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 on
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
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