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Spreadsheet Supplement for case 293024

BEA's enhanced index fund product uses derivatives and cash market securities to find the most efficient way to "track an index." The considerations involve transaction costs, custodial fees, withholding taxes on dividends, and fees from securities lending. In this case, BEA is faced with the task of investing an off-shore portfolio so as to track the S&P 500. The choices include buying the underlying stocks, buying an S&P 500-index-linked note, buying futures or doing an S&P 500 swap, and investing in a variety of short-term fixed-income alternatives.

The state of Connecticut wants to raise $325 million of long-term fixed-rate debt. One alternative is to do this synthetically--issue long-term variable rate debt and enter into an interest rate swap. The case is a vehicle for analyzing various floating rate structures and various kinds of swaps. Also raises issues relating to the default risk of swaps, as well as the term structure of the tax exempt and taxable debt markets.

Describes the situation facing RJR Nabisco one year after the leveraged buyout by Kohlberg Kravis and Roberts. A vehicle for analyzing the financial restructuring of a highly leveraged, but operationally healthy, company.

Describes the events surrounding the sale of a particular large block of a thinly traded stock. Brings the situation to the point at which the seller has received an offer, and must now decide what to do.

Supplements the (A) case.

Spreadsheet Supplement for case 285042.

Spreadsheet Supplement for case 285041.

Introductory note describing the basic building blocks of Markowitz's mean-variance portfolio theory.