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  • Fixed Income Arbitrage Case Exhibits

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    Christopher Jweinat
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    FIN421

    Original Title

    Fixed Income Arbitrage Case Exhibits(1)

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    FIN421

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    8 views2 pages

    Fixed Income Arbitrage Case Exhibits

    Uploaded by

    Christopher Jweinat
    FIN421

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Exhibit 1 Terms for United States Treasury Bonds 10.625% and 4.

    25% due August 2015


    Coupon
    10.625%
    Yield
    3.61%
    Coupon Frequency
    Semi-annual
    Coupon Type
    Fixed
    Day count
    Act/Act
    Issue date
    August 15 1985
    Maturity date
    August 15 2015
    Amount issued
    $7.15 billion
    Amount outstanding (Nov '08)
    $4.02 billion
    Settlement Date
    Clean Price
    Last Coupon Date
    Next Coupon Date
    Accrued interest Days
    Days in Period
    Interest Payment
    Accrued Interest
    Dirty Price

    11/5/2008

    8/15/2008

    4.25% due August 2015

    4.25%
    3.26%

    Semi-annual
    Fixed
    Act/Act
    August 15 2005
    August 15 2015
    $32.47 billion
    $32.47 billion

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