What is the value of an investor

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Parramatta Enterprises (PE) has recently issued $23 million in floating rate notes in order to fund the next stage of an investment project. The notes pay an annual coupon of BBSW plus 140 basis points. The company approaches Commonwealth Bank (CBA) to establish an intermediated vanilla swap. The swap contract sets a fixed rate of 7.80 per cent per annum and a reference rate of the 12-month BBSW.

At the first interest payment date, the BBSW is 7.85 per cent per annum. How much is PE required to pay CBA at the first interest payment date? (two decimal places, a negative number indicates that PE receives the payment)

What is the value of an investor's (well diversified) portfolio following a fall in the S&P/ASX Index from 7300 to 6450, if the initial portfolio value was $30 million and the investor used S&P/ASX 200 Index futures contracts to hedge the portfolio?

Reference no: EM133253184

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