Question: The US Treasury issues a 2 0 - year Treasury bond to JP Morgan. They have a par value ( face value ) of $

The US Treasury issues a

20 -

year Treasury bond to JP Morgan. They have a par value

(

face value

)

of $

1, 000,

8 %

yield, a

6 %

coupon rate, and pays semiannually. JP Morgan decides to convert this to STRIPS. Calculate the price of the STRIPS resulting from the conversion of the

2

nd coupon payment of the original Treasury.

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