An example to demonstrate the accrued interest calculation on the sale of NHA MBS, settling on April 30, 2002.
|
Face Value |
$100,000 |
|
Coupon rate |
5.75% |
|
Maturity |
12/01/2004 |
|
Coupon compounding frequency |
Semi-annually |
|
Payment date |
15th of each month |
|
Accrued interest calculation (NHA MBS convention) |
= (face value x monthly coupon rate x (number of days from the first day of the settlement month to the settlement day)) / ((number of days in the settlement month)) |
|
= (100,000 x 0.473525% x (29))/((30)) |
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|
|
|
|
Monthly coupon rate |
= ((1+(5.75%/2))(1/6) – 1)
= 0.473525% |
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|
|
|
Value date (settlement date) |
04/30/02 |
|
Number of days from the first day of the settlement month to the settlement day |
29 |
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|
|
|
Number of days in the settlement month |
30 |
|
Accrued interest |
$457.74 |