Real Madrid Essay

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MFE8812 Bond Portfolio Management Project Assignment 1 (Due 19 February 2013) For this assignment: • Please include an executive summary (limited to 2 pages) that discusses and presents your main results. • Please relegate detailed methodological, technical and computational material for each question into separate appendices. Quotation of Taxable Book-Entry Singapore Government Securities (18-Jan-2013) Maturity Date 18-Apr-2013 11-Jul-2013 1-Nov-2013 1-Apr-2013 1-Jul-2013 1-Feb-2014 1-Jul-2014 1-Oct-2014 1-Jul-2015 1-Apr-2016 1-Sep-2016 1-Apr-2017 1-Sep-2018 1-Jun-2019 1-Sep-2020 1-Jun-2021 1-Sep-2022 1-Sep-2024 1-Mar-2027 1-Sep-2030 1-Apr-2042 Issue Code BQ13102N BS13100E BY12101X N508100V NX03100Z N212100H NX04100F N509100N N708100S N511100W NY01100F N710100Z NY03100A NX09100W NY05100N NX11100X NY07100X NY09100H NZ07100S NZ10100F NA12100N Benchmark Issue 2-Year 5-Year 10-Year 15-Year 20-Year 30-Year Coupon Rate# – – – 1.625% 2.250% 0.250% 3.625% 1.375% 2.875% 1.125% 3.750% 2.375% 4.000% 2.500% 3.250% 2.250% 3.125% 3.000% 3.500% 2.875% 2.750% Closing Prices* 0.23 0.25 0.26 100.25 100.89 100.02 104.94 101.87 106.33 102.68 112.35 108.55 118.95 110.57 115.57 108.13 116.04 114.27 118.51 110.48 104.21 # Treasury bills are issued at a zero-coupon basis. * Data reflect closing bid rates quoted by SGS primary dealers. For treasury bills, the price is quoted in yield terms; for treasury notes and bonds, the price is quoted in S$ per S$100 of principal amount, excluding any applicable accrued interest (i.e. on clean basis). Answer question 1 to 4 using the above table that gives the closing prices of the Singapore Government Securities (SGS). 1. Compute the accrued interest (if applicable) and the bond equivalent yield of each security assuming the settlement date is 18 January 2013. 1 MFE8812 Assignment 01 22 January 2013 2. Estimate and plot the spot rate

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