Formula - FSA

Formula - FSAPage No. 133Date / /QIntincome =PriceYTM2Fundedstatus=FVofplanassets-PBOPTPPC=Endnetpensionliability- Beynetpensionliability+ContributionTPPC = Contribution - Funded Status=Contribution-(EndFS-BegFS.)TPPC =ReportedPPC+PPCinoclTPPC=CurrentService+IntCost+Pastservicecost+ActuriaIlosses-Actuarialgains-ActualreturnonplanassetsTPPC=EndRBO-OpPBO--ActualreturntBenifit paid@Opening PBOX8Dis Rale = Int RateOpeningPlanassetXExpectedreturn$} GRAP%=ExpectedReturnOpeningfundstatusXDisRate=NetInt exp / Inc - IFRSGPeriodicCostinOCI=TPPC-PeriodiccostinP/L5TotalI/S=EffectsService + Int - Actual Return1Contribution> TPPC:CFO = CFO + ( Contribution - TPPC) x (1-t)CFF = CFF - Contribution -TPPL) x (1-t) ASPage No.Date / /Contribution < TPPC :CFO = CFo - Contri - -TPPC) x (1-t)CFF = CFF - (Contri - TPPC)(1-E)8Stock option =Option grantedxOptionpriceongrantdateExpService periodloss&lossRatio9HnderwritinglossRatio =Incurredlosses+lossadjexpNet prem earnedExpRatio=UnderwritingexpNetpremwritenCom binedRateo=lossRatio+ExpRatioCombinedRatio=Totalincurredlosses+ ExpNet premearnedDivtopolicyholdersRatio=DivtopolyholderNet prem earnedCombinedRatio after Div (CRAD)= CombinedRatio&Divtopolicy holdersRatioDupoint =E= NIxEBTEBITRevAssetxEBTEBITRevAvg AssetEquity Page No.Date / /3 th Liquidityadj Ratio = Liquidity adj invest assetswithdrawaladjliabilitieS14Basic Model : Earnings JTH = & + B, earnings OT+E15AccrualsModel:Earnings=+B, CFT+B2accruals.+ETtlAggregateAccruals=AcctualbasedCash Earningsearnings7Net-OperatingAssets(NOA)(Totalasset(ash*)(Totalliabilities-Tolddebt)=-(CGO)OperatingsCFtCashint+Cashtaxes18Cashgeneratedfromoperation==EBIT+nun-cashcharges1inweBIS1219AccrualsCF(Aggregate)=NoRENoAt---ENDBEG= NI - CFO - CFI-CF20Accruals Ratio = NI - CFO - CFI(Noheno + NOABEG)221CF ROE= CFO22Operating earning - Adj EBIT CFO ((GO)Avg Assetquality23CF to Reinvest" = CGO24CF to= CGOCapexInt CoverageCash int1225CF to Total =CGOdebtTotal debt Page No.Date / /26Current fatio = Current AssetsCarrent liabilities27Quick Ratio = Cash + Marketable Sec + ReceivablesCurrent liabilities28Cash Ratio = Cash t short- term marketable secCurrent liabilities29Defensive interval rafio = Cash + ST marketable invest" t RecDaily Cash exp30Receivable Turnover = Net annual SalesAvg. Rec31Inventory Turnover = COGSAvg Inventory32 DOS = 36533 DOH = 36534Payables = Purcha sesRec T10Inventory T/oT/oAvgpayables35# of days of payables =365Payable T1036Total asset turnover = Net saleAvg Total assets37Fixed Asset Tlo =Net saleAvg fixed assets Portfolio MangaPage No.Date / /ETFPrem(disc)%=ETF Price - NAVNAV2MaxSpread=Creation/+RedemptionfeestotherSpreadofthetrading Costsunderlyingsec+ Risk prem for Carrying until close of day+ AP's normal profit margin- -Disc based on prob of offesetting thetradein secondarymarketsRound - triptradingCost=Round-trip+Spread4TotalCost=Round-triptradingCosttMang"fees5APTEq"ECRP)=RftPpi(Ai) +Bp,(A2)++BPKOAK)6PurefactorfoliogoRp =RftB,FactorsRiskprem7ECR)=Rf+Efactorsensitivety+Factor Risk prem8StandarizedB=Actualvalue-MeanvaluebTwo factor:Ri=ECR)+bi,Faop+biz FIVT +E;10Active Return = Factor Return + Sec selection return= Rp - RBIIActive Risk ;=W (Rpt -RB+)isTE = 6 (RP-RB)n-1 Page No.Date/212Active Risk Squardb2 (Rp-RB) = Active factor Risks + Active specfic Risk2:13Active factor Risk = Active Risk squared - active specific Risk(Residual)n2214Active Specific Risk = W (Wpi - Wbi) OEii=115Up =(WIO,)2 + (W2O2)2 + 2W, Wz OTO xr216Annualized standard deviation = 250 X (dialy Standard dev)217% Change in value due to change in yield to maturity%change in price = - duration (AY) + 1/2 Convexity (D4)(18Option value Vs future volatilityChange in call price = delta (AS) t 0.5 gamma (AS) + Vega(319 Inter-temporal = Marginal utility of Consuming \ unit in the(3Rate of substitution Marginal utility of Current Consumption of I=MtMo220Real Rf of Return dp RoR= 1-Po=ECMt].t21 Price of a default - free t inflation - indexed zero - Coupon bundPo = ECP + (Cov(P,M,)(Ith Page No.Date / /22NominalShortterm=RftExpectedinflation(H)tint rate ( 1)term)Ollonginflationuncertainty23TaylorRule:r=RntII0.5CTT-)+0.5(4-Y*)24BreakeveninflationfateBEI)BEI=Yieldonnonnon-infllationindexedbond-yieldoninflationindexed bondDisclateforequity=R+IT+25DiscRateforReturnforCreditriskybond=R+II+ + + +26DiscrateforcommercialRE =R++027BEIforlongermaturitybondExpectedIT+Riskpremforin/hinOisActiveReturn= folio return - BenchmarkReturnRA = Rp-RBVlyit.29Sectorallocation:WDWpRB30StockSelection:NWpARp31Interaction :DWpDRP32Rp = Wpx R33RB = WB xR39Info Ratio Rp - RB=RA=Active Return(Re Re )TAActive Risk Page NoDate //35SR = Rp - -R636IR=TCXICXBROp37Optimal /vl of active riskCRA) = IR * (CRB)SRB(38Highest SR : SRP = SRB t IR239Total folio return volalitity : J (RP) = 0 (RB) + 6 (RA)240Excepted active return = ECRA) = IR x JA41Optimal weight of = lliJAXAsset ij.2N/ Mi2i=1 N oT242"Full" fundamental law of active mang"ECRA) = TC TBR OA43Effective Spread = side X transaction price - mid quote pillper share44Effective Spread = 2x Effective spread per share45VWAPP = Side X (trade VWAP - benchmark V WAP)transaction cost FixedIncomePage NoDate / /PriceT-periodZCB=I(145)ForwardModel =pricingPs(F(3,2)P3Rate=Forward(6% x5) - (4%x2)351=4%S3=6%f (23)SpotRatePar Rate=1-2n2,+ZztZ3+245SwapRate=ParRate6SpreadSwapRate-Swap=Treasuryyieldt7TEDSpread=(3-monthMRR) -C3 - monthT-Billrate)8MRR - 015=MRR-"Overnightindexedswap"rateisDP22-D,- Ds Dxs-PBondRiskPremECR)Rf11Disc factor=(spot)t2EN17 Vcall Vstraight - ViallableCallable = Straight - -CallVput = Vputable - VstraightPutableStraight+Put Page No.Date /ISEffective duration = BV. +BV+2 X BV. xAYISEffective Converity= Bv- + B14 - ( 2xBV.)BV. X DY216Min value of Convertible = greater of Conversionvalueorstraighbond17Market Conversion price = Market price of Convertible bondConversion Ratio18Conversion value : MP of stock after Conversion conversionRatio19Conversion Price = FVConversion Pate20Market Conversion prem : Market Conversion Price - Market price of21Prem over straight Value : ( MY MY of band1straight value22CCBV = Straight bond + call on stock - Call on bondCCPV = Straight Bond + Call on stock - call on bond ti23Recovery Rate : = (1 loss Severity)= % recovered in the event of a default Page No.Date / /A LossGiven Default (%) = 100 - Recovery RateLGD = Exposure X loss severity25 Expected loss = PB X LGD= EAG X LGD %PD26Prob of survival = CI - ha a zardrate)77Probofdefault = hazard rateX PSct-1,28Credit spread = LGD X PD29%AP=-CModifieddurationofthebond)XC D Spread )30Credit spread = YTM of credit Risky - YTM of a Risky-free ZCBZCB3Upfront Pay" = PV (Protection leg) - PV C Prem leg)32Upfront Prem % 22 CCDS Spread - CDS Coupon) duration32Price of CDS 22 $100 - upfront prem (Y.)Profit for protection buyer 22 change in spread x durationXnotional33principal Page No.EconomicsDate / /€51E 524Dep = Opening valueY% Appreciation = clossing Valueopening valueclosing value2$3(A) (A)( B)C /bidxc bid BbidE45(B) C, bid = I(B) = 1(c)offer Jila bidoffer6Forward Prem = (Forward price) - C Spot - price) = F -So7Value of a forward Currency contrant prior to expirationVt = (FP - -FP) (Contranct size)R t days) 3608Covered int late paritydaysF =I + RA 360SoI +RB ( days) 3609Uncovered int rate parity : E (%.AS) (A) = -RA ARR10Fisher Relation :Rnominal = Real + E(inflation) Page No.Date / /InternationalFisher relationRA - RB = ECTA ) - ECTTB)NominalIntRate=(1+Realintrate)XCitExpectedinflation)Relativepurchasing powerparityE(ZAS)Conflation)AECinflations)ASCA) = Inflation, Inflation3labour Productivity:Outputper worker=y=T (K) aL1AP =AGDP+%A(E/GDP)+%D(PIE)/DP=AGOPLong termISGrowthRatepotential=inLongtermgrowthrate+oftechnologyGDPdClonytermgrowthintoofCapital)+(1-d)(longtermgrowthrateoflabor)OR= Long-term growth rate of labor foice +long-term growthrateinlaboorproductivityAy=AT+& AK + (1-2)YKL Page No.Date//:016Growth rate of output per capital1-217Growthrateoutput;G*dof=+ALI dnAlternativenves1Cap Rate = Disc Rate - Growth rate2Cap Rate = Nol, or Cap Rate = NolvalueComparable sales price3Value of a property using direct cap"Value = Vo = Nol,orValue Vo =stabilized NolCap RateCap Rate4Value ofa property based on net rent 4 "all risky yield"Value = Vo =RentzARY5Term & Reversion property valuation approachTotal value = PV of term rent + PV reversion to ERV6NCREIR = Nol - Capex + [End MV - Beg MV]Beg MV Page No.Date / /CapitalReturn= DMV - GpexBeg8 Debtservice CoverageRatio=FirstYrNol(DSCR)Debt service1Loan - to - Value=Loan amt(LTV )AppraisalvalueEquity InvenstorReturnNol-debtservice0EquityDivRate=First Yr CF(lash-on -Cash return)Equity1) Property valueNo1Cap Rate = No1Cap Ratevolue12NAVPS=MVofAsset- MVofliabilities# share13FFo =NI+Depexpim pairment , wlite - down /Gain from Sadof propertyAFFO =Noncashrentadj -recurringmain taice - typo Lapex& loasingDiscCFapproachtoREITSharevulnVahueofREIT=PV(div\throughtPV(termin alvalueforyratthe end of yen Page No.Date/16Post = PRe t Inv7Exit value = Int Cost + earnings growth + multiple expansion t reductiondeb18NAV before distribution = NAV after distribution t- + Capital called down- "mang" fees + operating results19NAV after distribution = NAV after distribution - carried int - distribution20Venture Capital methodthe post money portion of a from purchased by an investf = InvestmentPostthe numberofnewsharesissued inShares =Shares EquityI-F f F)where Share eq is the pre-invest no. of shares + & share price isPrice = Invest"Shareve2Dilution to first -found investors after a second roundf, (diluted) = fi (1-FL)22Theory of StroyesCommodity future price Spot price + Stroge costs - Conv enience yieldPVPV DerevativePage No.Date / /FPS.X(1+Rf)+orSo=FP(1+Ri)inNon-arbitragepriceofanequityforwardcontractaFP ( equity) = ( So - PVD )(1+Rf)FP (equity) = [so (1+R6)T] - FVDValue of forward ContractVtClong position) = ( 5, - PVDE)FP(T-t)isvaluePrice of equity IndexFP = So x e CRfe - "() x TCForward priceaCoupon -payingbondFP(FISec)=(so - PVC)x(1+R))ORS.x(1+R))FVCValue = [St - PVC ] - -FP(1+Kg)T-+T-t6PriceofbondfutureContractFP = (full -FVC - - Alt]OFP = FP = [(full price) (1+R)) - FVC -Alt] - ( CFCF Page No.Date//7Swap fix fate =1-242, + 2 +23+248Value of payer swap(SFRNew - SFRold)NPEDFsdays3609Value of fleating1MV + CouponCoupon bond(1 + Spot rate)(19 u = e XVEd 1COXVE11Prob u = It Rb-DProb d = 1- u)u-o2Put Call paritywith divCo + PVCx) = Po ts-dTPo + So e=Cote--TX13hedge Ratio = h= C+ -C-S+ 5Co = hs. + C-hs+ - c+)Po = hso + (-hs+e)( ItRf )(1+Rf)14BSMmodelCall = [ S.e-dNCd,1 ] --TTXeNCd2) ] Page NoDate / /Xe-TN (-d2)- [soe-STPit=N(-d1)CurrencyOptionSIB)TSoeN(d1)]--PTallN(de)][Xe-r(P)FN(-d2)]-SCB)TSoeN(-d2)]Future6 ertFT NCd.) - XN (d2)port(-d2)-FoPa=(t)N(-di)]isValueofPayerswaption :APXPVASFRXN(d ) ] --tN(dz)J3OBlackModeltovalueEurateoption&swaptiontActual)611AP - e365FRAN(di) [x- N(d2) ]XNPAC=ASXDelta+1/2GammaXAs2Delta Call =e-stN(di)10# of Short call =# share hedgeDeltaput=-e-dtN(d,1)neededdelta (all Page No.Corporate Issuer)Date/1 Effective Tax Rate = Corp tax rate + (1 -Corp tax rate) (individual tax2target payout ratio) - (Previous div)xExpected= (expected EPS)( Adj factorin div3EPS after = NI - After for Cost of fundsBuy Back#shure after Buyback4BVPS = BV of assets - BV of liabilitiesNo. of Share outstanding5New BUPS = Op BV - Planned buybuckshare outstanding after buyback6Div Payout Ratio = Div7Div Coreage Ratio = NLNIDiv8FCFE CoverageFCFERatioDiv + Share rephurchases9Cost equity = Div Yield + Capital gains Yield=Ecrf) + Csystematic marketERP)t(oIPR10Grinold-Kronermodel:ERPAP=DY+titG+As]of11Div disc models : ERP = E ( Dr) E(g) Rf2Extended CAPMReq Rate = Rf + Ppeer ERP + SP + 10 + SCRP Page No.Date / /rate3Build-upapproach : Req return = rf + ERP +SP dap +SCRPctop14 Prem paid Analysis : Prem = DP - upUP9