"Singapore Exchange (SGX) announced the listing of the world's largest Chinese pure government bond exchange-traded fund (ETF) for investors to access opportunities in China's onshore bond markets.

Loh Boon Chye, chief executive officer of SGX, said in a statement, "Global fixed income investors have been turning to Chinese sovereign bonds for added diversification and yields, and this product is a strong addition to our platform. SGX will continue to work with issuers and business partners to develop a multi-asset ETF product shelf that meets the demands of the investment community.""

Source: Nikkei Asia

You are a fixed income securities Manager and Jayden is your friend. He read the news and think the government securities is a good investment and he approached you for help.

a.Explain to Jayden what are Singapore Government Securities (SGS) and the difference between SGS bond and T-bills?

b.One of the primary purposes of SGS market is to provide a benchmark yield curve for corporate debt market. If the zero-rate cure is given as follows, calculate forward interest rates for the second years.

Date

1 Mo

3 Mo

6 Mo

1 Yr

2 Yr

5 Yr

10 Yr

03/10/20

0.212%

0.215%

0.226%

0.235%

0.196%

0.44%

0.86%

c.Assume the following 2-year SGS bond will be issued in Feb 2021, using the term sheet to calculate and explain the duration of this SGS Bond. Suppose the bond yield is continuous compounding.