) for 6 months to produce JPY 152,834,564.42 (principal plus interest)? 20 What is the annualised nominal average rate of return in question (19)?

21 If a CHF bank bill with 91 days remaining to maturity is trading at a rate of discount of 2.85%, what is its true yield (to three decimal places)? 22 If a 91-day CHF bank bill with a face value of CHF 15 million is issued at a rate of discount of 2.85%, what are the issue proceeds (rounded to the nearest integer)? 23 What is 10.25% quoted on an A/365F-day basis converted to an A/360-day basis (to three decimal places)? 24 If you bought a new 91-day 5.25% CD for GBP 100 million and sold it after 61 days at a yield-to-maturity of 5.35%, what would be the sale proceeds (rounded to the nearest integer)?

25 What is the holding period yield (to three decimal places) in question (24)?