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The S&P 500 Index price is $1975.12 and its annualized dividend yield is 2.20%. The annual...

The S&P 500 Index price is $1975.12 and its annualized dividend yield is 2.20%. The annual LIBOR is 3.5% and is refered as the benchmark interest rate. Assuming annual compounding, how many futures contracts will you need to hedge a $30 million portfolio with a beta of 0.95 for one year?

A.

59
B.

61
C.

56
D.

57

Consider a $70 million semiannual-pay floating-rate equity swap initiated when the equity index is 1987 and 180-day LIBOR is 2.2%. After 90 days the index is at 2015, the 90-day LIBOR is 2.6%, the 180-day LIBOR is 2.8% and the 270-day LIBOR is 3.1%. What is the value of the swap to the equity-return payer?

A.

$3,554,003.
B.

$-596,331.
C.

-$673,446.
D.

$673,446..

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Expert Solution

Please give positive vote , let me know if you need any further information regarding the question

jeff jeffy answered 3 years ago
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