答案和详解如下： 6、A Treasury bill (T-bill) with a face value of $10,000 and 44 days until maturity has a holding period yield of 1.1247 percent. Which of the following is closest to the effective annual yield on the T-bill? A) 12.47%. B) 1.27%. C) 8.76%. D) 9.72%. The correct answer was The formula for the effective annual yield is: ((1 + HPY)365/t) –1. therefore, the EAY is: ((1.011247)(365/44)) – 1= 0.0972, or 9.72% 7、A Treasury bill (T-bill) with a face value of $10,000 and 219 days until maturity is selling for 97.375 percent of face value. Which of the following is closest to the holding period yield on the T-bill if held until maturity? A) 2.70%. B) 2.63%. C) 2.81%. D) 2.54%. The correct answer was A) The formula for holding period yield is: (P1 – P0 + D1)/(P0), where D1 for a T-bill is zero (it does not have a coupon). Therefore, the HPY is: ($10,000 – $9,737.50)/($9,737.50) = 0.0270 = 2.70%. Alternatively (100 / 97.375) - 1 = 0.02696. 8、A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the bank discount yield? A) 5.14%. B) 4.18%. C) 5.41%. D) 2.04%. The correct answer was A) Actual discount is 2%, annualized discount is: 0.02(360 / 140) = 5.14% 9、A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is its holding period yield? A) 2.04%. B) 5.14%. C) 5.25%. D) 4.08%. The correct answer was A) The holding period yield is the return the investor will earn if the T-bill is held to maturity. HPY = (100,000 – 98,000)/98,000 = 0.0204, or 2.04%. 10、A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the money market yield? A) 5.41%. B) 2.04%. C) 4.08%. D) 5.25%. The correct answer was D) The money market yield is equivalent to the holding period yield annualized based on a 360-day year. = (2,000/98,000)(360/140) = 0.0525, or 5.25%. | 
发表于 2008-4-7 15:12
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