Swinburne University of Technology

FIN30021 Fixed Income and Debt Markets

ASSIGNMENT REQUIREMENTS
DUE 20th November 2022
Mark allocation = 40% of overall unit marks

You are to complete BOTH PARTS of the assignment.

This assessment is an INDIVIDUAL assignment
Note: the work submitted should be the student’s own.

Part A.
Marks 20%
Your task is to select one of the following countries (either UK or Singapore)
and summarise the debt market for that country. Some of the areas that maybe
covered in this research are:

• Historical background of the country and its debt market

• Regulatory Framework in relation the debt market
• Exchange characteristics for trading of debt securities
• Banking sector and its involvement in the debt market
• Government debt & instruments – amounts issued and outstanding and description
of each instrument.
• Non-Government debt and instruments– amounts issued and outstanding and
description of each instrument.
• Credit Ratings – the importance for this country
• Any other area that you think needs to be mentioned

To find information for the question, the Internet should be your first port of call.
Visit the web sites for the country’s central bank or Treasury department, and Bank
for International Settlements and in the case of some developing nations, the IMF,
and the World Bank. Other forms of media (newspapers, business journals and
textbooks) can be very useful. The data should be as current as possible

It should be appropriately referenced and structured as a report. (i.e. title page,

executive summary, contents, introduction, main body, conclusion, and
bibliography in Arial 12 point). Please do not cut and paste but put the
explanations in your own words.
You are to submit the project in WORD format with your answer for Part B in
the submission folder within Canvas by the due date.
(Guide Word range 2 000 to 4000 words)
(20 Marks)

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 Part B
Marks 20%
Answer the following questions using the data in the table below. Submit your
solutions with workings in a report format, which is in WORD format. You are to
submit both the report and the Excel file, or any other file used in the
calculations.

(a) On the 1st of July 2022, you bought the following portfolio of
Commonwealth Government bonds. Calculate the amount you paid for
each instrument per $100 face value and thus the total for the equally
weighted portfolio: Use the yields within the table at the end of the
assignment which correspond to your student ID number.

Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bonds
Treasury Bond Treasury Bond Treasury Bond Treasury Bond Treasury Bond Treasury Bond
137 142 154 165 144 162
2.75% 4.25% 2.75% 1.75% 3.75% 1.75%
21-Apr-2024 21-Apr-2026 21-Nov-2029 21-Nov-2032 21-Apr-2037 21-Jun-2051

(b) Calculate the price of the instruments if they were sold on 30th of June 2023

(c) Calculate the holding period yield for each instrument if you sold them on
the 30th of June 2023. Using the reinvestment rate contained within the
table.

(d) What would be the holding period yield for the portfolio as a whole over the
same period? Comment on your answer

(e) Using a table format, manually calculate the duration and convexity for the
3.75% 21st April 2037 Treasury Bond 144 on the 21st April 2023, if the yield
for that day is contained within the table below.

(f) Using a spreadsheet (Excel) and its duration formula, calculate the duration
for all the bonds as at 30th of June 2023.

(g) What is the duration for the portfolio?

(h) If the portfolio had 44-day Bank Accepted bill with the yield contained within
the table, what would be the bill’s duration? Explain you answer.

(i) Comparing the two sets of rates, what can you say about the term structure?
Note: show all calculations for parts (a) to (i).
(6 + 6 + 12 + 6 + 8 + 3 + 3 + 2 + 4 = 50 marks)
Will be converted to a mark out of 20

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 Data for Part B
Use the data which corresponds to your student ID number.

PART A PART B

Yields as at 1st July 2022 Yields as at 30 June 2023

Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury
Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds
Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury
Bond 137 Bond 142 Bond 154 Bond 165 Bond 144 Bond 162 Bond 137 Bond 142 Bond 154 Bond 165 Bond 144 Bond 162 Part C
2.75% 4.25% 2.75% 1.75% 3.75% 1.75% 2.75% 4.25% 2.75% 1.75% 3.75% 1.75% Reinvestment Part E Part H
21-Apr- 21-Apr- 21-Nov- 21-Nov- 21-Apr- 21-Jun- 21-Apr- 21-Apr- 21-Nov- 21-Nov- 21-Apr- 21-Jun- Rate
Student Id 2024 2026 2029 2032 2037 2051 2024 2026 2029 2032 2037 2051
101216015 1.868 1.731 1.965 2.015 1.233 1.453 1.645 1.534 1.816 0.93 1.312 1.085 0.793 0.811 0.362
101223170 2.898 3.104 3.485 3.113 3.255 3.770 1.880 2.083 2.370 3.682 3.200 2.861 0.779 3.233 1.206
101223303 3.981 3.267 2.990 2.418 2.917 1.875 2.178 3.405 2.488 1.613 2.023 1.905 0.260 2.918 0.806
101223691 2.228 1.295 2.404 2.813 3.971 2.049 3.401 3.251 3.943 3.893 2.111 1.403 0.280 2.295 0.253
101224157 3.688 1.326 3.833 3.314 2.129 1.983 2.024 1.866 1.378 3.985 1.710 2.080 1.999 2.448 0.946
101224209 1.666 3.997 1.718 3.612 3.471 2.072 3.245 3.372 2.533 1.809 3.046 3.550 0.670 3.022 1.267
101224306 3.714 3.926 3.484 3.420 2.987 3.979 3.508 3.596 2.684 3.724 3.524 2.588 0.742 3.300 0.280
101224953 3.689 2.383 2.659 1.638 3.027 3.954 1.897 3.780 3.401 2.359 2.182 3.175 1.502 2.242 0.832
101226661 2.963 2.156 3.430 1.967 3.532 2.713 3.357 1.301 2.516 3.497 3.720 3.028 1.100 2.889 1.196
101226687 3.446 2.368 2.211 2.735 1.642 1.673 1.344 2.072 2.277 1.887 2.020 2.394 1.901 2.114 0.304
101226852 3.945 3.901 3.874 3.765 1.625 3.345 1.330 3.496 3.693 3.549 3.251 3.893 1.688 1.276 0.400
101226865 2.733 3.236 3.953 1.566 2.135 1.543 1.565 1.901 1.291 3.976 3.704 3.888 0.576 1.829 0.900
101226878 3.622 2.932 2.751 2.329 1.397 3.253 3.178 1.896 1.469 3.417 1.524 3.181 1.424 1.347 0.597
101226946 2.524 3.339 1.335 2.994 2.485 1.526 3.827 2.920 1.778 2.771 2.337 3.205 0.441 3.673 0.527
101227444 1.792 3.596 2.208 1.865 3.261 1.261 3.809 3.554 2.195 3.238 1.532 1.256 1.119 3.444 1.178
101229437 3.434 3.255 2.931 3.042 2.325 1.276 2.203 2.672 1.611 1.342 1.365 3.579 1.731 2.083 0.916
101230264 1.416 3.823 2.797 1.982 3.440 2.138 3.532 1.301 1.696 2.037 3.195 1.711 1.780 1.674 0.642
101230808 1.760 2.236 3.996 2.504 1.671 2.895 3.970 1.547 2.568 2.730 1.724 2.453 1.555 2.596 1.216
101230837 3.896 2.797 1.873 3.748 3.146 2.267 3.005 1.931 3.772 3.460 2.563 2.570 1.170 3.399 0.999
101230963 2.897 3.708 1.572 2.253 3.186 3.938 3.707 3.085 1.865 1.258 3.192 2.143 0.375 2.024 0.569
101230992 2.205 2.813 2.002 1.969 2.178 2.585 2.914 1.979 2.412 3.623 3.858 2.824 1.536 3.479 0.571
101231092 1.663 2.976 2.500 2.696 2.321 2.625 2.325 3.898 1.294 1.641 1.899 3.719 1.096 2.901 0.669
101231283 1.399 2.316 3.563 2.707 1.594 3.729 3.483 1.810 3.234 2.173 3.303 3.599 0.382 3.821 0.520
101233179 3.362 1.401 3.474 2.314 2.553 2.100 2.285 3.364 2.934 3.151 1.783 1.526 1.663 3.425 1.313
101233357 3.220 1.796 1.923 2.719 1.482 2.760 3.893 3.974 3.476 3.404 1.459 2.562 0.662 3.683 0.849
101233373 2.082 3.211 3.445 2.749 3.203 2.525 3.483 2.290 3.378 2.150 2.183 3.066 1.998 2.276 1.289
101233470 2.294 2.938 3.745 3.497 2.098 1.464 2.511 2.130 3.806 2.593 3.954 2.500 1.548 3.611 1.158
101233551 3.773 2.513 1.564 3.260 3.721 3.033 3.547 2.450 1.521 2.452 2.536 2.857 1.199 2.059 1.011
101233700 2.173 1.302 1.706 1.029 1.919 1.464 2.311 1.029 2.21 1.875 1.033 2.166 0.268 2.178 0.639

FIN30021 Major Assignment 2022 Page 3 of 3

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 PART A PART B

Yields as at 1st July 2022 Yields as at 30 June 2023

Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury
Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds
Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury
Bond 137 Bond 142 Bond 154 Bond 165 Bond 144 Bond 162 Bond 137 Bond 142 Bond 154 Bond 165 Bond 144 Bond 162 Part C
2.75% 4.25% 2.75% 1.75% 3.75% 1.75% 2.75% 4.25% 2.75% 1.75% 3.75% 1.75% Reinvestment Part E Part H
21-Apr- 21-Apr- 21-Nov- 21-Nov- 21-Apr- 21-Jun- 21-Apr- 21-Apr- 21-Nov- 21-Nov- 21-Apr- 21-Jun- Rate
Student Id 2024 2026 2029 2032 2037 2051 2024 2026 2029 2032 2037 2051
101233771 1.647 1.851 1.101 1.583 2.015 1.464 2.233 2.453 1.365 2.408 1.808 2.166 0.158 1.877 0.691
101233852 2.173 1.498 2.083 1.838 2.409 1.41 2.311 2.373 1.629 1.808 1.444 1.844 0.714 2.178 0.201
101233920 1.137 1.851 1.604 2.409 2.474 2.363 2.136 2.453 1.272 1.038 2.271 2.162 0.74 1.322 0.708
101234004 1.388 1.942 1.469 1.506 2.015 1.212 1.429 2.005 1.205 1.421 2.405 1.117 0.83 2.038 0.905
101234033 1.939 1.851 1.367 1.136 2.274 2.428 1.172 2.453 1.157 2.172 1.875 1.532 0.944 2.376 0.429
101234114 1.137 1.355 2.083 1.029 1.908 1.306 2.136 2.373 1.081 2.231 1.21 2.162 0.944 1.322 0.217
101234127 1.49 2.449 1.604 1.495 1.113 1.453 1.409 1.534 1.272 2.408 1.976 1.085 0.204 1.523 0.691
101234224 2.319 2.419 1.965 1.136 1.888 2.363 1.774 1.825 1.816 2.172 2.132 2.263 0.43 1.6 0.968
101234253 1.228 1.942 2.305 1.006 2.274 1.534 1.783 2.005 1.205 2.231 1.21 1.186 0.83 1.685 0.646
101234347 2.319 1.464 2.083 2.409 2.049 1.718 1.774 1.457 1.081 1.038 2.025 2.162 0.714 1.6 0.217
101234363 1.228 1.969 2.442 1.966 1.583 1.534 1.783 1.697 2.183 1.769 1.629 1.703 0.623 1.685 0.277
101234389 1.731 1.645 1.312 1.816 1.534 0.93 1.965 1.868 1.085 1.453 2.015 1.233 0.944 1.495 0.362
101234473 3.104 1.880 3.200 2.370 2.083 3.682 3.485 2.898 2.861 3.770 3.113 3.255 0.66 1.364 0.987
101234716 3.267 2.178 2.023 2.488 3.405 1.613 2.990 3.981 1.905 1.875 2.418 2.917 0.192 2.543 0.277
101234952 1.295 3.401 2.111 3.943 3.251 3.893 2.404 2.228 1.403 2.049 2.813 3.971 0.158 2.543 0.201
101235023 1.326 2.024 1.710 1.378 1.866 3.985 3.833 3.688 2.080 1.983 3.314 2.129 0.43 1.364 0.708
101235049 3.997 3.245 3.046 2.533 3.372 1.809 1.718 1.666 3.550 2.072 3.612 3.471 0.83 1.952 0.968
101235081 3.926 3.508 3.524 2.684 3.596 3.724 3.484 3.714 2.588 3.979 3.420 2.987 1.056 1.397 0.987
101235117 2.383 1.897 2.182 3.401 3.780 2.359 2.659 3.689 3.175 3.954 1.638 3.027 0.828 1.576 0.715
101235175 2.156 3.357 3.720 2.516 1.301 3.497 3.430 2.963 3.028 2.713 1.967 3.532 0.268 1.397 0.637
101235272 2.368 1.344 2.020 2.277 2.072 1.887 2.211 3.446 2.394 1.673 2.735 1.642 0.623 1.952 0.715
101235751 3.901 1.330 3.251 3.693 3.496 3.549 3.874 3.945 3.893 3.345 3.765 1.625 0.714 1.523 0.646
101235845 3.236 1.565 3.704 1.291 1.901 3.976 3.953 2.733 3.888 1.543 1.566 2.135 0.158 0.811 0.646
101236084 2.932 3.178 1.524 1.469 1.896 3.417 2.751 3.622 3.181 3.253 2.329 1.397 0.85 1.94 0.639
102761118 3.339 3.827 2.337 1.778 2.920 2.771 1.335 2.524 3.205 1.526 2.994 2.485 0.43 1.576 0.985
102764515 3.596 3.809 1.532 2.195 3.554 3.238 2.208 1.792 1.256 1.261 1.865 3.261 0.976 1.952 0.277
102764722 3.255 2.203 1.365 1.611 2.672 1.342 2.931 3.434 3.579 1.276 3.042 2.325 0.268 1.364 0.929
102765194 3.823 3.532 3.195 1.696 1.301 2.037 2.797 1.416 1.711 2.138 1.982 3.440 0.793 1.397 0.929
102765518 2.236 3.970 1.724 2.568 1.547 2.730 3.996 1.760 2.453 2.895 2.504 1.671 0.204 2.543 0.637
102765990 2.797 3.005 2.563 3.772 1.931 3.460 1.873 3.896 2.570 2.267 3.748 3.146 0.85 1.877 0.646
102769701 3.708 3.707 3.192 1.865 3.085 1.258 1.572 2.897 2.143 3.938 2.253 3.186 0.478 2.038 0.362
102769730 2.813 2.914 3.858 2.412 1.979 3.623 2.002 2.205 2.824 2.585 1.969 2.178 0.976 1.125 0.715
102769895 2.976 2.325 1.899 1.294 3.898 1.641 2.500 1.663 3.719 2.625 2.696 2.321 0.714 1.576 0.929
102770088 2.316 3.483 3.303 3.234 1.810 2.173 3.563 1.399 3.599 3.729 2.707 1.594 0.793 2.376 0.691
102770570 1.401 2.285 1.783 2.934 3.364 3.151 3.474 3.362 1.526 2.100 2.314 2.553 0.828 1.125 0.968
102771366 1.796 3.893 1.459 3.476 3.974 3.404 1.923 3.220 2.562 2.760 2.719 1.482 0.85 1.322 0.201
102771609 3.211 3.483 2.183 3.378 2.290 2.150 3.445 2.082 3.066 2.525 2.749 3.203 0.976 1.495 0.985
102773757 2.938 2.511 3.954 3.806 2.130 2.593 3.745 2.294 2.500 1.464 3.497 2.098 0.66 1.94 0.929
102773760 2.513 3.547 2.536 1.521 2.450 2.452 1.564 3.773 2.857 3.033 3.260 3.721 0.623 1.94 0.429
102773786 3.596 3.532 1.365 1.865 3.364 1.641 2.797 2.897 2.562 2.625 3.748 2.321 0.714 1.397 0.362
102773841 3.714 3.255 3.833 3.765 2.485 2.072 2.178 1.866 1.778 2.037 3.704 3.175 0.192 2.376 0.708

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 PART A PART B

Yields as at 1st July 2022 Yields as at 30 June 2023

Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury
Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds Bonds
Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury Treasury
Bond 137 Bond 142 Bond 154 Bond 165 Bond 144 Bond 162 Bond 137 Bond 142 Bond 154 Bond 165 Bond 144 Bond 162 Part C
2.75% 4.25% 2.75% 1.75% 3.75% 1.75% 2.75% 4.25% 2.75% 1.75% 3.75% 1.75% Reinvestment Part E Part H
21-Apr- 21-Apr- 21-Nov- 21-Nov- 21-Apr- 21-Jun- 21-Apr- 21-Apr- 21-Nov- 21-Nov- 21-Apr- 21-Jun- Rate
Student Id 2024 2026 2029 2032 2037 2051 2024 2026 2029 2032 2037 2051
102774093 3.689 3.823 1.718 1.566 3.261 3.979 3.401 3.372 2.195 2.730 1.524 3.028 1.056 2.376 0.931
4335198 2.963 2.236 3.484 2.329 2.325 3.954 2.024 3.596 1.611 3.460 2.337 2.394 0.478 1.523 0.201

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