Past paper help

[mgh]

Hi everyone

Hope everyone is well.

I have two past paper questions I was hoping to get some help on.

April 11 Q3i, SA6
Bit confused by the answer here and even the information in the question. I get the roll period in the question where the futures contract on a commodity due to expire in the next month will be closed out and a new future (which is the next maturing future) is rolled into. I'm a bit lost by it is rolled "at a rate of 20% per day" meaning? Perhaps understanding this part, such as what the 20% actually corresponds to here, will help with part i but any further help on part i would be appreciated.

April 2020, Q3iii/iv, SA7
I understand the answers after reading through the mark scheme about the balance sheet management team, but in the exam I would have struggled to figure this out. I was wondering if anyone had any exam technique tricks to try and help with this question in SA7? I was partly confused as I couldn't tell if it was core reading or higher level - after reading through the answer I guess the info in the question about the balance sheet team being comprised of actuaries and derivative traders would be a big help if thinking about their roles.

Many thanks in advance for any help!

 

[Steve Hales]

April 11 Q3i, SA6

Rather than rolling over the whole position one go, the stated assumption in this question is to roll over 20% of the contracts each day over a period of five days. Part (i) of the question then provides an opportunity to discuss this approach.

April 2020, Q3iii/iv, SA7

Whenever an exam question proposes something, or an action is suggested, it's usually a good idea to ask "Why?". Given the question says that the team will include actuaries and traders, we should wonder why this might be necessary, and ask ourselves why has a distinction been drawn between them?
Whilst part (iii) is only worth 2 marks, it very clearly forms the structure to part (iv). So imagine yourself as being part of the balance sheet management team... what sort of questions, issues or activities would need to be performed at each meeting?

Hope this helps.

 

[mgh]

Rather than rolling over the whole position one go, the stated assumption in this question is to roll over 20% of the contracts each day over a period of five days. Part (i) of the question then provides an opportunity to discuss this approach.


Whenever an exam question proposes something, or an action is suggested, it's usually a good idea to ask "Why?". Given the question says that the team will include actuaries and traders, we should wonder why this might be necessary, and ask ourselves why has a distinction been drawn between them?
Whilst part (iii) is only worth 2 marks, it very clearly forms the structure to part (iv). So imagine yourself as being part of the balance sheet management team... what sort of questions, issues or activities would need to be performed at each meeting?

Hope this helps.

Hi Steve

Many thanks for your response.