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(15 points) Consider the following information: Bond Face value Coupon rate Coupon payments Maturity (months) Price STRIP $100 - - 6 $97 STRIP $100 -

(15 points) Consider the following information:

Bond

Face

value

Coupon

rate

Coupon

payments

Maturity

(months)

Price

STRIP

$100

$97

STRIP

$100

Treasury Note

$100

Semiannual

$101

Note: The coupon rate is an annualized rate that was annualized by multiplying the semiannual rate by two.

Suppose that the Law of One Price holds. Find the price of the 12-month STRIP (with a face value of $100). Please round your answer to the nearest cent (e.g., $123.45).

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