A 6% coupon US Treasury note pays interest on 31 May and 30 November and is traded for settlement on 10 August. The accrued interest on $100 000 face amount of this note is ________.

Question

Quizplus · Accepted Answer

To calculate accrued interest, we need to determine how many days have passed since the last coupon payment on May 31st to the settlement date on August 10th.

May has 31 days, June has 30 days, July has 31 days, and August has 10 days, for a total of 102 days.

Using the 30/360 day-count convention, we calculate the accrued interest as follows:

Accrued interest = ($100,000 x 6% x 102/360) = $1,163.93

Therefore, the best choice is B.

A 6% Coupon US Treasury Note Pays Interest on 31