Tipe Assessering/ Opdrag 1 / Assignment 1 Kwalifikasie/ Bcom; BSc

Type of Assessment: Qualification:

Modulekode/ EKRP 321
Module code:
Module beskrywing/ Finansiële markte / Financial markets Maks/ 45
Module description: Max:
Eksaminator(e)/ Dr M Geyser Datum/ 27/09/2022
Examiner(s): Me/Ms R Sgammini Date:
Mnr/Mr D Mokatsanyane
Moderator: Prof. S Ferreira-Schenk Tyd/ 09:30
Time: Hardekopie indiening in klas /
Hard copy submission in
class

INSTRUKSIES / INSTRUCTIONS
BEANTWOORD ASSEBLIEF AL DIE VRAE. / PLEASE ANSWER ALL THE QUESTIONS.
Rond alle finale berekeningsantwoorde af tot die naaste 4 (vier) desimale. / Round all final
calculation answers to the nearest 4 (four) decimals.

VRAAG 1 / QUESTION 1 [5]

Gegewe die volgende inligting, bereken: / Given the following information, calculate:
• Veronderstelde waarde / Notional value = R 20 000 000
• Loko-koers op ʼn 91 dae instrument / Spot rate on 91-day instrument = 5.75% p.a.
• Loko-koers op ʼn 182 dae instrument / Spot rate on 182-day instrument = 6.35% p.a.

1.1 Die geïmpliseerde vooruitkoers. / The Implied Forward Rate (IFR). (2)
1.2 Die eindwaardes op beide instrumente. / The maturity values on both instruments. (3)

VRAAG 2 / QUESTION 2 [5]

Bereken die redelike waarde prys (Fair Value Price) (FVP) van ʼn individuele effek termynkontrak met
die volgende beskikbare inligting: / Calculate the Fair Value Price (FVP) of an individual bond
futures contract with the following available information:
• “All-in” prys / All-in price = 105
• rfr = 8.5%
• ftd = 30 November 2022
• fvd = 20 September 2022
• cd2 = 20 Desember / December 2022
• c = 10.5%

EKRP 321 – OPDRAG / ASSIGNMENT 1 (2022) 1/2

VRAAG 3 / QUESTION 3 [11]

Bereken die balans op die variasierekening op 21 November 2022, gegewe die volgende inligting: /
Calculate the balance on the variation account on 21 of November 2022, given the following
information:
“Futures”-
kontrak verval / Trefprys /
Kontrak / Datum / Transaksies / Kontrak /
Futures Q Strike
Contract Date Transactions Contract
contract price
expire
BILMAY22 2022/05/17 2022/02/10 Verkoop / Sell 15 BILMAY22 36 022
BILJUL22 2022/07/19 2022/03/12 Koop / Buy 10 BILJUL22 36 150
BILSEP22 2022/09/20 2022/03/14 Koop / Buy 15 BILMAY22 36 465
2022/03/16 Koop / Buy 10 BILJUL22 36 500

Variasie marge balans / 2022/03/27 Verkoop / Sell 15 BILSEP22 36 800

Variation margin balance 2022/04/19 Verkoop / Sell 30 BILJUL22 36 525
R 250 000.00 2022/05/27 Koop / Buy 45 BILSEP22 36 675
2022/06/08 Koop / Buy 10 BILJUL22 36 508
2022/06/23 Verkoop / Sell 15 BILSEP22 36 405
2022/07/09 Verkoop / Sell 15 BILSEP22 36 220

VRAAG 4 / QUESTION 4 [4]

Bereken wat ʼn uitvoermaatskappy sal betaal vir hul dollars in rand terme 60 dae van nou af indien
hul gebruik sou maak van ʼn “Outwright forward”. / Calculate what an export company would pay
for their dollars in rand terms 60 days from now if they used an Outright forward.
Die volgende inligting is beskikbaar: / The following information is available:
• Rentekoers in SA is 9.00%. / Interest rates in SA is 9.00%.
• Rentekoers in die VSA is 5.50%. / Interest rates in the USA is 5.50%.
• R/$ wisselkoers is tans VSA/ZAR 16.18. / R/$ exchange rate currently is USD/ZAR 16.18.

VRAAG 5 / QUESTION 5 [20]

Die volgende inligting ten opsigte van ʼn effek word voorsien: / The following information is
provided on a bond:
• Sigwaarde is R 5 miljoen / Face value is R 5 million
• Tyd-tot-vervaldatum is 8 jaar / Time to maturity is 8 years
• Koeponkoers is 7.25% NACSA / Coupon rate is 7.25% NACSA
• Opbrengs-tot-vervaldatum is 8.05% p.j. / Yield to maturity is 8.05% p.a.
• Huidige mark rentekoers is 7.50% / Current market interest rate is 7.50%
Bereken die volgende: / Calculate the following:
5.1 Die prys van die effek. / The price of the bond. (7)
5.2 Die “Macaulay” tydsduurte. / The Macaulay duration. (4)
5.3 Die aangepaste tydsduurte. / The modified duration. (2)
5.4 Die nul-een van die effek. / The OH One of the bond. (4)
5.5 Die prys van die effek indien rentekoerse styg met 25 basis punte. / The price of the bond
for a 25 basis point increase in interest rates. (3)

TOTAAL: / TOTAL: 45
EKRP 321 – OPDRAG / ASSIGNMENT 1 (2022) 2/2