Question
) 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
) 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)
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started