Financial Markets

ASSIGNMENT 3

GROUP 1 Tran Van Hien

Bui Duy hai
Ngo Dang Thi Nguyet Chau
Claire Guimard
Agenda
1. Regulations
2. Government Bond Information
3. YTM worth– Bond code: TD 1217038
4. Relation between price and YTM
Some Bond Trade Regulations
The day count convention
• Actual/actual *

The settlement date

• T+1

Bond quote

• Flat price
How are bonds quoted?
Main characteristics of bond code TD1217038

Bond Code TD 1217038

Term 5 years
Issuers State Treasury of Vietnam
Listing Volume 67 000 000
Interest payment form Periodically, end of period
Issue Date 15/06/2012
Maturity Date 15/06/2017
Coupon %/years 9,5%
First trading date 29/06/2012
Term Remain 881 days
Status Normal
Realized outright trading

Time Remaining Bond code Currencies Quote price YTM(%/year) Trading volume Trading value
term

15/1/2015 2 years TD1217038 VND 110,483 4.7702 500,000 58,039,500,000

• YTM = 4.7702 %/year

Result
(Realized)
• Price = 116079 VND
 109500
Calculated Price
9500 9500 9500 9500
Settlement date
16/01/2015

ISSUE
DATE

15/6/12 15/6/13 15/6/14 1-f 15/6/15 15/6/16 15/6/17

How much will I pay MATURITY
=> PRICE P DATE

• Accrued interest= MxC(1-f)=100000x9.5%(1-0.41)=5595,89

• Full price=Clean price + accrued interests=
110483+5595.89=116078,89
 109500
YTM worth
9500 9500 Settlement date 9500 9500
16/01/2015
ISSUE
DATE 15/6/15

15/6/12 15/6/13 15/6/14 f=0.41 15/6/16 15/6/17

What is YTM = i

=>i=YTM= 4.7594%

• YTM = 4.759 %/year

Result
(Calculated)
• Price = 116078,89 VND
Relation between Price and YTM

P: 116.078 VND
M: 100.000 VND

C : 9,5 %
YTM : 4,76%

Par value (VND) Price (VND)

100.000 116.078,89
Coupon rate (%) YTM (%)
9.5 4.76
Relation between Price and YTM
If the price is higher than par value,YTM will be lower than
coupon rate
If the price is lower than par value,YTM will be higher than
coupon rate
Thanks for your attention
Backup slides
Trading rules
Source http://hnx.vn/en/web/thi-truong-trai-
phieu/thong-tin-giao-dich1#
Calculate YTM using Goal seek
 Calculate YTM using linear
interpolation

If we try with i1=4.5%, we obtain residual value 659,46

If we try with i2=5%, we obtain residual value -545,04

The YTM can be estimated by

The bond’s YTM is close to =4,5+[0.5*545/(545+659)]=4.73%