K10 SFM
K10 SFM
K10 SFM
(i) Compute the Beta value of the company as at the end of year 2021.
(ii) What is your Observation?
Year Returns
2017-2018 33 + (497 - 460) /460 x 100 =15.22%
2018-2019 38+(523 - 497 )/ 497 x 100= 12.88%
2019-2020 43 + (556-523)/ 523 x 100=14.53%
2020-2021 50 + (589-556)/ 556 x 100=14.93%
4(a) Following information is available pertaining to ABC Ltd. which is expected to grow at a
higher rate for 3 years after which growth rate will stabilize at a lower level.
Information for high growth and stable growth period are as follows:
Present Value (PV) of FCFF during the explicit forecast period is:
Rs 79.032
5(b) Closing Values of NIFTY Index from 3 to 12" day of the month of January 2022 were as
follows:
The simple moving average of NIFTY Index for the month of December 2021 was 17174.
You are required to calculate:
(i) The value of exponent for 15 days EMA.
(ii) The exponential moving average (EMA) of NIFTY during the above period. (Calculations
to be done up to 2 decimals only)
(iii) Analyse the buy & sell signal on the basis of your calculations
5(b)
(i) Value of exponent for 15 days EMA:
2/(n+1)
2/(15+1)=.125
(ii)
Years 1 2 3 4 5 6 7 8 9 10
Security 15 10 12 8 18 16 20 24 16 14
1 (Return
%)
Security 24 20 18 14 22 26 12 28 16 15
2 (Return
%)
(b) MPD Lid. Issues a Rs 50 Million Floating Rate Loan on July 1, 2018 with resetting of
coupon rate every 6 Months equal to LIBOR +50 bps. MPD is interested in an Interest rate
Collar Strategy of selling a Floor and buying a cap.
MPD buys the 3 years cap and sell 3 years Floor as per the following details on July 1, 2018:
The Reset dates & Interest rates p.a. on that dates are:
6(a)
Cap Receipt
Max {0, [Notional principal x (LIBOR on Reset date - Cap Strike Rate) x Number of days in
the settlement period/365
Floor Pay-off
Max {0, [Notional principal x (Floor Strike Rate - LIBOR on Reset date) x Number of days in
the settlement period/365}