Refer to Table 61. (LG 6-2)
- Verify the July 16, 2013, asked yield of 0.69 percent on the Treasury bond, stripped principal STRIP maturing August 2016. Use a two-day settlement period from the date of purchase (i.e., ownership occurs on Thursday, July 18, 2013). The STRIP matures on August 15, 2016.
July 16, 2013 to August 15, 2016 is
- Verify the asked price (62.559) on the Treasury note, stripped principal STRIP maturing in November 2027 (i.e., the STRIP matures on November 15, 2027).
5. On July 10, 2015, you purchase a $10,000 T-note that matures on December 31, 2024 (settlement occurs two days after purchase, so you receive actual ownership of the bond on July 12, 2015). The coupon rate on the T-note is 2.125 percent and the current price quoted on the bond is 98.250 percent. The last coupon payment occurred on June 30, 2015 (12 days before settlement), and the next coupon payment will be paid on December 31, 2015 (172 days from settlement). (LG 6-2)
- Calculate the accrued interest due to the seller from the buyer at settlement.
- Calculate the dirty price of this transaction.
Treasury Notes & Bonds U.S. Treasury Strips Tuesday, July 16, 2013 Tuesday, July 16, 2013 Treasury note and bond data are representative over-the-ccunter quotations as of3 p.m. Eastem tme For notes and bonds callable prir to maturity, ylalds are computed to the earlest call date for issues quoted above par and to the maturty date for issues below par. U.S. zero-coupon STRIPS allow investors to hold the interest and principal components of elgible Treasury notes and bonds as separate securtdes STRIPS offer no Interest payment Investors recelve payment only at maturty Quotes are as of 3 p.m. Eastern time based on transactions of $1 millon or more. Yles caculated on the ask quote. Asked yield 0.0078 -0.257 Maturky Maturity 31/2013 Coupon 3.375 100.1250 100.1406 Bid Asked Chg Bid Asked Ch Asked yield Treasury Bond, Stripped Principal &15/2013 4250 100.3359 100.3438 a.0078 -0.040 2015 Feb 15 2015 Aug 15 2015 Nov 15 2016 Feb 15 2016 May 15 2016 Aug 15 2020 Aug 15 2021 Feb 15 2021 May 15 2021 Aug 15 2021 Nov 15 2022 Aug 15 2026 Aug 15 8/31/2013 915/2013 30/2013 3.125 100.3750 100.3828 0.750 100.1094 100.1172. 0.125 100.0156 100.0234 0.500 100.1094 100.1172. 2,750 100.7734 100.7813 4250 101.3750 101.3828 a.0078 -0.005 unch. unch 99.589 99231 99.605 99.251 0,034 0.024 0.25 036 0.031 0.011 98961 98659 98322 98.984 98.684 98.350 0038 0.049 0.053 0.44 051 0.59 0,023 0.037 0044 J01 52013 10/31/2013 /52013 unch. 0.0078 0.0078 97.858 86623 97.888 86.684 84.933 0.065 0,089 Ql13 0.69 2,03 2.17 l1/30/2013 3/31/2014 4/30/2014 2.000 1007109 100.7188 1750 101.1328 101.15634 0250 100.0938 100.1016 unch. 0.0078 0.0078 0.065 0109 0.121 84.869 84.038 83104 82.191 84.103 83.171 82.259 0.099 010L 0103 2.22 2.29 2.36 4/302014 5/31/2014 531/2014 6/30/2014 6/30/2014 7/31/2014 1875 101.3672 101.3750 0250 100.1016 100.1094 2250 101.8281 1018359 unch 00078 -0.0078 -0.0030 0.129 0.124 Q141 Q123 0141 0.140 0.155 79.857 66.397 79.928 66483 0152 0223 0204 2.48 3.14 3.21 0250 100.0977 100.1211 2.625 102.3594 102.3672 0.125 0.0078 0.0078 2027 Feb 15 64.822 64.909 99.9766 99.9844 2027 Aug 15 2027 Nov 15 2028 Aug 15 2039 Aug 15 2039 Nov 15 63.224 62.471 60.386 63.311 62.559 60.476 0206 0.207 0.255 3.27 3.30 3.36 unch unch 0.0078 unch 0.0078 731/2014 &15/2014 2,625 102.5547 102.5625 4250 104.3984 104 40634 0165 38138 37.643 &31/2014 &31/2014 302014 0250 1000938 100.1016 2.375 102.4688 1024766 0250 100.0781 100.1016 0.159 0.165 0251 0250 38.236 37.741 3.72 3.73 0.166 2043 Feb 15 32.694 32.388 32.789 0268 0267 3.81 3.81 930/2014 10/31/2014 031/2014 2375 102,6406 102.6563 0250 1000859 100,0938 2.375 102.7969 102.8125 0,0078 00078 0.167 Q177 0188 2043 ay 15 32.483 Treasury Note, Stripped Principal 0.0078 0192 Q193 2013 Aug 15 2014 Feb 15 2014Aug 15 2015 Feb 15 2015 Aug 15 2019 Oct 3 2020 Jan 31 99.996 99.997 99.938 unch. unch. 0.04 011 1/52014 1/30/2014 11/30/2014 4250 105.3516 105.3828 0250 100.0703 100,0781 00234 0.0078 unch 99.932 -0001 0022 99810 99.585 99821 0.17 025 2.125 102.6250 1026406 0.196 9960 00156 00078 00155 12/152014 12/31/2014 12/31/2014 0250 1000547 100,0625 0125 99.8594 2,625 103.4844 103.5078 0206 0.211 0.207 0760 0785 99.226 89 400 88.548 99.246 89456 88.605 0040 0093 0084 0.36 1.78 1.86 998750 52016 11/30/2016 12/31/2016 4.625 112.6484 1126797 2.750 1064609 105.5234 3250 108.2422 108.3047 0.1094 0.0469 0.0703 0.0859 0.0625 00625 2022 May 15 2022 Nov 15 80.706 79.056 80.777 79.129 0.149 0.173 2.43 2.53 0.807 3/31/2017 4/30/2017 S15/2017 3250 108.4531 1084844 3.125 108.0313 108,0625 4.500 113.2188 113.2813 0915 0953 0959 0977 Stripped Coupon Interest 99.995 99.967 2013 Aug 15 2013 Nov 15 99.996 99.970 unch. unch. 0.05 0.09 0.0781 00859 5131/2017 6/30/2017 2.750 106.6875 106.7188 2.500 105.6953 105.7266 98.133 97934 82.972 2016 Jun 30 2016 Aug 15 2021 Aug 15 98.104 97.903 82.906 0,055 0.057 0.102 0.64 0,68 2.32 1.019 L052 731/2017 815/2017 &31/2017 2375 105.1875 105.2188 4.750 114.7109 114.7422. 1875 103.1094 103.1406 0.0938 0089 01016 1.049 1.094 81.989 81.195 80408 2021 Nov 15 2022 Feb 15 2022 May 15 202 Aug 15 2022 Nov 15 2023 May 15 2023 Aug 15 2033 Aug 15 2033 Now 15 82.056 81.264 0.103 0.146 0149 2.39 2.43 2.47 9/30/2017 5131/2020 6/30/2020 1875 103.0391 103.07034 963828 99.5313 01016 00625 0.0938 1.125 1.932 1.945 80478 1375 1875 964297 99.5469 79624 78.729 77.013 79.553 78.657 76.939 0.152 0.154 0.159 2.53 2.58 2.67 815/2020 l1/S2020 2/15/2021 515/2021 515/2021 &15/2021 2,625 104.4766 104.5234 2.625 04.2031 104.2500 3.625 1109609 111.0078 0.0781 0.1641 01484 1.938 1.998 2.049 76,045 48.388 47.907 76.121 48484 48,003 0.160 0.247 0.247 2.72 3.64 3,64 3.125 107.1953 107.2266 8.125 143.9531 144.0000 2.125 0.1484 01328 01406 2.118 2.020 2.209 2034 Feb 15 2039 Aug 15 2039 Nov 15 47401 37.798 37401 47497 37895 37498 0.247 0.2734 0.273 3.65 3.76 3.76 99.3672 99.3828 97.9922 84.9453 84.8359 01641 0.4297 0.4297 11/152021 &15/2042 1/52042 2/15/2043 2.000 2.750 2.750 98.0078 84.9609 848516 2.264 3.587 3,589 0.266 0.266 2042 Nov 15 2043 Feb 15 32887 32,552 32.982 32.646 3.82 3.82 3.125 91.8281 2875 87.0313 918906 87.0938 0.4375 3.571 3.583 2043 May 15 32.246 32.340 0.266 3.82 04453 S15/2043 Treasury Notes & Bonds U.S. Treasury Strips Tuesday, July 16, 2013 Tuesday, July 16, 2013 Treasury note and bond data are representative over-the-ccunter quotations as of3 p.m. Eastem tme For notes and bonds callable prir to maturity, ylalds are computed to the earlest call date for issues quoted above par and to the maturty date for issues below par. U.S. zero-coupon STRIPS allow investors to hold the interest and principal components of elgible Treasury notes and bonds as separate securtdes STRIPS offer no Interest payment Investors recelve payment only at maturty Quotes are as of 3 p.m. Eastern time based on transactions of $1 millon or more. Yles caculated on the ask quote. Asked yield 0.0078 -0.257 Maturky Maturity 31/2013 Coupon 3.375 100.1250 100.1406 Bid Asked Chg Bid Asked Ch Asked yield Treasury Bond, Stripped Principal &15/2013 4250 100.3359 100.3438 a.0078 -0.040 2015 Feb 15 2015 Aug 15 2015 Nov 15 2016 Feb 15 2016 May 15 2016 Aug 15 2020 Aug 15 2021 Feb 15 2021 May 15 2021 Aug 15 2021 Nov 15 2022 Aug 15 2026 Aug 15 8/31/2013 915/2013 30/2013 3.125 100.3750 100.3828 0.750 100.1094 100.1172. 0.125 100.0156 100.0234 0.500 100.1094 100.1172. 2,750 100.7734 100.7813 4250 101.3750 101.3828 a.0078 -0.005 unch. unch 99.589 99231 99.605 99.251 0,034 0.024 0.25 036 0.031 0.011 98961 98659 98322 98.984 98.684 98.350 0038 0.049 0.053 0.44 051 0.59 0,023 0.037 0044 J01 52013 10/31/2013 /52013 unch. 0.0078 0.0078 97.858 86623 97.888 86.684 84.933 0.065 0,089 Ql13 0.69 2,03 2.17 l1/30/2013 3/31/2014 4/30/2014 2.000 1007109 100.7188 1750 101.1328 101.15634 0250 100.0938 100.1016 unch. 0.0078 0.0078 0.065 0109 0.121 84.869 84.038 83104 82.191 84.103 83.171 82.259 0.099 010L 0103 2.22 2.29 2.36 4/302014 5/31/2014 531/2014 6/30/2014 6/30/2014 7/31/2014 1875 101.3672 101.3750 0250 100.1016 100.1094 2250 101.8281 1018359 unch 00078 -0.0078 -0.0030 0.129 0.124 Q141 Q123 0141 0.140 0.155 79.857 66.397 79.928 66483 0152 0223 0204 2.48 3.14 3.21 0250 100.0977 100.1211 2.625 102.3594 102.3672 0.125 0.0078 0.0078 2027 Feb 15 64.822 64.909 99.9766 99.9844 2027 Aug 15 2027 Nov 15 2028 Aug 15 2039 Aug 15 2039 Nov 15 63.224 62.471 60.386 63.311 62.559 60.476 0206 0.207 0.255 3.27 3.30 3.36 unch unch 0.0078 unch 0.0078 731/2014 &15/2014 2,625 102.5547 102.5625 4250 104.3984 104 40634 0165 38138 37.643 &31/2014 &31/2014 302014 0250 1000938 100.1016 2.375 102.4688 1024766 0250 100.0781 100.1016 0.159 0.165 0251 0250 38.236 37.741 3.72 3.73 0.166 2043 Feb 15 32.694 32.388 32.789 0268 0267 3.81 3.81 930/2014 10/31/2014 031/2014 2375 102,6406 102.6563 0250 1000859 100,0938 2.375 102.7969 102.8125 0,0078 00078 0.167 Q177 0188 2043 ay 15 32.483 Treasury Note, Stripped Principal 0.0078 0192 Q193 2013 Aug 15 2014 Feb 15 2014Aug 15 2015 Feb 15 2015 Aug 15 2019 Oct 3 2020 Jan 31 99.996 99.997 99.938 unch. unch. 0.04 011 1/52014 1/30/2014 11/30/2014 4250 105.3516 105.3828 0250 100.0703 100,0781 00234 0.0078 unch 99.932 -0001 0022 99810 99.585 99821 0.17 025 2.125 102.6250 1026406 0.196 9960 00156 00078 00155 12/152014 12/31/2014 12/31/2014 0250 1000547 100,0625 0125 99.8594 2,625 103.4844 103.5078 0206 0.211 0.207 0760 0785 99.226 89 400 88.548 99.246 89456 88.605 0040 0093 0084 0.36 1.78 1.86 998750 52016 11/30/2016 12/31/2016 4.625 112.6484 1126797 2.750 1064609 105.5234 3250 108.2422 108.3047 0.1094 0.0469 0.0703 0.0859 0.0625 00625 2022 May 15 2022 Nov 15 80.706 79.056 80.777 79.129 0.149 0.173 2.43 2.53 0.807 3/31/2017 4/30/2017 S15/2017 3250 108.4531 1084844 3.125 108.0313 108,0625 4.500 113.2188 113.2813 0915 0953 0959 0977 Stripped Coupon Interest 99.995 99.967 2013 Aug 15 2013 Nov 15 99.996 99.970 unch. unch. 0.05 0.09 0.0781 00859 5131/2017 6/30/2017 2.750 106.6875 106.7188 2.500 105.6953 105.7266 98.133 97934 82.972 2016 Jun 30 2016 Aug 15 2021 Aug 15 98.104 97.903 82.906 0,055 0.057 0.102 0.64 0,68 2.32 1.019 L052 731/2017 815/2017 &31/2017 2375 105.1875 105.2188 4.750 114.7109 114.7422. 1875 103.1094 103.1406 0.0938 0089 01016 1.049 1.094 81.989 81.195 80408 2021 Nov 15 2022 Feb 15 2022 May 15 202 Aug 15 2022 Nov 15 2023 May 15 2023 Aug 15 2033 Aug 15 2033 Now 15 82.056 81.264 0.103 0.146 0149 2.39 2.43 2.47 9/30/2017 5131/2020 6/30/2020 1875 103.0391 103.07034 963828 99.5313 01016 00625 0.0938 1.125 1.932 1.945 80478 1375 1875 964297 99.5469 79624 78.729 77.013 79.553 78.657 76.939 0.152 0.154 0.159 2.53 2.58 2.67 815/2020 l1/S2020 2/15/2021 515/2021 515/2021 &15/2021 2,625 104.4766 104.5234 2.625 04.2031 104.2500 3.625 1109609 111.0078 0.0781 0.1641 01484 1.938 1.998 2.049 76,045 48.388 47.907 76.121 48484 48,003 0.160 0.247 0.247 2.72 3.64 3,64 3.125 107.1953 107.2266 8.125 143.9531 144.0000 2.125 0.1484 01328 01406 2.118 2.020 2.209 2034 Feb 15 2039 Aug 15 2039 Nov 15 47401 37.798 37401 47497 37895 37498 0.247 0.2734 0.273 3.65 3.76 3.76 99.3672 99.3828 97.9922 84.9453 84.8359 01641 0.4297 0.4297 11/152021 &15/2042 1/52042 2/15/2043 2.000 2.750 2.750 98.0078 84.9609 848516 2.264 3.587 3,589 0.266 0.266 2042 Nov 15 2043 Feb 15 32887 32,552 32.982 32.646 3.82 3.82 3.125 91.8281 2875 87.0313 918906 87.0938 0.4375 3.571 3.583 2043 May 15 32.246 32.340 0.266 3.82 04453 S15/2043
