Question

Assume you purchase a $100,000 par value Treasury coupon security, calculate the dollar price for the given quoted price.

a. The quoted price for a $100,000 par value Treasury coupon security is 103-284, what is the dollar price?

b. The quoted price for a $100,000 par value Treasury coupon security is 105-059, what is the dollar price?

Answer 1

Treasury coupon securities are quoted on a price basis in points where one point equals 1% of par. The points are split in units of 32nds(Price + 1/32) . Number indicates how many eighths of 32nds (or 256ths) are added to the price..

a) The quoted price for a $100,000 par value Treasury coupon security is 103-284

Assuming a $100,000 par value,

Dollar price = 103 + 28/32 + 4/256 = 103 + 0.875 + 0.015625 = 103.89063.

Hence the dollar price is $103.89063.

b) The quoted price for a $100,000 par value Treasury coupon security is 105-059

Dollar price = 105 + 5/32 + 9/256 = 103 + 0.15625 + 0.0351562 = 103.19141

Hence the dollar price is $ 103.19141.

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