VC-FT-EKRP321.

1-1
Requirements for this paper/Benodighede vir hierdie vraestel: Resources/Hulpmiddels:

Answer Scripts/ Multi-choice cards (A4)/

Antwoordskrifte: X Multikeusekaarte (A4)
Attendance Slips (Fill-in Paper)/ Graph Paper/
Presensiestrokies (Invulvraestel): GrafiekPapier
Scrap Paper/ Calculators/
Rofwerkpapier Sakrekenaars X
Multi-choice cards (A5)/ Laptop (Power not provided)/
Multikeusekaarte (A5) Skootrekenaar (Krag word nie voorsien nie)

Type of Assessment/ Duration/ 3 Hrs 00 Min

Tipe Assessering:
Exam Opportunity:1 Tydsduur:

Paper Number/ Maximum Marks/ 100

1
Vraestel Nommer: Maksimum Punte:

Module Code/ Module Description/

EKRP321 FINANCIAL MARKETS
Modulekode: Module Beskrywing:

Examiner(s)/ Mariëtte Geyser-PC;Danny Date/

Eksaminator(e): Mokatsanyane-VC;Ruschelle 2022/11/23
Datum:
Sgammini-VC;
Time/
Tyd: 09:00
Internal/Interne
Suné Ferreira-Schenk-VC;
Moderator(s): Qualification/
Kwalifikasie: BCom; BSc
External Moderator(s)/ Ivan van der Merwe
Eksterne Moderator(s):

Submission of answer scripts/Inhandiging van antwoordskrifte: ORDINARY

 Sakrekenaars/Calculators: JA / YES
Benodigdhede vir hierdie vraestel/Requirements for this paper: Ander hulpmiddels/Other resources:
Antwoordskrifte/ Multikeusekaarte (A5)/ Geen / None
X
Answer scripts: Multi-choice cards (A5):

Presensiestrokies (Invulvraestel)/ Multikeusekaarte (A4)/

X
Attendance slips (Fill-in paper): Multi-choice cards (A4):

Rofwerkpapier/ Grafiekpapier/
Scrap paper: Graph paper:

Tipe Assessering/ Eksamen 1e geleentheid Kwalifikasie/ BCom; BSc

Type of Assessment: Exam 1st opportunity Qualification:

Modulekode/ Tydsduur/ 3 ure

EKRP 321
Module code: Duration: 3 hours
Module beskrywing/ Finansiële markte
Maks/
Module description: Financial markets 100
Max:

Dr M Geyser
Eksaminator(e)/ Datum/
Ms R Sgammini 23/11/2022
Examiner(s): Date:
Mr D Mokatsanyane
Interne/Internal Tyd/
Prof S Ferreira-Schenk 09:00
Moderator(s): Time:
Eksterne Moderator(s)/
Dr I van der Merwe (UFS)
External Moderator(s):

INSTRUKSIES / INSTRUCTIONS
BEANTWOORD ASSEBLIEF AL DIE VRAE. / PLEASE ANSWER ALL THE QUESTIONS.

Eksamenvoorskrifte / Examination instructions

1. Studente mag in die eerste halfuur van 'n sessie tot die lokaal toegelaat word, 1. Students are allowed into the venue in the first half hour of a session, but no
maar geen ekstra tyd word toegestaan nie. extra time is granted.
2. Geen student word toegelaat om die lokaal te verlaat binne die eerste halfuur 2. No student is allowed to leave the venue before half an hour of the
van 'n eksamensessie nie. examination session has elapsed.
3. Studente bring sakke na lokaal op eie risiko, en moet dit voor in die lokaal 3. Students bring bags to the venue at own risk, and must put them in front of
neersit. the room.
4. Studente mag nie selfone/elektroniese toestelle by hulle hê en/of hanteer nie. 4. Students may not have cell phones/electronic devices with them and/or
handle them.
5. Geen verversings word in 'n eksamenlokaal toegelaat nie.
5. No refreshments are allowed in the examination venue.
6. Studente mag nie die lokaal verlaat om te gaan rook nie.
6. Students may not leave the room for a smoke break.
7. Skryf op beide kante van die bladsye.
7. Write on both sides of each page.
8. Skryf slegs in swart of blou ink.
8. Write in black or blue ink only.
9. Geen bladsye mag uit die antwoordskrif verwyder word nie.
9. No pages may be removed from the answer scripts.
10. Studente mag nie ontoelaatbare materiaal by hulle hê tydens 'n sessie nie,
bv. notas en/of objekte wat notas bevat nie. 10. Students may not have unauthorised material with them during a session, e.g.
notes and/or objects that contain notes.
11. Geen items mag tydens die sessie geleen word nie.
11. No items may be borrowed during the session.
12. Studente mag nie 'n ander student probeer help of probeer om hulp te kry nie.
12. Students may not attempt to assist another student, or attempt to obtain
13. Studente moet hul antwoordskrifte aan toesighouers oorhandig voordat hulle
assistance.
die lokaal verlaat.
13. Students must hand in their answer scrips to invigilators before they leave the
14. Die presensiestrokie op die agterblad, wat ook as onderneming geld, moet
venue.
voltooi en ingegee word.
14. The attendance slip on the back cover that also serves as an undertaking,
must be completed and handed in.
AFDELING B / SECTION B (Geld- & Kapitaalmark / Money & Capital Market) [14]
VRAAG 1 / QUESTION 1 [14]
Ontleed die volgende inligting ten opsigte van staatseffek (bond) R186, en beantwoord die volgende
vrae: / Analyse the following information on government bond R186, and answer the following
questions:

Kode van obligasie / Bond code R186

Republiek van Suid-Afrika /
Uitreiker / Issuer
Republic of South Africa
Uitreikdatum / Issue date 23 Nov 2022
Tyd tot verval / Term to maturity 2 jaar / 2 years
Jaarlikse koeponkoers / Annual coupon rate 10.50% (NACS)
Opbrengs-tot-vervaldatum / Yield-to-maturity 9.25%
Sigwaarde / Face value R 4 500 000.00
Kontantvloei op eerste koeponbetalingsdatum /
R 236 250
Cashflow on first coupon payment date
Kontantvloei op vervaldatum / Cashflow on maturity date R 4 736 250.00

a) Effek R186 verhandel tans teen R4 685 250.35. Is dit ʼn goeie prys gegewe dat die huidige
koers in die mark vir soortgelyke instrumente 11.20% beloop? / Bond R186 currently trades
at R4 685 250.35. Is this a good price given that the current market rate on similar
instruments trades at 11.20%? (3)
b) Bereken die “Oh-one” van effek R186, teen die huidige markkoers (11.20%), en dui aan hoe
die prys van die staatseffek sal reageer op veranderinge in rentekoerse. / Calculate the Oh-
one of government bond R186, at the current market rate (11.20%), and indicate how
the price of the bond will be affected by changes in interest rates? (3)
c) Bereken die “Macaulay”-tydsduurte van staatseffek R186 deur gebruik te maak van die
koepon kontantvloeie soos aangegdui in die oorspronklike inligting. / Calculate the Macaulay
duration of government bond R186 by making use of the coupon cash flows as
indicated in the original information. (4)
d) Bereken die aangepasde tydsduurte van staatseffek R186. / Calculate the modified duration
of government bond R186. (2)
e) Bereken die prys van staatseffek R186 indien rentekoerse met 75 basispunte styg. / Calculate
the price of government bond R186 if interest rates rise by 75 basis points. (2)

EKRP 321 – 1STE EKSAMEN GELEENTHEID / 1ST EXAM OPPORTUNITY – 2022 5/9
AFDELING C / SECTION C (Vooruitkontrakte / Forwards Contracts) [10]
VRAAG 1 / QUESTION 1 [4]
Bereken wat ʼn uitvoermaatskappy sal betaal vir hul ponde in rand terme 90 dae van nou af indien
hul gebruik sou maak van ʼn “outwright forward”. Die volgende inligting is beskikbaar: / Calculate
what an export company would pay for their pounds in rand terms 90 days from now if they
used an outright forward. The following information is available:
• Rentekoers in China is 3.65%. / Interest rates in China is 3.65%.
• Rentekoers in die VK is 1.75%. / Interest rates in the UK is 1.75%.
• £/¥ wisselkoers is tans GBP/CNY 7.98. / £/¥ exchange rate currently is GBP/CNY 7.98.

VRAAG 2 / QUESTION 2 [6]

ʼn Pensioenfonds sal oor 100 dae R 10 200 000 ontvang, maar sal die geld oor 360 dae van nou af
terugeis. Hulle glo dat die SARB rentekoerse oor die volgende paar kwartale gaan verlaag en nader
Grey Bank om ʼn 260-dae NCD te vra. Bereken die “implied forward rate” (IFR), gegewe die volgende
beskikbare inligting. Bewys ook dat die IFR gebruik kan word om die opbrengs op die
beleggingsbedrag te bereken vir ʼn toekomstige belegging deur te wys dat dit dieselfde resultaat gee
as die toekomstige waarde van die langtermyn belegging. / A pension fund will receive
R10 200 000 in 100 days’ time but will require the money back in 360 days’ time from now.
They believe that the SARB will decrease interest rates over the next few quarters and
approach Grey Bank to ask for a 260-day NCD. Calculate the implied forward rate (IFR), given
the following available information. Also prove that the IFR can be used to calculate the return
on an investment made in the future by showing that the maturity value is equal to that of the
long-term investment.
• Lokokoers op ʼn 100-dae NCD is 7.50%. / Spot rate on a 100-day NCD is 7.50%.
• Lokokoers op ʼn 360-dae NCD is 9.75%. / Spot rate on a 360-day NCD is 9.75%.

AFDELING D / SECTION D (Termynkontrakte / Futures Contracts) [20½]

VRAAG 1 / QUESTION 1 [5]

Bereken die redelike waardeprys (“fair value price”) (FVP) van ʼn individuele obligasie (bond)
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 price” = R 250

• rfr = 8.30%
• ftd = 20 November 2022
• fvd = 18 September 2022
• cd2 = 25 Desember / December 2022
• c = 23.00%

VRAAG 2 / QUESTION 2 [4½]

Mnr Shepard het 6000 ton mielies wat hy oor 3 maande wil verkoop. Die huidige mielieprys is
R5 299.80 per ton terwyl stoorkoste 3.75% van die waarde van die mielieprys beloop.
Finansieringskoste vir mielies is teen ʼn rentekoers van 8.25% per jaar van die nominale waarde
daarvan. Antwoord die volgende vrae: / Mr Shepard has 6 000 tons of maize that he wants to sell
in 3 months’ time. The current maize price is R5 299.80 per ton while storage costs amount to
3.75% of the value of the maize. Financing cost on the maize is at an interest rate of 7.25% per
annum of the nominal value. Answer the following questions:
2.1) Bereken die billikewaardeprys van die mielie-termynkontrak? / Calculate the fair value price
of the maize futures contract? (2)
2.2) Indien Mnr Shepard sy mielies verskans het teen R5 400.00 per ton, wat sal die totale saldo
op sy variasierekening wees indien die mielieprys verlaag na R5 032.60 per ton? Veronderstel
ʼn beginsaldo van R125 000 in sy rekening. / If Mr Shepard hedged his maize at R5 400.00
per ton, what will the total balance on his variation account be if the maize price
increases to R5 032.60 per ton? Assume a starting balance of R125 000 in his account.
(2½)
EKRP 321 – 1STE EKSAMEN GELEENTHEID / 1ST EXAM OPPORTUNITY – 2022 6/9
VRAAG 3 / QUESTION 3 [11]
Bereken die balans op die variasierekening op 22 Desember 2022 gegewe die volgende inligting: /
Calculate the balance on the variation account on 22 Decmber 2022, given the following
information:
“Futures”-
kontrak verval / Trefprys /
Kontrak / Datum / Transaksies / Kontrak /
Futures Q Strike
Contract Date Transactions Contract
contract price
expire
HXUSEP22 23/09/2022 2022/07/10 Koop / Buy 13 HXUSEP22 6 876.00
HXVOCT22 24/10/2022 2022/07/12 Koop / Buy 15 HXVOCT22 6 914.00
HXZDEC22 22/12/2022 2022/08/14 Koop / Buy 5 HXUSEP22 6 899.00
2022/09/16 Verkoop / Sell 18 HXUSEP22 6 917.00
2022/09/18 Koop / Buy 6 HXVOCT22 6 893.00
2022/10/02 Verkoop / Sell 21 HXZDEC22 6 872.00
2022/10/18 Koop / Buy 17 HXZDEC22 6 980.00
2022/10/22 Verkoop / Sell 21 HXVOCT22 6 772.00
2022/11/05 Verkoop / Sell 5 HXZDEC22 6 735.00
2022/12/20 ? ? HXZDEC22 6 678.00

AFDELING E / SECTION E (Opsies / Options) [22]

VRAAG 1 / QUESTION 1 [10]
Bereken die waarde van ʼn 60-dae Europese styl put (verkoop)-opsie, gegewe die volgende inligting,
asook die tabel van standaard kumulatiewe verspreidingsfunksies (sien die laasgenoemde aan die
einde van die vraestel): / Calculate the value of a 60-day European style put option, given the
following information, as well as the table on standard normal cumulative distribution
functions (see the latter at the end of the paper):

Trefprys (E) / Strike price (E) R 1 300.00

Lokoprys (S0) / Spot price (S0) R 1 600.00
Volatiliteit (𝜎𝜎) / Volatility (𝝈𝝈) 20%
Risikovrye koers (r) / Risk-free rate (r) 5.71%

VRAAG 2 / QUESTION 2 [12]

Beskou die inligting op die opsie-skerm en teken die afkoopdiagramme: / Observe the information
on the option screen and draw the payoff diagrams:

Opsie / Option Calls Puts Vervaldatum / Expiry date

Tref-prys / Strike price 1500 1700
1 07/12/2022
Premie / Premium 150 120
Tref-prys / Strike price 2000 2000
2 07/12/2022
Premie / Premium 100 140
Tref-prys / Strike price 2500 2300
3 07/12/2022
Premie / Premium 75 170
a) Stel ʼn kort “butterfly” saam deur gebruik te maak van verkoopopsies (put) – wys die
afkoopdiagram. / Compile a short butterfly by using put options – show the payoff
diagram. (5)
b) Stel ʼn kort wurgstrategie (strangle) saam – wys die afkoopdiagram. / Compile a short
strangle strategy – show the payoff diagram. (4)
c) Stel ʼn lang “straddle” saam – wys die afkoopdiagram. / Compile a long straddle – show the
payoff diagram. (3)
EKRP 321 – 1STE EKSAMEN GELEENTHEID / 1ST EXAM OPPORTUNITY – 2022 7/9
AFDELING F / SECTION F (Ruiltransaksies / Swaps) [8½]
VRAAG 1 / QUESTION 1 [6]
Jy betaal ʼn lening teen die prima rentekoers (9.00%). Jy is onseker oor die volgende Reserwebank
se besluit rakende die repokoers, maar is bevrees dat koerse kan styg. Jy het die volgende
deelnemingsruiltransaksie alternatiewe: / You are paying a bank loan at prime (9.00%). You are
unsure of the next Reserve Bank decision regarding the repo rate but are afraid that rates
might increase. You have the following participation swap alternatives:
a) ʼn Maksimum vastekoers van 9.75% met 40% deelname. / A maximum fixed rate of 9.75%
with 40% participation.
i) Watter rente (%) sal jy betaal indien prima verander na 9.25%? / What interest (%) will
you pay if prime changes to 9.25%? (1)
ii) Watter rente (%) sal jy betaal indien prima verander na 10.00%? / What interest (%)
will you pay if prime changes to 10.00%? (1)
iii) Interpreteer jou antwoorde. / Interpret your answers. (1)

b) ʼn Maksimum vastekoers van 12.50% met 70% deelname. / A maximum fixed rate of 12.50%
with 70% participation.
i) Watter rente (%) sal jy betaal indien prima verander na 9.25%? / What interest (%) will
you pay if prime changes to 9.25%? (1)
ii) Watter rente (%) sal jy betaal indien prima verander na 10.00%? / What interest (%)
will you pay if prime changes to 10.00%? (1)
iii) Interpreteer jou antwoorde. / Interpret your answers. (1)

VRAAG 2 / QUESTION 2 [2½]

Hoe sal jy te werk gaan om ʼn “zero-cost collar” in plek te stel vir ʼn pensioenfonds met blootstelling
aan staatseffekte? / How would you go about constructing a zero-cost collar with exposure to
government bonds?

TOTAAL: / TOTAL: 100

EKRP 321 – 1STE EKSAMEN GELEENTHEID / 1ST EXAM OPPORTUNITY – 2022 8/9