Question
) On July 5, 2020, you purchase a $100,000 T-note that matures on July 15, 2031 (settlement occurs One day after purchase, so you receive
) On July 5, 2020, you purchase a $100,000 T-note that matures on July 15, 2031 (settlement occurs One day after purchase, so you receive actual ownership of the bond on July 6, 2020). The last coupon payment occurred on February 15, 2020 (144 days before settlement), and the next coupon payment will be paid on August 15, 2019 (40 days from settlement). The coupon rate on the T-note is 4.750 percent and the current price quoted on the bond is 103.250%. (5 points)
a) Find the accrued interest
b) Find the dirty price for this transaction
(ii) Use the information below to answer questions below (5 Points)
The prices and yields for on-the-run Treasurys were collected from the Wall Street Journal on July 27 10, 2020
U.S. Treasury Quotes. Thursday, July 27, 2020
Treasury issue
Prices and yields for on-the-run-treasuries
MATURITY | COUPON | Price | CHG |
10/15/2019 | 1.0000 | 99.3160 | 0.0080 |
06/30/2020 | 1.2500 | 99.3120 | 0.0020 |
07/27/2020 | 1.5000 | 99.3120 | 0.0020 |
06/30/2022 | 1.0000 | 101.2940 | 0.0040 |
06/30/2023 | 1.3750 | 102.0500 | unch. |
06/30/2024 | 3.1240 | 106.2860 | 0.0020 |
07/27/2024 | 3.2500 | 107.3060 | 0.0080 |
You decided to purchase a 4-year Treasury with a $100,000 face on July 27, 2020. But settlement will occur on July, 28 2020. The last interest payment on the asset was made on 06/30/2020. (Hint: Assume a 181-day coupon period)
a. What is the clean price of the 5-year Treasury? (2 points)
b. Calculate the accrued interest due to the seller. (2 points)
c. Calculate the dirty price of this transaction. (2 points)
I ONLY NEED PART ii
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