# INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES, assignment help

(a) On the 1st September 2015, 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 given.

 F16 INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES Title Treasury  Bonds Treasury  Bonds Treasury  Bonds Treasury  Bonds Treasury  Bonds Description Treasury Bond 120 6.00% 15-­Feb-­2017 Treasury Bond 141 3.25% 21-­Oct-­2018 Treasury Bond 124 5.75% 15-­May-­2021 Treasury Bond 139 3.25% 21-­Apr-­2025 Treasury Bond 144 3.75% 21-­Apr-­2037 Frequency Daily Daily Daily Daily Daily Type Original Original Original Original Original Units Per cent per annum Per cent per annum Per cent per annum Per cent per annum Per cent per annum 01-­Sep-­2015 1.790 1.765 2.130 2.640 3.275 31-­May-­2016 1.700 1.665 1.820 2.250 2.925

(b)Calculate the price of the instruments if they were sold on 31st May 2016

(c)Calculate the holding period yield for each instrument if you sold them on the  31st  May  2016.  Assume  the  reinvestment  rate  is  1.75% p.a.  for  the bonds.

(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 3.25% 21st April 2025 Treasury Bond 139 on the 21st April 2016, if the yield was 2.545%.

(f)Using a spreadsheet (Excel) and its duration formula, calculate the duration for all the bonds as at 31st May 2016.

(g)What is the duration for the portfolio?

(h)If the portfolio had 60-­day Bank Accepted bill with a yield of 1.34%, what would be the bill’s duration?  Explain you answer.