1. What interest rate is implied by the price of the December ED Futures contract?
2. Calculate a 3/6 Fra rate and 6/12 Fra rates based on the SHIBOR fixings. Assume 91, 182 and 365 days for 3 months, six months and one year.
3. If a single SOFR futures contract is purchased at 97.71 and sold at 97.98, what is the gain or loss?
4. Calculate 3 month (91 day) & 6 month (182) day forward Yuan FX Rates based on libor and SHIBOR fixings and CNH offshore spot rate.
5. Calculate Jun-Jun IMM swap rate using ED futures. Ignore convexity. Start with the front June contract. Assume 91 day runs.
6. What is the convexity adjustment for a 5 year ED future priced at 98.50. Assume sigma=0.014
7. A risk manager is reviewing the current holdings of a portfolio of investments. If the portfolio had been held over the past 3 years(750 business days), the 10 worst losses would have been, 377.5, 280, 2201, 124, 666.67, 756, 897, 5645, 435, 3689. What is the current one day VAR using a 3 year lookback at the 99% confidence level ? Use the historic simulation method.
8. What is the 30 day VAR based on the above method?
9. The risk manager is also considering a $10mm portfolio of 2 assets. The first asset is in the amount of $3.5mm and has a std deviation of 1.5%. The second asset is in the amount of $6.5mm and has a standard deviation of 1.1 %. The correlation coefficient, rho between the 2 assets is 0.31. What is the standalone VAR of each asset at the 95% confidence level ? What is the VAR for the 2 asset portfolio at the 95% confidence level. If it is less than the sum of the 2 standalone VARs, explain why.

 

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93 to Save United United States of America Fed Funds | FOMC >> FDFD 0.3200 OBFR01 Commercial Paper 30D 90D Spot FX | FXC >> JPY States of America as Default View Browse 09:05:06 Fed O/N Repo 0.3400 SOFR 0.32 TGCR BGCR 0.470 AFX 0/N Rate 0.850 EUR GBP CAD Dow Jones DJIA 34861.24 US Bonds | FIT >> T 1 /2 02/29/24 2.270 98-17+ T 14 03/15/25 2.504 97-27 96-29 900 EUR$ FUT SOFR FUT LIBOR 98-177 +00 JUN 98.3850 SFR1 99.493 1M 97-27+ +00 SEP 97.7100 SFR2 98.610 3M T1 02/28/27 2.546 96-294 +00 DEC 97.2550 SFR3 97.935 6M T1 02/28/29 2.551 95-22 95-23+ +00 MAR 96.9900 SFR4 97.530 T1 02/15/32 2.473 94-23 94-25 +00 JUN 96.8400 SFR5 97.230 T2 02/15/42 2.740 94-11 94-14 +00 SEP 96.8550 SFR6 97.105 T24 02/15/52 2.585 92-31 93-02 +00 Key Rates 122.0500 Prime 1.0983 BLR 1.3182 FDTR 1.2477 Discount Economic Releases | ECO>> US T-Bill 0.27 4W 0.13 +0.00 0.20 0.13 0.28 +0.00 0.31 0.27 1W 0.52 +0.00 0.53 0.51 2W 0.97 +0.00 0.98 0.96 1M 1.63 +0.00 1.62 1.59 0.30 2M 0.30 3M 6M AMERIBOR 0.35 1Y S&P 500 E-Mini Future +153.30 SPX Fut 4536.50 +24.00 Date Time C AMR Event Australia 61 2 9777 Japan 81 3 4565 8900 SOFR OIS Swaps 10Y Note Future 2.3640 CBT 2.3380 Commodities 2.2781 NYM WTI 2.1445 GOLD 3.50 3Y 2.25 5Y 0.50 10Y 0.50 30Y 1) 03/28 08:30 US Advance Goods Trade Balance 203/28 08:30 USl Wholesale Inventories MoM USD Deposit Rates Rev Repo (Bid/Ask) 0/N 0.3100 0.4600 O/N 0.30 0.26 0.30 0.28 0.0900 0.8000 1W 0.3300 0.4800 2W 0.4500 0.7500 1M 0.30 0.28 0.32 0.28 NASDAQ Composite Index CCMP 14169.30 121-17+ 113.90 1958.29 CRB Commodity Index 307.33 BSBY Fix 0.45 0/N 0.33 0.98 1.45 1M 0.41 -22.54 CRB Funds Future -1-12 MAR 99.800 Treasury & Money Markets Period Surv(M) Actual Feb-$106.3b 1.2% 119 +2.48 SOFR Fix 0.27 3M 0.88 0.62 6M 1.32 1.01 1Y 1.86 1.59 30Y MBS | BBTM >> FNCL 2.5 94-11+ 94-13 +00 +1.56 +0.60 G2SF 2.5 96-03 96-05+ +00 Current Coupon 3.706 0.30 Prior Revised --$107.6b * 02/2000-2015-00 Brazil 5511 2395 9000 Europe 44 20,7350 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Feb P | Detail Imenntoring Moll Singapore 65 6212 1000 Enh U.S. 1 318 2000 0.8% 1.0% 1.09 Copyright 2022 Bloomberg Finance L.P SN 1790614 EDT GMT-4:00 H444-165-173 27-Mar-2022 09:05:06 93 to Save United United States of America Fed Funds | FOMC >> FDFD 0.3200 OBFR01 Commercial Paper 30D 90D Spot FX | FXC >> JPY States of America as Default View Browse 09:05:06 Fed O/N Repo 0.3400 SOFR 0.32 TGCR BGCR 0.470 AFX 0/N Rate 0.850 EUR GBP CAD Dow Jones DJIA 34861.24 US Bonds | FIT >> T 1 /2 02/29/24 2.270 98-17+ T 14 03/15/25 2.504 97-27 96-29 900 EUR$ FUT SOFR FUT LIBOR 98-177 +00 JUN 98.3850 SFR1 99.493 1M 97-27+ +00 SEP 97.7100 SFR2 98.610 3M T1 02/28/27 2.546 96-294 +00 DEC 97.2550 SFR3 97.935 6M T1 02/28/29 2.551 95-22 95-23+ +00 MAR 96.9900 SFR4 97.530 T1 02/15/32 2.473 94-23 94-25 +00 JUN 96.8400 SFR5 97.230 T2 02/15/42 2.740 94-11 94-14 +00 SEP 96.8550 SFR6 97.105 T24 02/15/52 2.585 92-31 93-02 +00 Key Rates 122.0500 Prime 1.0983 BLR 1.3182 FDTR 1.2477 Discount Economic Releases | ECO>> US T-Bill 0.27 4W 0.13 +0.00 0.20 0.13 0.28 +0.00 0.31 0.27 1W 0.52 +0.00 0.53 0.51 2W 0.97 +0.00 0.98 0.96 1M 1.63 +0.00 1.62 1.59 0.30 2M 0.30 3M 6M AMERIBOR 0.35 1Y S&P 500 E-Mini Future +153.30 SPX Fut 4536.50 +24.00 Date Time C AMR Event Australia 61 2 9777 Japan 81 3 4565 8900 SOFR OIS Swaps 10Y Note Future 2.3640 CBT 2.3380 Commodities 2.2781 NYM WTI 2.1445 GOLD 3.50 3Y 2.25 5Y 0.50 10Y 0.50 30Y 1) 03/28 08:30 US Advance Goods Trade Balance 203/28 08:30 USl Wholesale Inventories MoM USD Deposit Rates Rev Repo (Bid/Ask) 0/N 0.3100 0.4600 O/N 0.30 0.26 0.30 0.28 0.0900 0.8000 1W 0.3300 0.4800 2W 0.4500 0.7500 1M 0.30 0.28 0.32 0.28 NASDAQ Composite Index CCMP 14169.30 121-17+ 113.90 1958.29 CRB Commodity Index 307.33 BSBY Fix 0.45 0/N 0.33 0.98 1.45 1M 0.41 -22.54 CRB Funds Future -1-12 MAR 99.800 Treasury & Money Markets Period Surv(M) Actual Feb-$106.3b 1.2% 119 +2.48 SOFR Fix 0.27 3M 0.88 0.62 6M 1.32 1.01 1Y 1.86 1.59 30Y MBS | BBTM >> FNCL 2.5 94-11+ 94-13 +00 +1.56 +0.60 G2SF 2.5 96-03 96-05+ +00 Current Coupon 3.706 0.30 Prior Revised --$107.6b * 02/2000-2015-00 Brazil 5511 2395 9000 Europe 44 20,7350 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Feb P | Detail Imenntoring Moll Singapore 65 6212 1000 Enh U.S. 1 318 2000 0.8% 1.0% 1.09 Copyright 2022 Bloomberg Finance L.P SN 1790614 EDT GMT-4:00 H444-165-173 27-Mar-2022 09:05:06