The document outlines an Excel workbook developed for managing a large treasury bond portfolio, detailing its structure which includes cash flow tables, transactions, accounts, and reports. It provides specific data on treasury bonds issued by the Bangladesh Bank, covering transactions and changes in budget accounts. Additionally, it summarizes flow and stock data regarding cash flows and outstanding debt over selected monthly periods.

1. Excel Workbook for
Treatment of a large
Treasury Bond Portfolio
By Werner Riecke

2. The Cash Flow Table for all T-bonds is generated based on parameters of
the Instruments table. All transactions (first primary placement, re-opening,
buy back) are recorded in the Transactions table. Accounts table keeps
track of daily changes in government securities related budget accounts.
Reports table(s) provide stock and flow data on governments securities for
selected time periods.
Cash Flow Table
Transactions
Instruments
Accounts
Reports

3. On March 6, 2013 Bangladesh Bank Debt Management Department kept
320 issued, not yet matured (“active”) Treasury bonds in its files.
Instruments table keeps track of the main parameters of T-bonds.
Treasury Bonds: Issuance Data
Reporting Date
# of Securities
o/w matured
Serial
Number
serial
2013-05-19
320
0
Issuance Date Maturity Date
First
2003-12-29
2013-06-18
Last
2013-03-06
2033-02-27
Instrument ID
Issuance
Date
Maturity
Date
Face Value
Coupon
Rate
iid
312
313
314
315
316
317
318
319
320
Tenor Coupon
(years) Frequency
tenor
idate
mdate
fval
coupon
BD0918251051
BD0923261103
BD0928271156
BD0933281208
BD0918291057
BD0923301107
BD0928311150
BD0933321202
BD0918331051
freq
5
10
15
20
5
10
15
20
5
2
2
2
2
2
2
2
2
2
2013-01-02
2013-01-09
2013-01-16
2013-01-23
2013-02-06
2013-02-13
2013-02-20
2013-02-27
2013-03-06
2018-01-02
2023-01-09
2028-01-16
2033-01-23
2018-02-06
2023-02-13
2028-02-20
2033-02-27
2018-03-06
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
11.62%
11.90%
12.20%
12.38%
11.72%
12.00%
12.30%
12.48%
11.82%

4. The Cash Flow Table contains the cash flow dates and amounts (principal and
coupon) for each bond of the portfolio, below shown for one bond in the last three
columns of the table. Data of the preceding columns is derived from the
Instruments table. Currently the Cash Flow Table contains 7173 records, cash
amounts of 320 bonds.
#flow dates and 7173
of records
Instrument ID
iid
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
BD0913011104
Issuance
Date
idate
Maturity
Date
Tenor
(Years)
mdate
tenor
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
2003-12-29 2013-12-28
Face
Value
fval
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
10
Coupon
Coupon
Frequency Rate
cfreq
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
Cash Flow
Date
Principal
Coupon
couponrate cfdate
principal
coupon
2
8.50% 2004-06-29
0
2
8.50% 2004-12-29
0
2
8.50% 2005-06-29
0
2
8.50% 2005-12-29
0
2
8.50% 2006-06-29
0
2
8.50% 2006-12-29
0
2
8.50% 2007-06-29
0
2
8.50% 2007-12-29
0
2
8.50% 2008-06-29
0
2
8.50% 2008-12-29
0
2
8.50% 2009-06-29
0
2
8.50% 2009-12-29
0
2
8.50% 2010-06-29
0
2
8.50% 2010-12-29
0
2
8.50% 2011-06-29
0
2
8.50% 2011-12-29
0
2
8.50% 2012-06-29
0
2
8.50% 2012-12-29
0
2
8.50% 2013-06-29
0
2
8.50% 2013-12-29
100,000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000
4250.0000

5. The Transactions table contains the transactions (sales and buy backs) of
Treasury bonds. Input parameters are transaction settlement date, quantity,
settlement price (in % of face value) and an indication of whether the transaction is
settled with cash (for special Treasury bonds the value is zero: Treasury does not
receive any cash from the allocation).
Treasury Bonds: Transactions
Instrument
ID
iid
BD0918251051
BD0918291057
BD0918331051
BD0923261103
BD0923301107
BD0928271156
BD0928311150
BD0933281208
BD0933321202
Issuance
Date
Maturity Settlement
Date
Date
idate
mdate
sdate
qty
2013-01-02
2018-01-02 2013-01-02
2013-02-06
2018-02-06 2013-02-06
2013-03-06
2018-03-06 2013-03-06
2013-01-09
2023-01-09 2013-01-09
2013-02-13
2023-02-13 2013-02-13
2013-01-16
2028-01-16 2013-01-16
2013-02-20
2028-02-20 2013-02-20
2013-01-23
2033-01-23 2013-01-23
2013-02-27
2033-02-27 2013-02-27
Accrued
Interest
Quantity Settlement
Cash
% of
Placed Price (dirty) Trans? Face Value
price
70,000
70,000
75,000
70,000
70,000
10,000
10,000
10,000
10,000
iscash
100.00%
100.07%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
percaccr
1
0.00%
1
0.00%
1
0.00%
1
0.00%
1
0.00%
1
0.00%
1
0.00%
1
0.00%
1
0.00%
Clean
Price
Nominal
Allotment
Settlement
Amount
cleanpricenominal
value
100.00% 7,000,000,000
7,000,000,000
100.07% 7,000,000,000
7,004,829,461
100.00% 7,500,000,000
7,500,000,000
100.00% 7,000,000,000
7,000,000,000
100.00% 7,000,000,000
7,000,000,000
100.00% 1,000,000,000
1,000,000,000
100.00% 1,000,000,000
1,000,000,000
100.00% 1,000,000,000
1,000,000,000
100.00% 1,000,000,000
1,000,000,000

6. The Accounts table records changes in budget accounts (proceeds from sale,
principal and coupon payments, change in Treasury Single Account, change in the
nominal value of debt outstanding) for each day of the chosen accounting period.
Additional accounts (e.g. discount/premium) may be defined.
Accounting Table
date
proceeds
principal
2013-01-01
0
2013-01-02
7,000,000,000
2013-01-03
0
2013-01-04
0
2013-01-05
0
2013-01-06
0
2013-01-07
0
2013-01-08
0
2013-01-09
7,000,000,000
2013-01-10
0
2013-01-11
0
coupon
0
0
0
0
0
0
0
0
0
0
0
0.00
469,200,000.00
0.00
864,400,000.00
238,250,000.00
123,900,000.00
383,724,520.00
212,625,000.00
152,150,000.00
127,500,000.00
758,000,000.00
tsa
cnomdebt
0.00
6,530,800,000.00
0.00
-864,400,000.00
-238,250,000.00
-123,900,000.00
-383,724,520.00
-212,625,000.00
6,847,850,000.00
-127,500,000.00
-758,000,000.00
nomdebt
0
856,765,013,000
7,000,000,000
863,765,013,000
0
863,765,013,000
0
863,765,013,000
0
863,765,013,000
0
863,765,013,000
0
863,765,013,000
0
863,765,013,000
7,000,000,000
870,765,013,000
0
870,765,013,000
0
870,765,013,000

7. The Report table summarizes flow and stock data from Accounts for each
month (flows), respective end-of-month (stocks)
Report: Cash Flow and Debt by Month/End of Month
Month/
Proceeds from
End of Month Primary Placement
Principal
Due
Coupon Payment
Due
period
proceeds
principal
coupon
31/01/2013
16,000,000,000.00
0.00 5,951,799,520.00
28/02/2013
16,004,829,461.30
0.00 6,081,754,150.00
31/03/2013
7,500,000,000.00
0.00 6,758,142,500.00
30/04/2013
0.00
0.00 6,736,035,475.00
31/05/2013
0.00
0.00 6,408,999,850.00
30/06/2013
0.00
4,113,920,000.00 7,049,621,200.00
31/07/2013
0.00
4,027,384,000.00 6,907,826,220.00
31/08/2013
0.00
3,633,600,000.00 7,406,854,150.00
30/09/2013
0.00 13,000,000,000.00 9,091,662,500.00
31/10/2013
0.00
6,366,900,000.00 8,371,240,475.00
30/11/2013
0.00
4,236,396,000.00 6,471,053,800.00
31/12/2013
0.00
4,100,000,000.00 8,119,046,200.00
Change of
Treasury
Single Account
Nominal Bond
Debt Outstanding
by End of Month
tsa
Nominal Debt Outstanding
10,048,200,480.00
872,765,013,000
9,923,075,311.30
888,765,013,000
741,857,500.00
896,265,013,000
-6,736,035,475.00
896,265,013,000
-6,408,999,850.00
896,265,013,000
-11,163,541,200.00
892,151,093,000
-10,935,210,220.00
888,123,709,000
-11,040,454,150.00
884,490,109,000
-22,091,662,500.00
871,490,109,000
-14,738,140,475.00
865,123,209,000
-10,707,449,800.00
860,886,813,000
-12,219,046,200.00
856,786,813,000

8. A similar Report can be created by using Pivot Table technique with
Accounts as source data.
Years
2011
2012
2013
date
Qtr1
Qtr2
Qtr3
Qtr4
Qtr1
Qtr2
Qtr3
Qtr4
Qtr1
Qtr2
Qtr3
Qtr4
Values
Sum of proceeds Sum of principal Sum of coupon
38,600,000,000.00
0 9,917,318,670
42,850,000,000.00
0 9,490,935,525
25,500,000,000.00
0 13,912,578,670
41,250,000,000.00
0 11,427,323,025
48,750,000,000.00
0 12,835,033,670
66,910,000,000.00
0 13,464,073,025
55,000,000,000.00
0 17,836,417,870
48,500,000,000.00
0 20,331,565,475
39,504,829,461.30
0 18,791,696,170
0.00
4,113,920,000 20,194,656,525
0.00 20,660,984,000 23,406,342,870
0.00 14,703,296,000 22,961,340,475
Sum of tsa
28,682,681,330.00
33,359,064,475.00
11,587,421,330.00
29,822,676,975.00
35,914,966,330.00
53,445,926,975.00
37,163,582,130.00
28,168,434,525.00
20,713,133,291.30
-24,308,576,525.00
-44,067,326,870.00
-37,664,636,475.00

9. Debt indicators can also easily derived from the Transactions enhanced
Cash Flow Table - 1
As of Reporting Date
Reporting Date
2013-05-20
Nominal Amount of Debt Outstanding on Reporting Date
BDT
Principal and Coupon due within next 3 months following Reporting Date BDT
Principal and Coupon due within next 12 months following Reporting Date BDT
Average Time to Maturity on Reporting Date
Average Time to Maturity on Reporting Date
(days)
(years)
896,265,013,000
33,139,205,570
145,757,305,240
2356
6.45

10. Debt indicators can also easily derived from the Transactions enhanced
Cash Flow Table - 2
Quarterly Debt Report (crore)
2012-12-31
Debt Outstanding
Flows:
Proceeds
Principal
Interest
Debt Service
Treasury Single Account
85,677
2013-03-31 2013-06-30 2013-09-30 2013-12-31
89,627
89,215
87,149
85,679
3,950.48
0.00
1,879.17
1,879.17
2,071.31
0.00
411.39
2,019.47
2,430.86
-2,430.86
0.00
2,066.10
2,340.63
4,406.73
-4,406.73
0.00
1,470.33
2,296.13
3,766.46
-3,766.46

11. Applying a Pivot Table with the Cash Flow Table as source data and
filtering out instruments the information on, including the individual cash
flow table for a single instrument can be queried.
Cash Flow Cash Flow Table
Dates
Values
Instrument ID
tenor
freq
rate
issuance
maturity
facevalue
cf date
Sum of principal Sum of coupon
BD0916211057
5
2
8.50% 2011-12-07 2016-12-06
100,000 2012-06-07
0
4250
2012-12-07
0
4250
2013-06-07
0
4250
2013-12-07
0
4250
2014-06-07
0
4250
2014-12-07
0
4250
2015-06-07
0
4250
2015-12-07
0
4250
2016-06-07
0
4250
2016-12-07
100000
4250

12. Applying a Pivot Table with the enhanced Cash Flow Table as source data
and filtering out instruments the information on, including the individual
amortization profile a single instrument can be queried.
Cash Flow Amortization Table
Dates
1 - PAID
0 - SCHEDULED
Instrument ID
tenor
freq
rate
issuance
maturity
facevalue
cf date
Sum of aprin
Sum of acoup Sum of status
BD0916211057
5
2
8.50% 2011-12-07 2016-12-06
100,000 2012-06-07
0.00 212,500,000.00
1
2012-12-07
0.00 212,500,000.00
1
2013-06-07
0.00 212,500,000.00
0
2013-12-07
0.00 212,500,000.00
0
2014-06-07
0.00 212,500,000.00
0
2014-12-07
0.00 212,500,000.00
0
2015-06-07
0.00 212,500,000.00
0
2015-12-07
0.00 212,500,000.00
0
2016-06-07
0.00 212,500,000.00
0
2016-12-07 5,000,000,000.00 212,500,000.00
0