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Answer: $7,609
US Treasury bonds use an actual/actual (ACT/ACT) day count convention. - Actual days between July 1st and August 5th = 31 + 4 = 35 - Actual days between July 1st and January 1st = 184 Per $100 face value, accrued coupon is: $8\% \times \frac{100}{2} \times \frac{35}{184} = 0.760870$ For $1 million face value: $0.760870 \times \frac{1,000,000}{100} = 7,608.70$ So the accrued interest is approximately **$7,609**.
Author: Manit Arora
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Q-168.1. A United States (U.S.) Treasury bond pays an 8.0% semi-annual coupon on January 1st and July 1st. If an investor owns $1 million in face value of the Treasury bond, what is the accrued (coupon) interest as of August 5th, 2010?
A
$7,391
B
$7,556
C
$7,609
D
$7,778
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