A deliverable Treasury bond has accrued interest of 3.42 per $100,a coupon of 9.5 percent,a price of 135 and a conversion factor of 1.195.The futures price is 112.25.What is the invoice amount?
A)137.56
B)143.64
C)161.33
D)134.14
E)none of the above

Question

Quizplus · Accepted Answer

The invoice amount is the sum of the futures price and the accrued interest. The accrued interest is $3.42 per $100, so the accrued interest on a $135 bond is $3.42 * 1.35 = $4.62. The futures price is 112.25, so the invoice amount is 112.25 + 4.62 = $116.87.

A Deliverable Treasury Bond Has Accrued Interest of 3