Money market fund
Enviado por paula_dianderas • 20 de Septiembre de 2018 • Trabajos • 693 Palabras (3 Páginas) • 40 Visitas
CASO N°1. MONEY MARKET FUND (MMF)
Ana Paula Dianderas
- Valor del patrimonio
Fecha de cálculo 31.08.2018
- Depósito a plazo
Valor en USD = 30,000,000 x (1+2.20% x ) = 30,330,000[pic 1]
TC spot USD a PEN = 3.2878
Valor Final = 30,330,000 x 3.2878 = PEN 99,718,974
- CD Negociable CP-1
Valor Futuro = 20,000,000 x (1+) = 22,165,270 [pic 2]
Valor Final = = = 21,796,788 [pic 3][pic 4]
Curva BCRP | Bid | Ask | Corporate Spreads | |
CP-1 | CP-2 | |||
1 m | 2.59% | 2.49% | 100 | 110 |
3 m | 2.59% | 2.49% | 120 | 150 |
6 m | 2.60% | 2.50% | 150 | 210 |
12 m | 2.63% | 2.53% | 170 | 240 |
- Interpolación de tasas Bid y spreads
BCRP Bid | Corporate Spreads | ||
CP-1 | CP-2 | ||
2m | 2.590% | 1.1% | 1.3% |
5m | 2.597% | 1.4% | 1.9% |
7m[pic 5] | 2.605% | 1.5% | 2.2% |
- Papel comercial CP-1
Valor PC CP-1 = = = 19,523,670 [pic 6][pic 7]
- Papel comercial CP-2
Valor PC CP-2 = = = 19,866,876 [pic 8][pic 9]
- Cuenta corriente
Valor CC = 10,000,000
Valor PEN | |
a) Depósito a plazo | 99,718,974 |
b) CD Negociable CP-1 | 21,796,788 |
b) Papel comercial CP-1 | 19,523,670 |
c) Papel comercial CP-2 | 19,866,876 |
d) Cuenta corriente | 10,000,000 |
Valor del patrimonio | PEN 170,906,308 |
- Nuevo valor de mercado del portafolio
Fecha de cálculo 03.09.2018
Compra de PEN 10 000 000 del papel comercial CP-2 y venta de PEN 10 000 000 del papel comercial CP-1, ambos con liquidación t+1:
Vie | Sab | Dom | Lun |
31/08/2018 | 1/09/2018 | 2/09/2018 | 3/09/2018 |
- Depósito a plazo
Valor en USD = 30,000,000 x (1+2.20% x ) = 30,333,667 [pic 10]
TC spot USD a PEN al 03.09.18 = 3.3016
Valor Final = 30,330,000 x 3.2878 = PEN 100,149,634
- CD Negociable CP-1
Valor Futuro = 20,000,000 x (1+) = 22,165,270[pic 11]
Valor Final = = = 21,790,729 [pic 12][pic 13]
Curva BCRP | Bid | Ask | Corporate Spreads | |
CP-1 | CP-2 | |||
1 m | 2.69% | 2.59% | 105 | 120 |
3 m | 2.69% | 2.59% | 125 | 160 |
6 m | 2.70% | 2.60% | 155 | 220 |
12 m | 2.73% | 2.63% | 175 | 250 |
Interpolación de tasas Bid y spreads
BCRP Bid | Corporate Spreads | ||
CP-1 | CP-2 | ||
2m | 2.690% | 1.15% | 1.40% |
5m | 2.697% | 1.45% | 2.00% |
7m[pic 14] | 2.705% | 1.58% | 2.25% |
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