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LIME TEAM Central Treasury Balance Sheet as at 14/06/2004
Consolidated Central Treasury 1,168,219 14,838,797 1,386,301 Portfolio 0

Assets
Cash Receivables - Commodity/Currency - Administration Investments (INVCP3M) Market Value of Loans to Customers Interest on Cash Balances Deposit Margin 1,168,219 14,838,797 1,386,301 0 1,108,048,602 25,205 0 1,125,467,125 11,984 167 1,386,301 202,797,180 126,904,961 0 201,810,895 374,192,785 198,447,208 0 0 0 1,105,551,482 0 98,334,177 (96,756,746) 14,838,797 16,416,228 97,688,472 (96,768,783) 0 919,689 1,122,887,399 2,579,726 Shareholders Funds Accumulated Profits

0 1,108,048,602 25,205 17,418,523 0 0 1,108,048,602 11,984 167 1,386,301 202,797,180 126,904,961 0 201,810,895 374,192,785 198,447,208 0 0 0 1,105,551,482 0 98,334,177 (96,756,746) 1,577,431 97,688,472 (96,768,783) 919,689 1,108,048,602 0

Total Assets Liabilities
Australian Dollars
Cash Interest on Cash Balances Administration Payable Commercial Paper Domestic Bonds - 15/03/2005 Domestic Bonds - 15/03/2007 Domestic Bonds - 15/03/2009 Domestic Bonds - 15/03/2014 Swaps Variation Margin - 3 Year Contract Variation Margin - 10 Year Contract Brokerage due

Total Australian Dollars United States Dollars Euro Bonds - 15/03/2007
Euro Bonds - 15/03/2014 Swaps Forwards

0

Total United States Dollars Euros Euro Bonds - 15/03/2009
Swaps Forwards

14,838,797 14,838,797

Total Euros

0 0 14,838,797 2,579,726 2,000,000 579,726 2,579,726

Total Liabilities Net Assets Equity Total Equity

2,579,726

0

Central Treasury Profit & Loss Statement for the period ending 14/06/2004
Consolidated Central Treasury 25,205 6,662,300 0 0 1,386,301 8,048,602 6,662,300 1,386,301 0 0 831,781 0 Portfolio

Revenue
Interest on Cash Balances Interest from Customer Loans Investment Income (INVCP3M) Foreign Exchange Gains Cash Related Incompetency Administration Income 25,205 6,662,300 0

Total Revenue Expenses
Interest Expense Administration Expense Foreign Exchange Losses Foreign Exchange Penalty Costs Additional Penalty Costs Operating Costs Cash Related Incompetency

1,386,301 8,073,807 6,662,300 0 0 0 831,781 0

1,386,301 1,411,507

Total Expenses Gross Profit

7,494,081 579,726

831,781 579,726

8,048,602 0

UQ(Commerce) - Semester 2, 2004

Name 1, Name 2, Name 3, Name 4

Page 4 of 6

PORTFOLIO GENERATED CASHFLOWS
Cashflow Payment Date Days in quarter 3 mth floating rate (from start of qtr) Instrument Commercial Paper - Maturities CP3M Investment CP - Maturities Coolum Treasury Corporation First Mudjimba Bank Peregian Trust Bank Bli Bli Corporation Ltd Total Maturities (A) Domestic Bonds - Coupons DB05 DB07 DB09 DB14 Total Domestic Bond Coupons (B) Interest Rate Swaps IRSDB07 - Fixed IRSDB09 - Fixed IRSDB14 - Fixed IRS - Floating Total Interest Rate Swap Payments (C) Eurobonds - Coupons US07 US14 EUR09 Total Eurobond Coupons Cross Currency Swaps CCSUS07 - Fixed CCSUS14 - Fixed CCSEUR09 - Fixed CCS - Floating Total Cross Currency Swap Payments (D) 15/06/2004 92 % This is the mid 3 month rate from last quarter Face Value* 202,797,180 0 0 0 0 Rate AUD Cashflow** AUD AUD AUD AUD AUD AUD 5.70% 5.75% 5.79% 5.87% AUD AUD AUD AUD AUD AUD AUD AUD AUD AUD USD USD EUR The Fixed Side of the Swap payment is calculated as Face Value * Fixed Swap Rate / 2 (in USD or EUR) These will net off with the Eurobond Coupon payments. EUR AUD AUD The Floating Side of the Swap payment is calculated as Face Value * Floating Rate * days in qtr / 365 (AUD) The semi-annual coupon payment is calculated as Face Value * Coupon Rate / 2 USD Cashflow Coupon Payments Due? Fixed Swap Payments Due? Floating Swap Payments Due? No No Yes

EUR Cashflow Formula The Maturity is the Face Value of CP3M and INVCP3M

125,000,000 0 200,000,000 375,000,000

0 0 150,000,000 -150,000,000

5.75% 5.79% 5.87% %

The Fixed Side of the Swap payment is calculated as Face Value * Fixed Swap Rate / 2 The Floating Side of the Swap payment is calculated as Face Value * Floating Rate * days in qtr / 365 The semi-annual coupon payment is calculated as Face Value * Coupon Rate / 2 (in USD or EUR)

US0 US76,500,000 EUR60,500,000

2.00% 4.50% 3.50%

US0 -US76,500,000 -EUR60,500,000 200,000,000

2.00% 4.50% 3.50% %

USD USD

Total
* +ve Face Value indicates Debt; -ve Face Value indicates Investment

AUD Administration

US0

EUR0 Futures Margins (all from Balance Sheet)
Brokerage Payable Deposit Margins 3 Year Variation Margin 10 Year Variation Margin Total Futures Margins (F)

** +ve Cashflow indicates a cashflow received by the portfolio; -ve Cashflow indicates a payment to be paid by the portfolio

Portfolio Generated Cashflows
Maturities (A) Domestic Bond Coupons (B) IRS Payments (Fixed and Floating) (C) CCS Floating Payments (D) Administration (E) Futures Margins (F)

MV (Start Qtr) AUD Admin Rate 0.50% Admin (E) AUD = MV at Start of Quarter * Admin Rate * 92 / 365 Take the Market Value from Page 1 of the Performance Report

AUD

Total

AUD

Note: Eurobond Coupons and Fixed Cross Currency Swap payments are not included as they will net out with each other

UQ(Commerce) - Semester 2, 2004

Name 1, Name 2, Name 3, Name 4

Page 6 of 6

BSFN7405 FINANCIAL RISK MANAGEMENT Quarter 2 (June) – Cashflows Lime Team Portfolio generated cashflows: 1. Determine the value of Commercial paper that matures at the end of quarter 1; This can be found on the ‘Face Value Summary’ as $202,797,180. This amount has to be repaid so we will show as a negative: -$202,797,180 2. Determine the value of bonds that matures at the end of quarter 1; The balance sheet shows that no bonds mature until 15/3/2005 at the earliest. 3. Determine the value of bond coupons that must be paid at the end of quarter 1; Bond coupons are only paid in March and September. 4. Determine the value of swap payments and receipts at the end of quarter 1; Refer to the ‘Face Value’ column on page 6 of the performance report. Note that positive values in this table refer to issued liabilities. Therefore any payments (coupons, interest) in respect of these will have a negative sign (cash outflow) and vice versa for those items with negative values. Thus, the -$150,000,000 (IRS-Floating) means that we are receiving floating on this amount of principal. The relevant rate is the mid CP rate at the start of the quarter (15/3/04) which was 5.53%. Because the floating side of both the domestic and cross-currency swaps is at the same mid CP 3M rate we just need to add these: -150,000,000 +200,000,000 =+50,000,000 then work out the interest to be paid: 50,000,000 * 5.53% *92/365 = -696,931.51. We use a negative sign here to indicate a payment. Note: 92 days is the number of days between 15/3/2004 and 15/6/2004. 5. Determine the value of brokerage and variation margin to be paid at the end of quarter 1. Brokerage and variation margin needs to be paid, and deposit margin is received, in respect of deals done at the start of the quarter. Because Lime team didn’t do any futures deals in quarter 1, there are no cashflows. 6. Determine the admin charge to be paid at the end of quarter 1; The admin fee can be found as a portfolio liability on the balance sheet and can also be calculated as: $1,100,000,000 * 0.5% *92/365 = -$1,386,301.37

2
7. What is the net portfolio generated cashflow? Net portfolio generated cashflows are: -202,797,180.00 -696,931.51 -1,386,301.37
-204,880,412.88

Client cashflows: 8. Determine the value of any new advances; We are told of a new $50m advance to QEPA at the start of quarter 2: -$50,000,000 9. Determine the value of debt service payments for each client; see ‘client profiles’ QEPA: 96,093,664/4 APA: 48,046,832/4 = +24,023,416 = +12,011,708

APA also has to start making quarterly payments on the qtr 1 advance of $100m: 100,000,000 = A [1-(1+.0631/4)^-20)/(.0631/4)] A= +4,003,902.68 LG: 17,771,012/4 = +4,442,753

10. Determine the value of any one-off repayments of principal; LG makes a one off payment of $10,000,000 (we are told this) 11. What is the net client cashflow? Net client cashflows: - 50,000,000.00 24,023,416.00 12,011,708.00 4,003,902.68 4,442,753.00 10,000,000.00 4,481,779.68 12. What is the net funding/investment requirement?
-204,880,412.88

4,481,779.68
-200,398,633.20

Therefore, we have a net funding requirement of $200,398,633.2. So we need to issue new debt to meet this need.

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