Question: a) A fund manager has received a notification that his firm will have excess fund of 35 million for a short period of six months

a) A fund manager has received a notification that his firm

a) A fund manager has received a notification that his firm will have excess fund of 35 million for a short period of six months from December 15, 2021. The fund will be placed in one of the banks, but he is concerned that in the near future, interest rates might decline due to the uncertainty in the regional market. 1) Today is October 15, 2021, and market data are available below. Suggest a strategy to the fund manager to prevent the potential loss of interest revenue. Spot KLIBOR 92.4 December 3-month KLIBOR futures 93.8 March 3-month KLIBOR futures 95.6 June 3-month KLIBOR futures 96.0 (4 marks) i) The information at maturity is given below. Determine the effective rate of interest taking such action for every 90 days. Comment on the outcome. December 2021 March 2022 Spot KLIBOR 95.0 Spot KLIBOR 96.0 December 3-month KLIBOR 95.3 futures March 3-month KLIBOR 95.5 March 3-month KLIBOR 96.8 futures futures June 3-month KLIBOR futures 95.9 June 3-month KLIBOR futures 97.2 September 3-month KLIBOR 96.2 September 3-month KLIBOR 97.9 futures futures (11 marks) a) A fund manager has received a notification that his firm will have excess fund of 35 million for a short period of six months from December 15, 2021. The fund will be placed in one of the banks, but he is concerned that in the near future, interest rates might decline due to the uncertainty in the regional market. 1) Today is October 15, 2021, and market data are available below. Suggest a strategy to the fund manager to prevent the potential loss of interest revenue. Spot KLIBOR 92.4 December 3-month KLIBOR futures 93.8 March 3-month KLIBOR futures 95.6 June 3-month KLIBOR futures 96.0 (4 marks) i) The information at maturity is given below. Determine the effective rate of interest taking such action for every 90 days. Comment on the outcome. December 2021 March 2022 Spot KLIBOR 95.0 Spot KLIBOR 96.0 December 3-month KLIBOR 95.3 futures March 3-month KLIBOR 95.5 March 3-month KLIBOR 96.8 futures futures June 3-month KLIBOR futures 95.9 June 3-month KLIBOR futures 97.2 September 3-month KLIBOR 96.2 September 3-month KLIBOR 97.9 futures futures (11 marks)

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