Question 1.5The Sovereign yield curves for Australia extracted from the Bloomberg database are provided in the Appendix frompages7to 8. Explain and compare the shape of these yield curves. Provide any economic intuition for the shape, curvature,and difference in yield curves. Include numerical figures and statistics to support your explanation. ( approximately 700 words)
5.1 SOVEREIGN YIELDS CURVE FOR AUSTRALIA Description: Sovereign yield curve is comprised of Australian dollar-denominated bonds issued by the Australian government. a) Date 28th February 2020 YCGT000131 0.558 ly 0.401 2y 0.390_3y 0.352 5y 0.386 10y 0.672 30y 1.284 AUD Australia Sovereign Curve AUD Australia Sovereign CL Actions 98) Table Export Settings Graph Curves X-Axis Tenor -Y-Axis Mid YTM Currency None - PCS BCMP Lower Chart Table Specific 02/28/20 Relative Last ID 1W 1M Modify Curves & Relative Value Plot Curves 1.40- 11 AUD Australia Sovereign Curve 02/28/20 MidYTH
> LAUD Australia Sovereign Curve Mid YTM + Add Field Base Ourve 11 Mid YTM Show Constituents on Base Curve . Recent Curves + US Treasury Actives Curve Curves related to AUD Australia Sove. Bond Spread to Curve Plot New Issues / Points Y BY SY - Interpolate Curves 2 15Y 2017 Tenor All Tenors O key Tenors 3 M 1Y 2Y 3Y SY 10Y 15Y 307 0.890 0.709 0.546 0.501 0.530 0.818 1.027 1.397 Curve Id 11.11 que dia 4:1-9797.8600 B jSF41.223.8998.gurope 3: 20.7283 35892660 many 4300227011292.678K097, 7ma M-5100 H1843701-006-her-2020 00:37:25 b) Date 06th March 2020 YCGT0001 3m 0.558 ly 0.401 2y 0.390 3y 0.351 5y 0.386 10y 0.672 30y 1.284 AUD Australia Sovereign Curve AUD Australia Sovereign CL Actions 98 Table Export Settings Graph Curves X-Axis Tenor .Y-Axis Mid YTM Currency None - PCS BCMP Lower Chart Table Specific 03/06/20 Relative Last 1D 1W 1M Modify Curves & Relative Value Plot Curves 11 AUD Australia Sovereign Curve 03/06/20 Mid YTH 00:37:55 Browse CRVF >> LAUD Australia Sovereign Curve Mid YTM + Add Field Bro Base Curve 11 Mid YTM Show Constituents on Base Curve - Recent Curves + US Treasury Actives Curve Curves related to AUD Australia Sove- - Bond Spread to Curve > LAUD Australia Sovereign Curve Mid YTM + Add Field Base Ourve 11 Mid YTM Show Constituents on Base Curve . Recent Curves + US Treasury Actives Curve Curves related to AUD Australia Sove. Bond Spread to Curve Plot New Issues / Points Y BY SY - Interpolate Curves 2 15Y 2017 Tenor All Tenors O key Tenors 3 M 1Y 2Y 3Y SY 10Y 15Y 307 0.890 0.709 0.546 0.501 0.530 0.818 1.027 1.397 Curve Id 11.11 que dia 4:1-9797.8600 B jSF41.223.8998.gurope 3: 20.7283 35892660 many 4300227011292.678K097, 7ma M-5100 H1843701-006-her-2020 00:37:25 b) Date 06th March 2020 YCGT0001 3m 0.558 ly 0.401 2y 0.390 3y 0.351 5y 0.386 10y 0.672 30y 1.284 AUD Australia Sovereign Curve AUD Australia Sovereign CL Actions 98 Table Export Settings Graph Curves X-Axis Tenor .Y-Axis Mid YTM Currency None - PCS BCMP Lower Chart Table Specific 03/06/20 Relative Last 1D 1W 1M Modify Curves & Relative Value Plot Curves 11 AUD Australia Sovereign Curve 03/06/20 Mid YTH 00:37:55 Browse CRVF >> LAUD Australia Sovereign Curve Mid YTM + Add Field Bro Base Curve 11 Mid YTM Show Constituents on Base Curve - Recent Curves + US Treasury Actives Curve Curves related to AUD Australia Sove- - Bond Spread to Curve
