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11A (2 + 4 + 2 + 2 + 4 + 2 ] The RBI announced results of its price based auction of 3000 crore of 8.24% Government Stock, 2027 (Re-issue) held on Nov 22 2018. 8.24% GS 2027 was first issued on 15-Feb-2007, and matures on 15-Feb-2027. The weighted average price/yield in the auction was 102.62 / 7.7991% for competitive bids. The cutoff price/yield in the auction was 102.50 / 7.8187% a) Why do we use yield based auctions for new securities but price based auctions for existing securities? b) Suppose you were considering bidding in this auction. What are the costs / benefits of bidding higher / lower in the auction? c) What daycount convention do we follow for government bonds in India? d) How often do governinent bonds pay coupons in India? e) Calculate the accrued interest and dirty price of the bond. f) Suppose I had successfully bid for a notional 100 cr of securities at a price of 102.55. What amount would I need to pay on the settlement date? 7. How is (ICE) LIBOR determined? 8. An interest rate is a contract where the buyer receives payments in each period where LIBOR is below an agreed strike price 9 models take the present yield curve and yield volatilities as inputs and can exactly match today's bond prices 10. What does the Heath-Jarrow-Morton model use as factors ? Answer ALL Questions Part-B (5 x 16 = 80 Marks) 11A (2+4+2+2+4+2 ] The RBI announced results of its price based auction of 3000 crore of 8.24% Government Stock, 2027 (Re-issue) held on Nov 22 2018. 8.24% GS 2027 was first issued on 15-Feb-2007, and matures on 15-Feb-2027. The weighted average price/yield in the auction was 102.62 / 7.7991% for competitive bids. The cutoff price/yield in the auction was 102.50 / 7.8187% a) Why do we use yield based auctions for new securities but price bused auctions for existing securities? b) Suppose you were considering bidding in this auction. What are the costs / benetits of bidding higher / lower in the auction? c) What daycount convention do we follow for government bonds in India? d) How often do government bonds pay coupons in India? e) Calculate the accrued interest and dirty price of the bond. 1) Suppose I had successfully bid for a notion 100 cr of securities at a price of 102,66. What amount would I need to pay on the settlement date? emmat Image zu.. 2 le 11A (2 + 4 + 2 + 2 + 4 + 2 ] The RBI announced results of its price based auction of 3000 crore of 8.24% Government Stock, 2027 (Re-issue) held on Nov 22 2018. 8.24% GS 2027 was first issued on 15-Feb-2007, and matures on 15-Feb-2027. The weighted average price/yield in the auction was 102.62 / 7.7991% for competitive bids. The cutoff price/yield in the auction was 102.50 / 7.8187% a) Why do we use yield based auctions for new securities but price based auctions for existing securities? b) Suppose you were considering bidding in this auction. What are the costs / benefits of bidding higher / lower in the auction? c) What daycount convention do we follow for government bonds in India? d) How often do governinent bonds pay coupons in India? e) Calculate the accrued interest and dirty price of the bond. f) Suppose I had successfully bid for a notional 100 cr of securities at a price of 102.55. What amount would I need to pay on the settlement date? 7. How is (ICE) LIBOR determined? 8. An interest rate is a contract where the buyer receives payments in each period where LIBOR is below an agreed strike price 9 models take the present yield curve and yield volatilities as inputs and can exactly match today's bond prices 10. What does the Heath-Jarrow-Morton model use as factors ? Answer ALL Questions Part-B (5 x 16 = 80 Marks) 11A (2+4+2+2+4+2 ] The RBI announced results of its price based auction of 3000 crore of 8.24% Government Stock, 2027 (Re-issue) held on Nov 22 2018. 8.24% GS 2027 was first issued on 15-Feb-2007, and matures on 15-Feb-2027. The weighted average price/yield in the auction was 102.62 / 7.7991% for competitive bids. The cutoff price/yield in the auction was 102.50 / 7.8187% a) Why do we use yield based auctions for new securities but price bused auctions for existing securities? b) Suppose you were considering bidding in this auction. What are the costs / benetits of bidding higher / lower in the auction? c) What daycount convention do we follow for government bonds in India? d) How often do government bonds pay coupons in India? e) Calculate the accrued interest and dirty price of the bond. 1) Suppose I had successfully bid for a notion 100 cr of securities at a price of 102,66. What amount would I need to pay on the settlement date? emmat Image zu.. 2 le