FOR QUESTIONS 11 TO 13, REFER TO THE FOLLOWING

INFORMATION:

It is expected that the short-term interest will rise, and you

wish to hedge the next roll over of the bankers’ acceptance bill with a forward

rate agreement (FRA).

Assume the following applies:

Roll-over                

            :15 August

 Settlement date                 

         :18 May

Spot rate on 15

August         

             :13.5%

FRA spot

(Bid/offer)          

                 :10.5%/11.5%

Nominal value                              :R1

000 000

Days                                            :90

days

QUESTION 11

The cost of the transaction is equal to ….

1. R29

   171.34

2. R30

   761.14

3. R33

   287.67

4. R35 258.32