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 government 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? 11B [ 2 * 5+ 4 + 2 = 16 ] a) What features of call money distinguish it from a repo? b) What are the usual tenors of T-bills in India? c) What is the maximum maturity of a cash management bill? On the morning of 27 Nov 2018, 182 DTB 02052019 traded at a price of 97.1132. If you bought the T-bill at this price d) When do you need to pay the money for the T-bill? When will the T-bill be credited to your gilt account? e) What is the daycount convention we use for T-bills in India? f) What is the yield of the T-bill? g) If I had bought the T-bill at 97.00 on 13 Nov 2018, what is my realized return? 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 government 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? 11B [ 2 * 5+ 4 + 2 = 16 ] a) What features of call money distinguish it from a repo? b) What are the usual tenors of T-bills in India? c) What is the maximum maturity of a cash management bill? On the morning of 27 Nov 2018, 182 DTB 02052019 traded at a price of 97.1132. If you bought the T-bill at this price d) When do you need to pay the money for the T-bill? When will the T-bill be credited to your gilt account? e) What is the daycount convention we use for T-bills in India? f) What is the yield of the T-bill? g) If I had bought the T-bill at 97.00 on 13 Nov 2018, what is my realized return
