FIGURE 10.1 Prices and yields of U.S. Treasury bonds, February 15, 2017 Source: The Wall Street...

 

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FIGURE 10.1 Prices and yields of U.S. Treasury bonds, February 15, 2017 Source: The Wall Street Journal Online, April 22, 2017. Maturity Coupon Bid Ask Chg 15-Feb-2018 3.500 102.5000 102.5156 -0.0547 31-Dec-2020 1.750 99.7188 99.7344 -0.1406 1.625 97.0938 97.1094 -0.2188 15-Nov-2022 15-Feb-2026 1.625 92.9141 92.9297 -0.2734 128,5078 -0.3438 15-Feb-2026 6.000 128,4922 15-May-2030 6.250 140.5547 15-Nov-2043 3.750 140.6172 -0.4453 112.3984 112.4297 -0.7734 98.2500 98.2813 -0.5703 15-Feb-2047 3.000 Accrued interest: = Ask yield to maturity Annual coupon payment 2 Referring to highlighted bond matures on 15-Feb-2047, a. What is the interest payment will be received by bondholders annually? What is the interest payment in semi-annual form? (3 marks) b. What is the ask price for this bond? (3 marks) c. Consider a bond matures on 15-Feb-2047 with the following characteristics: Semi-annual payments, coupon rate of 3%, $1,000 par value. If 30 days have passed since the last coupon payment, and there are 180 days in the semiannual coupon period, what is the accrued interest? (3 marks) 0.959 1.821 2.163 2.508 2.450 2.604 d. If the quoted price of the bond is $ 982.813, what is the invoice price? (3 marks) 3.065 3.088 Days since last coupon payment Days separating coupon payments FIGURE 10.1 Prices and yields of U.S. Treasury bonds, February 15, 2017 Source: The Wall Street Journal Online, April 22, 2017. Maturity Coupon Bid Ask Chg 15-Feb-2018 3.500 102.5000 102.5156 -0.0547 31-Dec-2020 1.750 99.7188 99.7344 -0.1406 1.625 97.0938 97.1094 -0.2188 15-Nov-2022 15-Feb-2026 1.625 92.9141 92.9297 -0.2734 128,5078 -0.3438 15-Feb-2026 6.000 128,4922 15-May-2030 6.250 140.5547 15-Nov-2043 3.750 140.6172 -0.4453 112.3984 112.4297 -0.7734 98.2500 98.2813 -0.5703 15-Feb-2047 3.000 Accrued interest: = Ask yield to maturity Annual coupon payment 2 Referring to highlighted bond matures on 15-Feb-2047, a. What is the interest payment will be received by bondholders annually? What is the interest payment in semi-annual form? (3 marks) b. What is the ask price for this bond? (3 marks) c. Consider a bond matures on 15-Feb-2047 with the following characteristics: Semi-annual payments, coupon rate of 3%, $1,000 par value. If 30 days have passed since the last coupon payment, and there are 180 days in the semiannual coupon period, what is the accrued interest? (3 marks) 0.959 1.821 2.163 2.508 2.450 2.604 d. If the quoted price of the bond is $ 982.813, what is the invoice price? (3 marks) 3.065 3.088 Days since last coupon payment Days separating coupon payments

Answer rating: 100% (QA)

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