FRM Part I · FRM Exam Part I · Interest Rate Futures
A US Treasury bond with a 6% annual coupon (paid semiannually) has a face value of $100,000. The last coupon was paid 60 days ago, and the current coupon period has 181 days. Using the actual/actual day count convention, what is the accrued interest?
Accrued interest is $994.48. The semiannual coupon is $3,000, and under actual/actual the accrued portion is the fraction of the coupon period elapsed, 60 out of 181 days, so 3,000 × 60/181 equals about $994.48.
- A$994.48Correct
- B$1,000.00
- C$1,988.95
- D$497.24
Explanation
Semiannual coupon = 100,000 × 6% / 2 = $3,000. Accrued interest = 3,000 × 60/181 = $994.48. Using 30/360 style or full-year fractions would give different values; $1,988.95 doubles the fraction by using 120 days, and $497.24 halves it.
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