Documenti di Didattica
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QP Code - AA
Market Makers
Reverse Repo
Crowding Out
Multiple Price
Samurai Bonds
Impossible Trinity
Market Imperfections
Bond Convexity
LIST B
9.
10.
AAA
Fisher Hypothesis on Interest
rates
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PART 2 Interpretation of business news.
Webster definition of Headline a head of a newspaper story or article
usually printed in large type and giving the gist of the story or article that
follows. Below you find a few Headlines from business newspapers.
Interpret and expand on the Headlines, in your own words. Answers should
not exceed more than 10 lines. Answer all questions together in one place.
You are tested for your ability to relate class room discussions to financial
market events.
You may answer any numbers of questions. However, four
questions carry full marks for this Part.
Estimated time to complete 20 minutes. Each question carries 4 marks.
4x4=16
following security:
(Assume that the Interest payment dates are exactly coinciding with the
date of trading)
Q 2 : 9.5% Power Finance Corporation Bonds with FV of Rs.10 lakhs (INR 1
million) are trading at Rs.102.2345. Interest payment dates for the Bond
are March 01 and September 01. Calculate the dirty price of the bond to
the buyer. Assume Actual/Actual interest payment convention. Also find out
what is the amount the buyer of the bond will have to cut his cheque for.
Q 3 : Given below are the details of two TBs traded on 15/07/2015:
Maturity date
LTP
182 days TB
15/10/2015
98.1234
364 days TB
15/01/2016
96.1234
Calculate the implicit yield for three months, three months from now
(Hint : Calculate the Treasury Bill Yields first)
Q 4 : Govt. of India had called for a Bond
Auction through RBI on 01/01/2025 for
some security for FV of Rs.2000 crores
under Uniform Price Auction. Only four
Primary Dealers (PDs) had responded to the
auction. The details are given alongside.
What is the total amount of money raised by the Government? Also identify
the allotment amounts for each PD.
Q 5 : Assume you just deposited Rs.10,000 into a bank account. The
current real interest rate is 2% and inflation is expected to be 6% over the
next year. What minimum nominal interest rate would you require from the
bank over the next year so that you do not lose out on this investment? If
the bank pays you the minimum nominal interest rate as per your
expectation, how much money will you have at the end of one year? If you
are saving to buy a washing machine that currently sells for Rs10,500, how
much money will you have surplus in the bank after the purchase of the
washing machine or will you need more money to buy it?
(if you are making any specific assumptions, state them clearly).
Q. 6 : The duration of a $100 million portfolio is 10 years. $40 million in
new securities are added to the portfolio and as a consequence, the
duration of the portfolio increases to 12.5 years. What is the duration of the
$40 million in new securities?
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