13A (2 + 4 + 6 + 4 ] On 27 Nov 2018 10:50 AM, CCIL reported the following information on a friend whom you also met in your mid-term, 07.17 GS 2028. Market by Price 07.17 GS 2028 Click here for other instrumente Open High Low Last Trade TTA Trades 96.3000/7.7417 96.3750/7.7298 96.2500/7.749696.3650/7.7314 5520.0000 522 Nos. 1 1 1 1 Bid Amt. 25.0000 5.0000 10.0000 5.0000 15.0000 600.0000 Yield 7.7314 7.7326 7.7330 7.7334 7.7338 Bid Price 96.3650 96.3575 96.3550 96.3525 96.3500 Total Offer Price 96.3725 96.3750 96.3775 96.3800 96.3825 Total Offer Yield 7.7302 7.7298 7.7294 7.7290 7.7286 Offer Nos. Art. 5.0000 1 15.0000 3 10.0000 2 40.0000 3 20.0000 2 510.0000 53 79 SOURCE NDS-ON hosted at CCIL a) Why was 07.17 GS 2028 by far the most actively traded bond on this date? What is its approximate maturity, and how many coupons does it have till maturity? mist.e the approximate average yield to maturity ? .) If I wished to buy 25 crore immediately , what is the average price at which I could buy this ? What would c) Use the best bid and best offer information to estimate the bond's PV01, modified duration and duration. d) Use the three best bid prices and yields to estimate the bond's convexity. or 13B ( 4 + 2 + 2 + 4 + 4 ) Suppose I hold 100 m ( market value) of a 5 year zero coupon bond. The initial yield curve is flat at 5%. a) Suppose I decide to hedge my risk above by shorting a combination of 6 year zeros and 4 year zeros. i) Construct a portfolio of 6 year and 4 year bonds that matches my holding both in value and duration ii) Suppose yields move in parallel to 6% How much money do I make or lose on the hedged portfolio? iii) Suppose yields move in parallel to 4% . How much money do I make or lose on the hedged portfolio? iv) What can you conclude by comparing the results in ii) and iii) ? b) Suppose I think interest rates will rise, but I believe that 10 year rates will rise by more than 5 year rates. Suggest a trading strategy that will enable me to profit if my hunch is correct. 13A (2 + 4 + 6 + 4 ] On 27 Nov 2018 10:50 AM, CCIL reported the following information on a friend whom you also met in your mid-term, 07.17 GS 2028. Market by Price 07.17 GS 2028 Click here for other instrumente Open High Low Last Trade TTA Trades 96.3000/7.7417 96.3750/7.7298 96.2500/7.749696.3650/7.7314 5520.0000 522 Nos. 1 1 1 1 Bid Amt. 25.0000 5.0000 10.0000 5.0000 15.0000 600.0000 Yield 7.7314 7.7326 7.7330 7.7334 7.7338 Bid Price 96.3650 96.3575 96.3550 96.3525 96.3500 Total Offer Price 96.3725 96.3750 96.3775 96.3800 96.3825 Total Offer Yield 7.7302 7.7298 7.7294 7.7290 7.7286 Offer Nos. Art. 5.0000 1 15.0000 3 10.0000 2 40.0000 3 20.0000 2 510.0000 53 79 SOURCE NDS-ON hosted at CCIL a) Why was 07.17 GS 2028 by far the most actively traded bond on this date? What is its approximate maturity, and how many coupons does it have till maturity? mist.e the approximate average yield to maturity ? .) If I wished to buy 25 crore immediately , what is the average price at which I could buy this ? What would c) Use the best bid and best offer information to estimate the bond's PV01, modified duration and duration. d) Use the three best bid prices and yields to estimate the bond's convexity. or 13B ( 4 + 2 + 2 + 4 + 4 ) Suppose I hold 100 m ( market value) of a 5 year zero coupon bond. The initial yield curve is flat at 5%. a) Suppose I decide to hedge my risk above by shorting a combination of 6 year zeros and 4 year zeros. i) Construct a portfolio of 6 year and 4 year bonds that matches my holding both in value and duration ii) Suppose yields move in parallel to 6% How much money do I make or lose on the hedged portfolio? iii) Suppose yields move in parallel to 4% . How much money do I make or lose on the hedged portfolio? iv) What can you conclude by comparing the results in ii) and iii) ? b) Suppose I think interest rates will rise, but I believe that 10 year rates will rise by more than 5 year rates. Suggest a trading strategy that will enable me to profit if my hunch is correct
