1 The Bank Bonds issued by a Schedule Commercial Banks in India has a maturity?

1 to 10 year
2 Forward rates can never be negative-True
3 A trading member on the WDM segment of NSE sets up a counter party limit of Rs. 300 lakh against a counter p
4 Which amongst the following options is TRUE with respect to a callable bond?Callable bonds are actually variab
5 If an interest rate swap, the payments have to be made in full at the settlement dates ? false
6 Lower the coupon of a bond the price sensitivity?Higher
7 Bonds that provide the investor with the right to seek redemption from the issuer, prior to the maturity date, ar
8 According to the Expectations Hypothesis, if in the short term interest rates are not expected to change, the sha
9 margin covers the notional loss.?mark to market
10 is collected to cover the likely risk from future adverse movement of prices of the concerned securities?Initial m
11 According to the Preferred Habitat Hypothesis, if there is excess of supply over demand in longer maturities, the
12 It is mandatory for Commercial Papers to be credit rated?true
13 Debentures with maturity less than 18 months need not be rated?true
14 is not a common theory to interpret the shape of yield curve.?The Reserve Bank habitat hypothesis
15 In the case of Fixed Deposits, the letter(s) is/are prefixed for CRISIL ratings?F
16 If all the successful bidders have to pay the cut-off price, the auction is called a Dutch auction?true
17 The Govt. Securities listed on the NSE WDM segment have a market capitalisation of around?27,00,000cr
18 The full form of LAF is?Liquiditv Adiustment Facilit
19 Which of the following statement is false regarding the SEBI "Issue and Listing of Debt Securities Regulation, 200
20 SLAF means?Secondary Liquidity Adjustment Facility
21 An interest rate swap is entered to transform the nature of?existing asset or liability
22 When the conditions are of tight liquidity, call rates move the reverse repo rate?Towards
23 When an user enters an order, the system registers the order and confirms to the user by displaying an?Order C
24 When the then, the repurchase price is adjusted downward.?Repo Rate < Coupon
25 The results obtained by using duration to measure price change are of the actual price yield relationship.?Only
26 The day count convention for corporate bonds is?Actual 365
27 The Minimum(NOF) requirements of Banks which do not have a partly or wholly owned subsidiary undertaking
28 The correct periodicity for a day T Bill auction is weekly.?91 days
29 A Trading member/Participant must remain logged on to the system till as reports are generated at his worksta
30 Which of the following is true about a uniform price auction?An auction in which all successful bidders are allott
31 The Central Government and state government's borrowed crores during 2012 -13.?558000
32 Handbook of Market Practices of FIMMDA is aimed at guiding investors and traders on the techniques of tradin
33 If the price of the bond includes accrued interest, it is called as the?dirty price
34 The full form of FIMMDA is Fixed Income Money Markets and Dealers Association?false
35 Debentures rated are judged to offer high safety of timely payment of interest and principal.?AA
36 Banks which do not have a partly or wholly owned subsidiary undertaking Primary Dealership business should h
37 The duration of a Zero Coupon bond is Equal to the maturity period of the bond.?true
38 The term ST means Straight Through Processing?true
39 If the repo rate is lower than the current yield, then the repurchase price will be adjusted ?downward
40 Non-bank entities are allowed to participate in the call money market. False
41 Which hypothesis is a modification offthe expectation hypothesis, incorporating risk?Liquidity Preference Hypo
42 in case of repo trades, the best sell order is one with the? Highest
43 can lend as well as Lorrow in the call money markets.?Banks and Primary Dealers
44 WDM is?Wholesale Debt Market
45 the poll to determine NSE MIBOR, what is the information gathered from market participants ?Their view of the
46 In the year 2012-13, the Gross Fiscal Deficit of State Governments in India was?215266 cr
47 A security is excluded from the index if it does not have a market lot (Rs. 5 crore or Rs. 10 crore) trade for 3 con
48 The forward rates can never be? Negative
49 There are 3 types of T-bills which are issued by the Central Government. Which of these is NOT a T Bill maturity
50 Which amongst the following options is NOT an advantage of Repos.?An active repo market would lead to an d
51 CSGL is Constituents Subsidiary General Ledger
52 The Dated Securities issued by a State Government in India has a maturity of? 5 to 13 year
53 A Bond Index will NOT be? Translucent
54 The NSE WDM trading system does NOT accepts order which are? Date related
55 The price of an option free bond will be affected by all of the following parameters EXCEPT? Yield volatility
56 The outstanding stock of state development loans (SDLs) increased by 8 per cent in 2012-13 False
57 Stp? Straight through processing
58 The bond is which the borrower could defer the payment of coupons in the initial 3 to 7 year periodDeferred in
59 In India,the periodicity of a 91 Day T-Bill auction is monthly false
60 During periods of easy liquidity,call rates are only slightly above
61 If RBI does a Repos of Rs 5600cr,it means that RBI has inducted funds amounting to Rs. 5600 crores into the ma
62 The Municipal Bonds issued by a Municipal Corporation in India has a maturity of?0 to 7 year
63 Debenture rated BBB are judged to offer moderate safety of timely payment of interest and principal for the pr
64 Which of the following about the market capitalisation of corporate bonds in the NSE WDM in 2012-13 is TRUE?
65 When repo rate is higher than current yield repurchase price will be adjusted ?upward
66 P2 indicates that the degree of safety regarding timely payment is strong, however, the relative degree of safet
67 in the Methodology and Assumptions of a Bond Index, the index assumes that coupons received during the mon
68 SEBI has laid down several conditions for (IPO) for an issuer. Which of the below options is NOT TRUE?The issue
69 The handbook which has been brought out by FIMMDA is known?Handbook of Market Practices
70 The settlement system for transactions in government securities was standardized to?T+1
71 Who can Act as (IPA) for issuance of CP ?scheduled bank
72 According to the bond convention, ' Y' means? Yield
73 The bond in which the coupon is stepped up by a few basis points periodically, so that the interest burden in th
74 recognizes that the market is segmented and that expectations of investors are not uniform across various teno
75 zero coupon bond the duration is ? Equal To the bond maturity
76 ICDR? issue of capital and disclosure requirements
77 The Price Yield curve of a bond is generally?upward sloping to the right
78 In a Continuous Market, various checks are made to validate an order. Which of the below checks is NOT TRUE?
79 CRISIL's credit ratings fall under three categories. Which of the below is NOT included in CRISIL ratings?medium
80 The total returns of a bond today is calculated by the formula?TRi,t = TRi, t-1 * ((GPi,t + Ci,t.)/ GP i,t-1
81 P5 indicates that the instrument is expected to be in default on maturity or is in defaul
82 When successful bids are decided by filling up the notified amount from the lowest bid upwards, such an auctio
83 Which amongst the following statements is TRUE with respect to Futures and Forward contracts?Futures are st
84 If the required yield on a bond is equal to its coupon the bond will sell at par
85 When can a company withdraw funds from the debenture redemption reserve account?At least 10% of the deb
86 Credit rating Is primarily intended to systematically measure credit risk arising from transactions between lende
87 Which of the following is a NOT a use of interest rate derivatives? They can use be hedge credit risk
88 The Dated Securities issued by the Central Government in India has a maturity of ?2 to 30 year
89 The Clearing Corporation of India Ltd. will settle transactions in?money, government securities and Forex marke
90 A swap can be interpreted as a strip of?fixed rate agreements or future contracts
91 If successful bids are decided by filling up the notified amount from the bid upwards, such an auction is called a
92 Coupon of a floating rate bond is?modified at pre-set intervals with reference to a benchmark rate
93 Which of the following about state government borrowings is true?Most state government bonds are issued by
94 P1indicates that the degree of safety regarding timely payment is strong
95 Which of the following statements is true about the offer document?Offer document has to be filed for all publ
96 Which of the following statements is TRUE about the NSE MIBOR polling process?NSE keeps both participant id
 97 Which of the following statements is TRUE?Forward Rate Agreements - FRA's are OTC contracts
98 If interest rates fall, which of the following will hold good?The total return to the investor will change dependin
99 The issue of capital in India is governed by the SEBI 'Issue of Capital and Debt Requirements' Regulation ?false
100 According to the bond convention, ' NP' means? Net price of a bond
101 is not a Central Government T Bills maturity period ?152 days
102 When repo rate is higher than current yield, repurchase price will be adjusted?upward
103 Which of the following statements is TRUE about daily volumes in the call money market?Call money markets r
104 The consecutive one year forward rates will be lower in an Downward Sloping yield curve.
105 A trading member gets access to the inquiry screens from?6.45 p.m. to 7.00 p.m
106 As per a SEBI circular, the requirement of Rule 19(2)(b)of the Securities Contract (Regulation) Rules, 1957 will no
107 The highest call rates ever were around 35%
108 Commercial Paper is a Government Placed instrument ?false
109 The regulation of corporate debt issuance in India is under the purview of?SEBI
110 In the case of preference shares, the letters pf are prefixed by CRISIL to the debenture rating symbols
111 Which of the following statements is FALSE?The lower the YTM of a bond, the lower its duration.
112 To arrive at the average MIBOR/MIBID rates, NSE uses?adaptive trimmed mean
113 The largest investor in Commercial Papers in India is?Scheduled Banks
114 For every order accepted by the trading system, a trade confirmation slip is generated with the order number a
115 Which of the following statements is FALSE?Non-competitive bids are always deducted from the notified amou
116 The borrowings of State Governments for 2012-13 was placed at 156000 crores ?false
117 If the price of existing bonds are rising in the market, one of the major reason could be that the yield in the mar
118 SGL? Subsidiary general ledger
119 Which of the following factors does NOT directly affect call rates?Outcome of treasury bill auctions
120 In the WDM trading system, the trade price is based on active order price - False
121 How is a bond marked to market using a simple yield curve?The Y TM that corresponds with the tenor of the bo
122 In the case of preference shares, the letters 'PREF' are prefixed to the debenture rating symbols. False
123 PV01 of a bond represents?the change in rupee value of the bond for a 1bp change in yield
124 Which of the following statements about the ZCYC is TRUE?The ZCYC is the estimated theoretical spot rate curv
125 The periodicity of a 182 Day and a 364 Day T-Bill auction is ?fortnightly
126 In the case of securities held in SL form, which of the following statements is FALSE?Transfers are effected by ex
127 Trading member were the most active participants in the WDM segment of the NSE in 2012-13.
128 The repo auction conducted by the RBI on a daily basis is known as? Liquidity adjustment facility
129 Repo trades on the NEAT are matched in terms of?Rates, volume and other order conditions
130 In India, it is mandatory for Commercial Papers to be credit rated.? True
131 Underwriting fee is payable on the net amount, after accounting for the devolvement on Primary Dealers false
132 The minimum networth required to be eligible for listing debt by a Schedule Bank is 50 cr
133 Pure expectations hypothesis implies that the expected average annual return on a long term bond is the geom
134 Instruments which have the same rating of CRISIL are of?similar but not identical investment quality
135 Participants in the WDM are allowed privileged and inquiry users only.
136 owned subsidiary undertaking Primary dealer business to be eligible for primary dealership is 9%
137 Issuer to alter the tenor of a bond, by redeeming it prior to the original maturity date, are called callable bonds
138 The PSU Bonds listed on the NSE WDM segment have a market capitalisation of around 3,00,000cr
139 According to the Preferred Habitat Hypothesis, if there is excess of supply over demand in the intermediate term
140 PDAI?Primary Dealers Association of India
141 The relationship between price of a bond and its yield is?inversely related
142 The trading timings on WDM segment on NSE is?9am to 5pm
143 The accrued interest is?added to the clean price and paid by the buyer
144 CREDENCE is not a credit rating agency in Indian
145 European call option, the issuer specifies the date on which the option could be exercised
146 Duration is the First derivative of the price-yield function.
147 As per the listing criteria on NSE - WDM, the minimum market capitalisation required to be eligible for listing fo
148 Higher the term to maturity of the bond greater the price sensitivity
149 Call market represent the most active segment of the debt markets
150 Which one of the following conditions an offsetting swap, for a normal fixed-floating interest rate swap, does no
151 In order for a mutual fund scheme to be listed for trading on the WDM segment of NSE? the investment objecti
152 The trade price for repo trades is the Active order price on the WDM trading system.
153 Which of the following statements is TRUE? State Government funding for fiscal deficit through loans from the
154 The periodicity of a 91 Day T-Bill auction is? Weekly
155 The one time membership fees of (CCIL) is? 1 lakh
156 Commercial paper are issued by corporates
157 All volumes, in order entry screens and display screens, are in Rs.lakh unless informed to the trading member o
158 In case of an interest rate swap the payment are netted on the time of settlement date
159 Discriminatory price auction, all successful bidders pay the actual price (yield) they bid for.
160 The Fixed Deposit rating symbols assigned by CRISIL commence with "FD" False
161 The duration of a coupon paying bond is always? Lower than its term to maturity
162 The Debentures issued by a Corporate in India have a maturity of 1 - 12 years
163 Pure Expectation Hypothesis explains the yield curve as a function of a series of expected forward rates
164 FIMMDA was formed in the year 1988 - fasle
165 Who are currently the largest holders of T-bills Banks
166 If the yield curve is upward sloping, which of the following is false?There is an excess of demand over supply in
167 There are variousare
benefits of Negotiated
Primary dealers NOT directly involvedDealing System.
in extending Whichsupport
market of the below option
to retail is notinits
investors benefit Submissio
debt market
168
169 In the NSE WDM trading system, the best buy order is the one with the highest,buy price and the best sell orde
170 As per CRISIL ratings, the short-term instruments categories range from P1 TO P5
171 In
In India,
case ofthe Commercial
freeze Papershas
the Exchange arefollowing
regulatedoptions,
by RBI except Agree to both the orders
172
173 AAA areamongst
judged to
Which theoffer highest
following safety of timely
statements is NOTpayment of interest
TRUE about and principal.
Zero Coupon Bonds? Interest is paid at fixed interv
174
175 Zero coupon bonds are always sold a discount
176 In the methodology of Bond Index, the security prices used is the weighted average price of SGL
177 Order matching is carried out in the NSE WDM only between securities which carry the same conditions with re
178 FIMMDA, the Self Regulatory Organisation for debt markets in India was formed in the year 1998
179 How are the securities, used as collateral in a repo transaction, valued The value of the collateral is the dirty pri
180 The trading platform provided by NSE for the Wholesale Debt Market segment is known as National Exchange f
181 Which among the following options is NOT the most commonly known theory that attempt an interpretation of
182 Which amongst the following is not a major direct participant in the Indian Debt markets Common Man (Public
183 Which among the following is NOT a principal features of a bond Issuer
184 If players resort to downward adjustments,
The two main regulating agencies in India forthe
theimpact is on the
debt market yields
are for the
RBI and SEBIgovernment in the auction. In a D
185
186 Who is the regulating agency for the stock markets and the member-brokers of the stock exchanges in India SE
187 The state governments borrowing for 2012-13 was at Rs 188100
188 According to the bond convention, 'TR' means Total Return true
189 repo rate and coupon are equal then the repurchase price will be equal to the sale price of security
190 If the yield in thethe
market increases, the prices of existing bondsto
will fall and Forward contracts
Which amongst following statements is TRUE with respect Futures
191
192 When an order is entered by the trader / dealer, the system registers the order and confirms to the user by disp
193 in case of repo trades, the best buy order is one with n case of repo trades, the best buy order is one with
194 Which of the following statements about negotiated trade entry is false Negotiated trade entries can be made o
195 The
Whatsettlement cycle followed
does re-balancing in the
of a bond Retail
index DebtAdjusting
mean Market segment
the indexoffor
NSE is T+2 in the composition of the index p
changes
196
197 Which amongst the following is NOT a part of Model Listing Agreement contains clauses which are required to b
198 continuousmarket, orders entered by the trading members are matched by the trading system.
199 The price of a bond will be lower than the redemption value, if the required yield is higher than the coupon rate
200 The trading in privately placed debts shall only take place between QIB's and HNI's
201 The weighted average cost transaction
of market borrowings of state governments in 2012-13 wasnumber
between 8-9%
Settlement date for a repo on the WDM segment of NSE is after specified of Working days
202 .
203 Bonds with tenors ranging from 4 to 10 years are called medium term bonds.
204 SEBI governs the issue of Capital in India.
205 Which margin is collected to cover the notional loss Mark to Market
206 The security purchased in a reverse repo will enter the books at the  market price
207 The counter negotiated trade entry is automatically removed from the system at the end of the day true
208 If successful bids are filled up in terms of prices that are bid by participants from the highest price downward, su
209 If the required yield is lowerthan the coupon rate, the price of a bond will be higher than the redemption value
210 Which auction facilitates the re-issue of an existing security price-based auction
211 ‘Government Debt’ means a security created and issued by the Government for the purpose of raising a public l
212 Debentures rated C are judged to have factors present that make them vulnerable to default.
213 The maximum period for which a Commercial Paper can be issued is upto 1 year
214 According to the Liquidity Premium Hypothesis, if the liquidity premia are positive upto a certain term after whi
215 Banks which do not have a partly or wholly owned subsidiary undertaking Primary Dealership business should h
216 Commercial Paper can be issued for a minimum of 7 days from the date of issue
217 How are the market borrowings of state governments managed Bonds are issued by the RBI as well as the resp
218 Which of the following is NOT a credit enhancement mechanism for asset backed securities Enabling the servic
219 If a trade is cancelled, the counter party limit in the WDM segment of NSE is  automatically restored when trade
220 Which segment of the debt markets has highest market capitalisation Government bonds
221 To arrive at the average MIBOR/MIBID rates, NSE uses adaptive trimmed mean
222 The repo auction conducted by the RBI on a daily basis is known as liquidity adjustment facility
223 The company sends the debenture certificate/ credits the depository account in case of all allottees in a corpora
224 Which of the following is FALSE?  PDs cannot issue CPs.
225 What is the maximum brokerage that can be charged by an NSE trading member for a deal in government secur
226 In the case of securities held in SGL form, which of the following statements is FALSE? Transfers are effected by
227 Duration of the bond index is computed as market capitalisation weighted duration of all bonds in the index
228 Which of the following statements is TRUE about the NSE MIBOR polling process? NSE keeps both participant id
229 When can a company withdraw funds from the debenture redemption reserve account?  At least 10% of the de
230 Which of the following about the relationship between price and yield is FALSE?  The fall in bond yields for a ris
231 Which of the following about mandates to debt market brokers is FALSE Mandates cannot be renewed at the sa
232 An investing institution has paid some amount as application money in a privately placed corporate debenture i
233 SEBI does NOT regulate Commercial Paper and Certificate of Deposit
234 Which of the following statements about CP issuance is FALSE CPs cannot be issued by primary dealers
235 Which of the following statements is TRUE for a normal overnight-indexed interest rate swap? Floating rate can
236 Which of the following is FALSE? A charge can be enforced only if it is registered with the Registrar of the Comp
237 he average trade size at NSE-WDM segment is approximately Rs 6crore
238 In relation to documentation of a deal in the debt markets, which of the following statements is FALSE? A deale
239 About 65% of outright transactions in G-secs is reported on the WDM segment of NSE
240 Which of the following about a callable bond is true? Callable bonds are actually variable tenor bonds.
 Which of the following about the market capitalisation of corporate bonds in the NSE WDM is true?
241 loans
242 The most active participants
Which of the following is falseinabout
the WDM segment of the
the devolvement of NSE are Scheduled
treasury banks.
issues on the primary dealer? Underwriting fe
243 the devolvement on PDs
244 What is the day count convention in the treasury bill markets? Actual/365
245 Which of the following participants in the call markets are allowed to lend as well as borrow? Banks and Prima
246 The non-bank entities are allowed to participate in the call money market ? False
247 Which of theand
following statements is false
instruments security receipts for whichregarding
separatecredit ratingregime
regulatory of corporate debentures? . Debentures with m
248 is in place
249 Which of the following is the largest investor in CPs? Scheduled Banks
250 Which of the following entities cannot issue CPs? None of the above
251 If the RBI
What doesannounces thatofitahas
re-balancing bonddone repos
index of Rs.
mean 3000 crore,
Adjusting whatfor
the index does this imply?
changes in theRBI has inducted
composition funds
of the amo
index p
252
253 What is the information gathered from market participants in the poll to determine NSE MIBOR? Their view of t
254 The
Theday countof
duration convention for corporate
a coupon paying bond isbonds
alwaysislower
Actual/365
than its term to maturity, As long as some cash flows are
255 of the terminal cash flow cannot be 1
256 An interest rate swap transforms the nature of an existing liability or an asset
257 A swap can be interpreted as a strip of fixed rate agreements or future contracts
258 Forward rates cannot be negative
259 in the retail debt market segment of nse the face value of securities is rs100
260 in india the commercial paper are regulated by RBL
261 how the securties used as collateral in a repo transaction valued ? The value of the collateral is the dirty price o
262 Pure expectation Hypothesis explain the yield curve as a function of a series of expected forward rates
263 Debentures with maturity less than 18 months need not to be rated ? true
264 If interests rate fall, which of the following will hold good The total return to the investors will change dependin
265 The Repo auction conducted  ? Liquidity adjustment facility
266 which of the following statement is False ? The lower the YTM of a bond , the lower its duration
267 which of the following statement is true for a normal overnight - indexed interest rate swap ? F
00 lakh against a counter party and utilise Rs. 180 lakh on a given day which is outstanding in current asset limit. The next day, he mod
e bonds are actually variable tenor bonds

ior to the maturity date, are called CALLABLE bo nds ?false

xpected to change, the shape of the yield curve will be ?Flat

cerned securities?Initial margin

nd in longer maturities, the shape of the yield curve will be ?Downward sloping

tat hypothesis

auction?true
around?27,00,000cr

t Securities Regulation, 2008'? These regulations apply to issue and listing of securitized debt instruments and security receipts for whic

r by displaying an?Order Confirmation number

e yield relationship.?Only an approximation

ed subsidiary undertaking (PD) business to be eligible for Primary Dealership is? Rs 1000cr

e generated at his workstation.? 5:50 pm

uccessful bidders are allotted bonds at the same price

n the techniques of trading in the debt securities.? false

incipal.?AA
alership business should have net PAs of less than profit making record for the last three years.? 3

sted ?downward

Liquidity Preference Hypothesis

ticipants ?Their view of the market rates for lending and borrowing

. 10 crore) trade for 3 continuous trading days

ese is NOT a T Bill maturity ?51 days
market would lead to an decrease

XCEPT? Yield volatility

012-13 False

o 7 year period Deferred interest bonds

s. 5600 crores into the market

est and principal for the present

WDM in 2012-13 is TRUE? Market capitalisation of corporate bonds is lower than that of listed state loans

he relative degree of safety is lower than that of P1.

ns received during the month are? Immediately reinvested into bond index
ons is NOT TRUE?The issuer company have a net worth of at least Rs.3 crores in each of the preceding 3 full years

t the interest burden in the initial years is lower, and increases? Step up bond
niform across various tenors.? preferred habitat hypothesis

elow checks is NOT TRUE? For an order the order value can exceed the issue value
in CRISIL ratings?medium term
+ Ci,t.)/ GP i,t-1

d upwards, such an auction is called? Yield based

d contracts?Futures are standardized and Forwards are customized

nt?At least 10% of the debentures outstanding have been redeemed.

ansactions between lender and borrower.
dge credit risk

securities and Forex markets

such an auction is called a yield-based auction? lowest

nchmark rate
nment bonds are issued by the RBI.

has to be filed for all public issues only.

E keeps both participant identity and polled rate confidential.
stor will change depending on the investor's investment horizon.
ments' Regulation ?false

ket?Call money markets record the highest daily transaction value amongst all segment of debt market

ulation) Rules, 1957 will not be applicable to listing of privately placed debt securities

e rating symbols
ts duration.

d with the order number and all details of the given order at the user's local printer? false
ed from the notified amount of Treasury Bills auction.

e that the yield in the market is? falling

y bill auctions

ds with the tenor of the bond is used to value the cash flows of the bond.
ng symbols. False

d theoretical spot rate curve underlying coupon-paying bonds.

ransfers are effected by execution of the GL form III by the seller of the securities.

on Primary Dealers false

ong term bond is the geometric mean of the expected short term
estment quality

ership is 9%
, are called callable bonds
nd 3,00,000cr
nd in the intermediate term, the shape of the yield city will be? Humped
 to be eligible for listing for a Corporate body is ? 25 crores

nterest rate swap, does not have to satisfy? Fixed rate has to be the same
SE? the investment objective of the scheme should be to invest pre-dominantly in debt securities

it through loans from the Central Government has fallen over the years

d to the trading member otherwise

cted forward rates

of demand over supply in shorter maturities

s notinits
tors benefit Submission
debt market of physical SGL form

rice and the best sell order is the one with the lowest

erest is paid at fixed intervals

he same conditions with respect to settlement days, trade type but different repo period, if any false
e year 1998
he collateral is the dirty price of the security, less margin
wn as National Exchange for Automated Trading (NEAT)
ttempt an interpretation of the shape of the yield curve The Central Bank habitat hypothesis
kets Common Man (Public)

ment in the auction. In a Dutch auction

ock exchanges in India SEBI

ice of security
d contracts The tenure for futures is fixed as decided by the Exchange and the Forwards have a variable tenure.

onfirms to the user by displaying an Order Confirmation number

buy order is one with
rade entries can be made outside of set counter-party limits, and sent for approval within the end of the trading day.
composition of the index portfolio to ensure that artificial capital gains or losses are not included in the index.

ses which are required to be complied with only if the debentures are issued on public placement basis.

igher than the coupon rate.

asnumber
between 8-9%
of Working days for the ready leg and calendar days for the forward leg of the transaction

end of the day true

highest price downward, such an auction is called  price-based auction
han the redemption value

urpose of raising a public loan or for any other purpose as may be notified by the false Government in the Official Gazette

to a certain term after which they turn negative, the shape of the yield curve will be Humped
alership business should have a minimum CRAR of 9

the RBI as well as the respective state governments.

urities Enabling the servicing of payments through the originato
tically restored when trades are cancelled

of all allottees in a corporate debenture issue within 3 months from the deemed date of allotment

a deal in government securities for Rs. 20 million Rs. 30,000

Transfers are effected by execution of the SGL form III by the seller of the securities.
of all bonds in the index
E keeps both participant identity and polled rate confidential.
nt?  At least 10% of the debentures outstanding have been redeemed.
fall in bond yields for a rise in price is lower than the rise in bond yields for a fall in price
annot be renewed at the same terms after expiry of the validity period.
ced corporate debenture issue. They will receive interest on the application money at the coupon rate applicable to the debenture fo

y primary dealers
te swap? Floating rate can be set weekly.
the Registrar of the Companies.

tements is FALSE? A dealer cannot, under any circumstance, specify that a deal is subject to documentation.

able tenor bonds.

 WDM is true? Market capitalisation of corporate bonds is lower than that of listed state

ry dealer? Underwriting fee is payable on the net amount, after accounting for

borrow? Banks and Primary Dealers

ures? . Debentures with maturity less than 18 months need not be rated

RBI has inducted

composition funds
of the amounting
index portfolioto
toRs. 3000that
ensure crores into the
artificial market.
capital gains or losses are not included in the index.

SE MIBOR? Their view of the market rates for lending and borrowing
ong as some cash flows are received prior to maturity, the weightage

ollateral is the dirty price of the security less margin

ted forward rates

stors will change depending on investor's investment horizon

interest rate swap ? Floating rate can be set weekly

mit. The next day, he modifies the CP limit to Rs. 50 lakh. Which of the following will hold good? The CP limits cannot be modified to al

d security receipts for which separate regulatory regime is in place

Official Gazette

icable to the debenture for the period until the deemed date of allotment
s cannot be modified to al level lower than amounts in current asset limit.
 1 A 10% govt. of indian bond with a maturity is priced at a yield of 5% find the duration of this bond
ans settlement 2/1/2005
maturity 12/31/2019 use duration formula
coupon 10% 9.303248
yld 5%
frequency 2 (assume semiannual coupon payment)

2 a 10% govt of indian bond matuing on 10 aug 2017 is having a YTM of 8.33% on 10 june 2015 find th
(assume frequency of 2 ,base as 4 ,par value of bond as 100 and day cont as 30/360)
ans settlement 6/10/2015
maturity 8/10/2017 use price formula
rate 10% 103.2266
yld 8.33%
redemption 100 (par value of bond)
frequency 2
basis 4

3 find the term to maturity of a bond maturing on 18 june 2016 on date 10 march 2015
ans start date 3/10/2015
end date 6/18/2016 use days360 formula
and divided by 360 1.272222

4 a 10.35% GOI security is maturing on 30.6.2017and its priced in the market on 16.5.2015 at rs 102.88
( you can assume a frequency of 2 i.e semi annual , a day count of 30/360, pae value of the security a

ans settlement 5/16/2015 use yield formula

maturity 6/30/2017 0.088214
rate 10.35%
price 102.88
redemption 100 (par value of bond)
frequency 2
basis 4

5 if the rate for the 100dayd bond is 5.6840% and the rate for the 220 day bond is 6.7440% the rate fo
formula = R1+((R2-R1)*(D2-D1))/(D3-D1)
ans R1 7.542
R2 7.675
R3 7.630667
D1 60
D2 90
D3 80

6 what is the piece at which a treasury bill maturing on 10 jan 2015 would be valued on dec 31,2014 at
formula = 100/(1+(yield%*(no. of days to maturity /365)
ans yield 7.20%
no. of days to maturity dec 31,2014-jan 10,2015 ie 10 days difference betweeen 2 days
99.80302
 7 a 3 day repo is ebtered into on 10-7-2007 on an 11.99% 2015 security maturing on 7-4-2015 the face
if the repo rate is 7% what is the settlement amount on 10-4-2006 note frequency 2, basis 4
ans settlement 7/10/2007
maturity 4/7/2015 settlement amount
frequency 2
basis 4
coupdaybs 93
face value 40,000,000
rate 11.99%
price 118.5

8 a goi security with coupon of 10.44% maturing on 7-7-2015 is to be settled on 10-11-2014

what r the number of days from the pervious coupon date note frequency 2, basis 4
ans settlement 11/10/2014 use coupdaybs formula
maturity 7/7/2015 123
frequency 2
basis 4

9 a treasury bill maturing on 2-2-2014 is trading in the market on 27-2-2013 at a piece of rs 94.4646
what is the discount rate inherent in this price
formula = ((100-price)*365)/(price * no of days to maturity)
ans 6.29%

days of maturity

10 as pere the zero coupon yield curve the interest rate are
1 year rate 2% formula=((1+4 year rate)^4)/(1+3 year rate)^3)-1)
2 year rate 3%
3 year rate 4%
4 year rate 5%
find 3 year forward 1 year rate

11 a 8.79% goi security matures on 17-6-2015 and is trading at a ytm of 7.5248% on 10-1-2015
find the accrued interest on this security the day count followed is actual/360 and frequency 2
ans settlement 7/2/2001 use coupdaybs
maturity 5/29/2021 34
frequency 2 then use (coupdaybs/360)*coupon rate*100
basis 2 0.968056
rate 10.25%

12 the nse zcyc estimate of the spot rate for term 8.5847 year is 4.8446% calculate the discounted value
note the nsecyc assumes interest rate is continuously compounded use exponential function to estim
ans nomial rate 4.84%
npery 360
effect 4.96%
npery 8.5847
pmt 0
 fv 100
type 1
pv ₹ -65.98

13 mr mehta has a portfolio of 3 bonds priced at 102,98 and 106 and they have duration of 5,7 and10 ca
parallel shift in yield curve
ans first calculate the weighted average duration
value duration
102 5 510 rate 5%
98 7 686
106 10 1060
306 2256
change in value of the portfolio
formula value*weight avg duration*change in yield
11.28

14
find the duration of this bond

on formula

of 8.33% on 10 june 2015 find the pirice of the bond

cont as 30/360)

use price formula

e 10 march 2015

market on 16.5.2015 at rs 102.88 find the YTMof the secuiry

0/360, pae value of the security as 100 and basisi as 4)

day bond is 6.7440% the rate for the 160 days bond will be

ould be valued on dec 31,2014 at a yield of 7.2040%

y maturing on 7-4-2015 the face value of the transaction is rs 4,00,00,000 the price of the security is rs 118.50
ote frequency 2, basis 4

48638967

ettled on 10-11-2014
uency 2, basis 4

-2013 at a piece of rs 94.4646

price 94.4646
start 2/27/2013
end 2/2/2014
days of maturity 340

+3 year rate)^3)-1)

7.5248% on 10-1-2015
ctual/360 and frequency 2

/360)*coupon rate*100

% calculate the discounted value of a cash flow of rs 100 receivabe at the end of term
use exponential function to estimate the perest value
ey have duration of 5,7 and10 calulate the change in value of the portfolio if the yield decreases by 50bps you can assume