4.

BONDES D
Exercise #9: On May 06, 2021, the Federal Government issues Bondes D with the
following characteristics:
 Nominal value: $100.00
 Date of issue: May 06, 2021
 Expiration date: April 26, 2026
 Term: 1820 days
 Coupon Term: 28 clays
On May 10, 2021, the Federal Government decides to auction Bondes D issued on May 06,
2021. The settlement date is May 18, 2021.
Suppose that an investor has an allocation in the auction of these titles, whose offer at a
clean price is $98.10102 with a requested amount of $21,040,114.00.
Suppose further that:
Date Day Weighted Bank Funding
(i) Rate published by Banxico ri (%)
06-May-21 1 7.96
07-May-21 2 8.00
08-May-21 3 7.84
09-May-21 4 7.82
10-May-21 5 7.78
11-May-21 6 7.74
12-May-21 7 7.71
13-May-21 8 7.76
14-May-21 9 7.78
15-May-21 10 7.78
16-May-21 11 7.77
17-May-21 12 7.77

a) Calculate the accrued interest.

b) Calculate the dirty price of the bond.
c) Determine the number of titles assigned and the final amount to be settled.
Suppose that on May 18, 2021 an investor wants to know the price associated with a
Sondes D with the characteristics described and considering a surcharge of 0.047%.
d) Calculate the current interest payment amount.
e) Calculate the expected amount of the following interest payment.
f) Calculate the effective interest rate to discount the flows.
g) Determine the clean price.
Now, suppose that the rates observed in the period are the following:
Date Day (i) Weighted Bank Funding Rate
published by Banxico ri (%)
06-May-21 1 7.96
07-May-21 2 8.00
08-May-21 3 7.84
09-May-21 4 7.82
10-May-21 5 7.78
11-May-21 6 7.74
12-May-21 7 7.71
13-May-21 8 7.76
14-May-21 9 7.78
15-May-21 10 7.78
16-May-21 11 7.77
17-May-21 12 7.77
18-May-21 13 7.79
19-May-21 14 7.81
20-May-21 15 7.76
21-May-21 16 7.78
22-May-21 17 7.80
23-May-21 18 7.79
24-May-21 19 7.79
25-May-21 20 7.79
26-May-21 21 7.76
27-May-21 22 7.76
28-May-21 23 7.79
29-May-21 24 7.80
30-May-21 25 7.84
31-May-21 26 7.80
01-Jun-21 27 7.86
02-Jun-21 28 7.85

h) Calculate the interest rate of the first coupon.

i) Calculate the interest on a title of the first coupon.
j) If an investor has 33,404,909 securities, then he proceeds to determine the total
nominal value of his securities.
k) Calculate the interest, for the total titles, of the first coupon.
 a) Calculate the accrued interest.

[∏ ( ) ]( )
d
ri 36,000
:TC dev = 1+ −1
i=1 36,000 d

[(
⟹ TC dev = 1+
7.96
36,000
1+ )(
8.00
36,000
1+
7.84
36,000
1+ )(
7.82
36,000
1+
7.78
36,000 )(
1+
7.74
36,000
1+ )(
7.71
36,000
1+
7.76
36,000 )( )( )(
⟹ TC dev = [ ( 1.000878623 ) ( 1.000861111 )( 1.000864169 )−1 ] ( 36,000
d )
⟹ TC dev = [ 1.00260616 4−1 ] ( 36,000
12 )
⟹ TC =7.81849101∴ TC =7.81 %
dev dev

: I dev =VN ( d∗TC

36,000 )
dev
⟹I dev =100 (
12∗7.81
36,000 ) ⟹ I =(
3000 )
781
dev ∴ I =$ 0.260333333dev

b) Calculate the dirty price of the bond.

: Ps =P+ I dev ⟹ Ps=98.10102+ ( 3000

781
)∴ P =$ 98.36135333
s

c) Determine the number of titles assigned and the final amount to be settled.
Amount requested 21,040,114
:Truncate= ⟹ Truncate= ⟹ Truncate=213,906.3086
P+ I dev 98.36135333
∴ Truncate=213,906 securities
: Amount ¿ be settled=Number of securities assigned∗( P+ I dev )
: Amount ¿ be settled=( 213,906 ) ( 98.36135333 )∴ Amount ¿ be settled=$ 21,040,83.65

d) Calculate the current interest payment amount.

{[
( )] ( ) −1}( 36,000
28 )
28−d
d r
:T C 1= 1+TC dev 1+
36,000 36,000

{ 36,000
⟹ T C = [ 1+ 7.81( )](1+ 36,000 ) −1}( 36,000
28 )
28−12
12 7.77
1

⟹ T C =[ ( 1.002603333 )( 1.003458929 )−1 ](

28 )
36,000
1 ⟹ T C =7.805914451 1

∴ T C1 =7.805914 %

:C 1=VN∗T C 1 ( 36,000
28
)⟹ C =100∗7.805914 ( 36,000
1
28
)∴ C =$ 0.607126644 1

e) Calculate the expected amount of the following interest payment.

 [( ) −1]( 36,000
28 )
28
r
:T C= 1+
36,000

[( 36,000 ) ] 36,000
−1 (
28 )
28
7.77
⟹ T C= 1+

⟹ T C=7.792682244
∴ T C=7.792682

( 36,000
28
:C=VN∗TC )
⟹ C=100∗7.792682 (
36,000 )
28

∴ C=$ 0.606097488

f) Calculate the effective interest rate to discount the flows.

{[ )] −1}
28

: R= 1+
r+s
(
36,000

{ 36,000 )] −1}
⟹ R= [1+ (
28
7.77+ 0.047

∴ R=0.006097745

g) Determine the clean price.

{ [ ]
}
1 1 VN
C 1+ C − +
R R ( 1+ R ) k −1
(1+ R )k−1
⟹ P= −I dev
(1+ R)
[ ( )]
1−
d
28

⟹ k −1= ( 1820
28 )
−1

∴ k−1=64

[ ( )] [ ( )]
⟹ 1−
d
182
= 1−
12
182

∴ 1−
[ ( )] ( )
d
182
=
85
91
∴ R=0.00 61
 { [ ]
}
1 1 100
0.607126644 +0.606097488 − +
0.0061 0.0061 ( 1+ 0.0061 )64 ( 1+0.0061 )64
⟹ P= −0.260333333
( 8591 )
(1+0.0061)

⟹ P= { 0.607126644+0.606097488 [ 163.9344262−111.0801939 ] +67.75891825

1.005696659 }
−0.260333333

⟹ P= { 0.607126644+32.03481743+67.75891825
1.005696659 }−0.260333333
⇒ P=99.57181926
∴ P=99.5718 2

g) Calculate the interest rate of the first coupon.

[ ( ) ]( )
N j
ri 36,000
:TC j= ∏ 1+ −1
i=1 36,000 Nj

[∏ ( ) ]
−1 (
28 )
28
r 36,000 i
⟹ TC = 1 1+
36,000
i=1

: ∏ (1+
36,000 )
28
r i
=1.00608668
i=1

⟹ TC 1=( 1.00608668−1 ) ( 36,000

28 )
⟹ TC 1=7.825731429
∴ TC1=7.8 3 %

i) Calculate the interest on a title of the first coupon.

: I j=VN ( N36000
j∗TC
) j

⟹ I 1=100 ( 28∗7.83
36000 )
∴ I 1=$ 0.609

j) If an investor has 33,404,909 securities, then he proceeds to determine the total

nominal value of his securities.
:Total nominal value=¿ Titles ( NV )
:Total nominal value=( 33,404,909 ) (100 )
∴ Total nominal value=$ 3,340,490,900

k) Calculate the interest, for the total titles, of the first coupon
: Titles ( I 1 ) =( ¿ Titles )( I )

: T itles ( I 1) =( 33,404,909 ) ( 0.609 )

∴ Titles ( I 1 )=20,343,589.58