Given

Debenture issued by Company X having the follo

Face value 1000
coupon 9%
maturity date 31/Mar/21
redemption amount 1050
Reported YTM 8.24%
Settlement date 1-Sep-18
daycount convention actual/actual

Compute clean price , total price and modified du

Clean Price Modified Duration
1056.93105615172 2.161508492376
154
37.972602739726
 X having the following features

payable annually

p.a.
End Date 1-Sep-21
ual/actual

ce and modified duration

fied Duration Clean Price
1094.90
Given
Debenture issued by Company X having the follo
Face value 500
coupon 9%
maturity date 31/Mar/21
redemption amount 525
Reported YTM 8.24%
Settlement date 1-Sep-18
daycount convention actual/actual

Compute clean price , total price and modified du

Clean Price Total Price
448.141203208795 467.13
 X having the following features

payable annually

p.a.
9/1/2021
ual/actual

ce and modified duration

Modified Duration
2.161508
Given
Debenture issued by Company X having the follo
Face value
coupon
maturity date
redemption amount
Reported YTM
Settlement date
Total Price
mpany X having the following features
1000
9.5%
31/Mar/22 payable annually
?
9.60% p.a.
1-Sep-18
1056.94
Compute estimated change in value of the portfolio (INR cr) for parallel upward shift
0.1% and risk spread increasing by 0.25%
by 0.1% and risk spread increasing by 0.25%

settlement 9/1/2018

coupon
Sr no Type Rating Maturity coupon frequency

1 GS sovereign 3/15/2028 7.68% 2

2 Corporate AA 4/21/2022 9% 1
3 Corporate A 3/31/2020 8% 1
4 Corporate AAA 3/31/2025 7% 2
lel upward shift in spot yield curve for GS by

initial # of face
YTM units value Daycount
( in '000)
6.85% 10000 100 30/360 E
8.25% 3000 1000 A/A
8.50% 5000 1000 A/A
7.45% 6000 1000 A/A
 Given:
1 3 year zero coupon risk free bond maturing at par
2 For A rated debenture :
probability of default : 5.35%
loss at default : 50

Compute the risk premium on A rated debenture

Estimate the price of the debenture.
d maturing at par is trading at 82.5.

rated debenture as compared with the risk free security.

 Given
zero coupon spot
cash flow of a
Year debenture bond rates for risk
free securities
1 8 6.23%
2 8 6.45%
3 8 6.64%
4 118 6.71%

The debenture is trading at 98.54

Compute the zero volatility risk spread for the debenture

Also compute the nominal spread for the
debenture
 Given
1 settlement date 11/1/2018
2 maturity date 10/31/2021
3 face value 1000
4 coupon ?
5 redemption ?
6 reported YTM 8.72%
7 clean price 1023
8 Coupon frequency annual
9 daycount A/A
10 Modified duration 2.48

Use MS Excel mduration formula to approximately estimate m

ximately estimate modified duration
 Given
1 cash inflow into a structured debt pool is as shown bel
2 The pool has borrowed 1000 from X at effective annua
3 X is to be serviced equal annual installments
4 After servicing X, the balance cash flow flows to invest
5 Y has invested 800
Compute the IRR of Y

Year Cash inflow

1 472
2 481
3 486
4 490
5 497
t pool is as shown below.
m X at effective annual rate of 10% p.a.
nstallments
h flow flows to investor Y
Given
Debenture issued by Company X having the following features
Face value 1000
coupon 9% payable annually
maturity date 31/Mar/22
redemption amou 1050
Reported YTM 8.24% p.a.
Settlement date 1-Sep-18

Compute the effective return after tax

Is the answer same as applying one minus tax rate to the pre-tax YTM?
ny X having the following features

payable annually

Assume
n after tax Income tax rate 34.61%
ng one minus tax rate to the pre-tax YTM? Capital gains tax rate20% net of indexation
Assume 5% p.a. increase in inflation index
of indexation
flation index
Given

Company X borrows USD 500 mn on 1st Sep 20

Interest payable quarterly for next 4 quarters a
Spot rate 72.175
Forward rate schedule
Bid
USDINR 1M FWD 22.25
USDINR 2M FWD 43.75
USDINR 3M FWD 66.25
USDINR 4M FWD 89
USDINR 5M FWD 112
USDINR 6M FWD 133.25
USDINR 7M FWD 158.5
USDINR 8M FWD 182
USDINR 9M FWD 205.25
USDINR 10M FWD 227.5
USDINR 11M FWD 249
USDINR 1Y FWD 272.25

Compute the borrowing cost of X in IRR terms,

0 mn on 1st Sep 2018
or next 4 quarters at 1.25% in USD

Ask
24.25
45.75
68.25
91
114
135.25
160.5
184
207.25
229.5
251
274.25

t of X in IRR terms, assuming fully hedged on currency