Contents Commented [1]: Toán FIM ra 100% dạng bài trong file

CHAPTER 2 2 này ạ
Mình tổng hợp và tự giải từ:
CHAPTER 5 2
- Ôn thi final của cô Hạnh
CHAPTER 6 4 - Testbank
Taxation, Frank credit /198 4 - Sách

liquidity ratio: 5
5.1 Estimating the price of a share 5
Valuing a share with a constant dividend: 6
Valuing a share with a constant dividend growth rate: 6
5.2 Bonus share issues 6
5.4 Share splits /209 7
5.5/ Pro-rata rights issues – Renounceable 8
Theoretical ex-right price 8
Value of right 8
CHAPTER 8 9
1.1/ Simple Interest Accumulation 9
1.2/ Present Value with Simple Interest /263 9
1.3/ Calculation of Yields /266 10
*Tính price 10
Yield to maturity (YTM) - The holding period yield (HPY) 11
2/ Compound interest /268 11
Compound Interest Accumulation (S or Future Value) 11
Present Value (A) With Compound Interest 12
Present Value of An Annuity /272 12
Accumulated Value Of An Annuity (Future Value) /276 13
Effective Rates Of Interest 13
CHAPTER 9 14
1/ Opportunity cost 14
4/ Calculations: discount securities /297 14
Calculating The Price Where the Yield Is Known 14
Calculating the face value where the issue price and yield are known 15
Calculating The Yield 15
Calculating The Price Where The Discount Rate Is Known 16
Calculating The Discount Rate /301 17
CHAPTER 10 17
Calculating the loan instalment on a term loan 17
amortised loan: ordinary annuity � instalment on a loan and mortgage loan 18
amortised loan: Annuity due 18
Calculations: fixed-interest securities/ 330 19
a/ Bond price/yield relationship 19
 b/ Price of a fixed-interest bond at a coupon date 19
c/ Price of a fixed-interest bond (sold) between coupon dates 20
CHAPTER 15 21
Speculative Transactions 21
Arbitrage Benefits 21
Spot market quotations 22
Two-Way Quotations 22
Transposing Spot Quotations 22
Calculating Cross-Rates 22
Finding forward rate 23
calculate forward points: 23
CHAPTER 18 24
Forward rate agreement (FRAs) 24
Forward foreign exchange contracts 24
Interest Rate Swaps – vanilla swap 25
CHAPTER 19 25
Orders and Agreement To Trade 25
Hedging: risk management using futures /605 26
a/ hedging the cost of funds (borrowing hedge) 26
b/ hedging the yield on funds (investment hedge) (Treasury bonds) 28
c/ hedging a foreign currency transaction /608 30
d/ hedging the value of a share portfolio. 30
e/ Hedging Against Volatility /610 31
Forward rate agreements /615 31
CHAPTER 20 32
call option profit and loss payoff profiles /630 32
Value of the option (long call, short call) 33
put option profit and loss payoff profiles /632 33
 CHAPTER 2
Basel III – Business indicator /63
The Basel III framework identifies ranges of bank income:
(1) up to $1 billion;
(2) between $1 billion and $30 billion;
(3) greater than $30 billion
along with coefficients of 12.00, 15.00 and 18.00 per cent, respectively.

For example, if a bank’s business indicator is $5 billion, then its BI factor would be $1 billion multiplied
by 0.12 plus $4 billion multiplied by 0.15, or $720 million. This BI factor is then multiplied by the
ILM, which will either increase or decrease the amount of capital required depending on the bank’s
record of losses.

CHAPTER 5
Present value = S(1+k)-n 1/ If you are promised a payment of $1 100 and the payment will be
S=future amount made one year from today, the present value of that payment is
K=current discount rate (decimal) determined by discounting it. The magnitude of the discount rate
n=the number of interest periods reflects the market’s assessment of uncertainty, risk, inflation and
people’s desire to save or consume. If the discount rate is 10.00 per
cent per annum, we find the present value of the $1 100 to be
Discount rate received one year from today by dividing it by one plus the discount
= required rate of return rate or 1.10. The present value is $1 000. (Ap dung ct dau tien)
= WACC weighted
average cost of capital
2/
The NPV decision rule: should
accept an investment proposal
that has a positive NPV and reject
any proposal with a negative NPV

Cách 2:
 3/ Find IRR (trong excel co nha) FIM Final excel

Thứ tự trả nợ: CBDA

 CHAPTER 6
Taxation, Frank credit /198
Find tax payable of franking credit

Liquidity
Current ratio: ratio of current assets to current liabilities
o Rule of thumb: current ratio = 1.5 is acceptable

o
 liquidity ratio:
current assets less stock, to current liabilities less the company’s bank overdraft
o more realistic
o rule of thumb: 0.7-0.8

Debt servicing /202

o Higher ratio � greater ability to cover interest commitments
o RO Thumb: minimum interest cover ratio of two times
o <1 � loss before tax
o Negative � loss before interest expense

Profitability /203
EBIT to total funds ratio and EBIT to long-term funds ratio:

ROE: Return of equity

5.1 Estimating the price of a share

Valuing a share with a constant dividend:
When a company’s dividend payments are expected to remain constant, such that D0 = D1 = D2 = ... Dn,
the share price can be calculated based on a perpetuity � Present value of perpetuity:

Valuing a share with a constant dividend growth rate:

Cum-dividend and ex-dividend share prices

5.2 Bonus share issues

Bonus issue where a company capitalises reserves through the issue of additional shares to shareholders
5.4 Share splits /209
- Share split a proportional division of the number of shares issued by a company
- enables the board of directors to lower the price of the stock without changing the capital
structure of the company or diluting the return to shareholders
5.5/ Pro-rata rights issues – Renounceable
Theoretical ex-right price

Value of right
 CHAPTER 8
1.1/ Simple Interest Accumulation

* d/365 = n; and 365 days per annum depend on different countries

1.2/ Present Value with Simple Interest /263

*Công thức ghi sai á nha; và Face value = future value
1.3/ Calculation of Yields /266
Yield or rate of return:

*Note that I=S-A

*Tính price
Yield to maturity (YTM) - The holding period yield (HPY)

2/ Compound interest /268

Compound Interest Accumulation (S or Future Value)
CHÚ Ý: compound monthly/yearly
Cẩn thận với i (tính theo tháng thì chia 12 giùm cái)
Present Value (A) With Compound Interest
Dựa vào công thức ở trên suy ra

Present Value of An Annuity /272

If the annuity periodic cash flows occur at the end of each period, this is known as an ordinary annuity. If
the cash flows occur at the beginning of each period, this is known as an annuity due.

Ordinary annuity: (at the end of period)

Annuity due: (at the beginning of the period)

Perpetuity: a cash-flow series where the same regular payment occurs each period forever
calculate The price of a bond, financial security (at a coupon date) is:- that pays a fixed coupon rate
of 12.00 per cent per annum compounding half-yearly and maturing in five years. Current yields in the
market are 9.00 per cent per annum. The 12.00 per cent fixed-interest coupon rate means that this bond
pays a coupon payment of $6 per $100 of face value every six months.
*Ko cho face value thì cứ cho: S=100; C=100*i (lưu ý: i theo bonds nha)

Accumulated Value Of An Annuity (Future Value) /276

Không có dấu trừ trước n nhé

Effective Rates Of Interest

nominal rate of interest is the annual rate and is the rate that is typically advertised as an investment or
borrowing rate
i is the nominal rate of interest per period and m is the number of compounding periods per annum.

CHAPTER 9
1/ Opportunity cost

4/ Calculations: discount securities /297

Calculating The Price Where the Yield Is Known
*Chú ý: Price của P-notes cũng tính chung CT sau
Câu hỏi: amount the company raise on the issue

Calculating the face value where the issue price and yield are known

Calculating The Yield

Notes:
- the yield is about: per annum
 - to calculate the holding period yield when a security is not held to maturity, use days held rather
than days to maturity in Equation above
- at the maturity date of a discount security, the sell price equals the face value

Dạng: mua đi bán lại, tính cả 2 yield

Calculating The Price Where The Discount Rate Is Known

Chú ý: USA’s day of year = 360
Trong hình, vì sao công thức nhìn rất ngắn gọn � vì days to maturity = days in 1 year

Calculating The Discount Rate /301

CHAPTER 10
1/ Instalment
Calculating the loan instalment on a term loan
- interest-only loan = principal amount x interest rate
For example, if a company obtained a $100 000 interest-only loan at 12.00 per cent per annum,
payable by quarterly instalments, then the quarterly loan payment would $100 000 × 0.03 = $3000.
Note that the 12.00 per cent per annum interest rate is divided by four to reflect the quarterly payment (i.e.
0.12/4 = 0.03).

amortised loan: ordinary annuity � instalment on a loan and mortgage loan

Hỏi: Calculate the monthly loan instalments
instalment on a mortgage loan

amortised loan: Annuity due

the loan instalments were payable at the beginning of the month
- cái công thức này giống ct ở trên discount (i+1) lần
Calculations: fixed-interest securities/ 330
a/ Bond price/yield relationship
Inverse relationship between the price of an existing fixed coupon bond and changes in the current yield
market.
- If current coupon rate rise � price of existing fixed-interest securities will fall
- If current coupon rates fall � the price of existing securities will rise.
Có thể đọc kỹ lại vì sao có relationship như thế

Bond yields can change when the perception of risk for either a particular borrower or for borrowers in
general changes.
- Risk + inflation increased � bond yield increases

b/ Price of a fixed-interest bond at a coupon date

With C is the periodic fixed coupon payment amount based on the fixed interest rate.
C = A* I (coupon) / n (coupon)
Lưu ý: Xác định đúng i cho C – bằng cách: cứ đi chung câu với FV, hoặc có chữ “coupon rat” là nó
c/ Price of a fixed-interest bond (sold) between coupon dates
Bài này khó ỉa
 CHAPTER 15
Speculative Transactions
If today:
Spot rate: USD1 = AUD0.7725
Exchange rate expected today + n days: USD1 = AUD0.8225 (USD appreciate)
Then, today:
Buy USD1 at a cost of AUD0.7725
Then, at today + n days:
Sell USD1 and obtain AUD0.8225

Arbitrage Benefits
USD1 = AUD1.3525
USD1 = SGD1.3525
AUD1 = SGD0.9870
AUD1 should be equal to SGD1 as their exchange rates are identical against the USD. An arbitrage
profit can be made without risk by simultaneously:
*Dấu hiệu: lấy lời với thằng có mặt ở 2 bên dấu bằng (AUD)

• selling AUD1.3525 to receive USD1

• selling USD1 to receive SGD1.3525
• selling SGD1.3525 to receive AUD1.3703 (tam suất)
• profit AUD0.0178

Spot market quotations

Two-Way Quotations
1/ ‘Aussie Sing dollar is one twenty-seven sixty–seventy’ means: AUD/SGD1.2760–1.2770

2/ euro Aussie spot rate (EUR/AUD1.3755–1.3765)

o the price-maker FX dealer will buy EUR1 for AUD1.3755. From the price-taker’s point
of view, it would sell EUR1 and receive AUD1.3755 from the FX dealer
o the price-maker FX dealer will sell EUR1 for AUD1.3765. From the price-taker’s point
of view, it receives EUR1 on payment of AUD1.3765 to the FX dealer.

3/ a quote of AUD/GBP0.6250–53 has a spread of three points.

Percentage spread

Transposing Spot Quotations

Calculating Cross-Rates
Crossing two direct FX quotations
a direct and an indirect FX quotation

Crossing two indirect FX quotations

Finding forward rate

The Aussie dollar is seventy-six thirty–forty, thirty-two–twenty-seven
Spot rate: AUD/USD0.7630–40
Six-month forward points: 0.0032–0.0027, which is falling, then subtracting
� the six-month forward rate of: 0.7598–0.7613, which is rising

calculate forward points:

 CHAPTER 18
Forward rate agreement (FRAs)

- Approach bank 17th June

- Quote cover: 22 Aug � 22 Nov
- The reference rate is the three-month rate (contract period)
- 2Mv5M(22) or 2s/5s the 22nd or twos fives the twenty-second
o That is, the settlement date is in two months and interest cover is for a three-month
period.
- The FRA quote might be 2Mv5M(22) 9.25–8.75
o bid rate, that is, 9.25 per cent per annum
o dealer’s offer rate: 8.75%

Forward foreign exchange contracts

quote: AUD/USD0.7130–35 14:20.
Interest Rate Swaps – vanilla swap

*Coi chừng chiều của mũi tên + dấu nhá

Net difference = Cash from PE � CBA
= $18M * (fixed IR rate – floating rate) / 2 (nếu half-year)
= $18M * (7.3%-7.85%) /2 = -49500
�ra số âm thì CBA � PE, PE nhận, ghi đ.án vẫn số âm

CHAPTER 19
Orders and Agreement To Trade
Find price of bond futures contract:
*Phân biệt i chính và i của bond: i bond sẽ đi chung câu với FV nha

Hedging: risk management using futures /605

a/ hedging the cost of funds (borrowing hedge)
risk of increase IR
b/ hedging the yield on funds (investment hedge) (Treasury bonds)
c/ hedging a foreign currency transaction /608

- profit from closing out position = value of the contract today – future = 2k dollars
- 2k dollars in AUD (current spot) = 2k/0.719 = AUD2,781.64 (này giống tam suất thôi)
- import cost (in 3m) = USD8500/0.7190
- Net cost of USD funds = import cost (in 3m) – profit from closing out = AUD118 219.75 –
AUD2 781.64 = AUD115 438.11

d/ hedging the value of a share portfolio.

Value of portfolio
= the initial value * (1 + %change)
(%change = (current – old)/old = - 7.14%; áp dụng ngay cả khi fall/ rise)
= 41M*(1+ (5200-5600)/5600) = 41M (1-7.14%) =38,072,600

e/ Hedging Against Volatility /610

Forward rate agreements /615

 - the FRA is established on 19 September, with the settlement date set as 19 April of the following
year, and the end date is 19 October
- � 7Mv13M (19) 13.25 to 20: in seven months’ time the dealer is prepared to lend six-month
money at 13.25 per cent per annum, or to borrow at 13.20 per cent per annum.
- The company wishes to hedge a borrowing and so the relevant rate (agreed rate) is 13.25 per cent
per annum
- On 19 April, published reference rate and note that the six-month BBSW is 13.95 per cent per
annum

� The settlement paid by the FRA dealer to the company is $15 379.19.

CHAPTER 20
Option profit and loss payoff profiles
call option profit and loss payoff profiles /630
BUYER SELLER

Lower 12 Buyer’s lose is limited to premium Gain

($1.5)
12 Indifferent to excercise contract Gain
Between Use profit to offset the premium Premium ($1.5) will be eroded
13.5 Seller lose all premium
Higher 13.5 Gain is unlimited Loss is unlimited
Value of the option (long call, short call)
For the buyer or holder of the long call, the value (V) of the option depends on:
• the market or spot price (S) of the underlying physical asset
• the exercise price (X) of the option
• the premium (P) paid for the option.

V = S−X−P

To the buyer (long-call) V = max(S − X, 0 ) − P

To the writer (short-call) V = P − max(S − X, 0)

Example of long call:

put option profit and loss payoff profiles /632

Buyer (long-put): V = max(X − S, 0 ) – P
Writer (short-put): V = P − max(X − S, 0 )