11、A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the effective annual yield (EAY)?

A)   5.41%.

B)   2.04%.

C)   5.14%.

D)   4.08%.

12、What is the effective annual yield for a Treasury bill priced at $98,853 with a face value of $100,000 and 90 days remaining until maturity?

A)   1.16%.

B)   4.64%.

C)   4.79%.

D)   4.06%.

13、A Treasury bill with a face value of $1,000,000 and 45 days until maturity is selling for $987,000. The Treasury bill’s bank discount yield is closest to:

A)   5.20%.

B)   7.90%.

C)   10.54%.

D)   10.40%.

14、The bank discount of a $1,000,000 T-bill with 135 days until maturity that is currently selling for $979,000 is:

A)   6.1%.

B)   5.6%.

C)   5.2%.

D)   5.8%.

答案和详解如下：

11、A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the effective annual yield (EAY)?

A)   5.41%.

B)   2.04%.

C)   5.14%.

D)   4.08%.

The correct answer was A)    

The EAY takes the holding period yield and annualizes it based on a 365-day year accounting for compounding. HPY = (100,000 – 98,000)/98,000 =0.0204. EAY = (1+HPY)^365/t – 1 = (1.0204)^365/140 – 1 = 0.05406 = 5.41%.

12、What is the effective annual yield for a Treasury bill priced at $98,853 with a face value of $100,000 and 90 days remaining until maturity?

A)   1.16%.

B)   4.64%.

C)   4.79%.

D)   4.06%.

The correct answer was C)

HPY = (100,000 -98,853) / 98,853 = 1.16%

EAY = (1 + 0.0116)^365/90 -1 = 4.79%

13、A Treasury bill with a face value of $1,000,000 and 45 days until maturity is selling for $987,000. The Treasury bill’s bank discount yield is closest to:

A)   5.20%.

B)   7.90%.

C)   10.54%.

D)   10.40%.

The correct answer was D)

The actual discount is 1.3%, 1.3% × (360/45) = 10.4%

The bank discount yield is computed by the following formula, r = (dollar discount/face value) × (360/number of days until maturity) = [(1,000,000 - 987,000)/(1,000,000)]×(360/45) = 10.40%.

14、The bank discount of a $1,000,000 T-bill with 135 days until maturity that is currently selling for $979,000 is:

A)   6.1%.

B)   5.6%.

C)   5.2%.

D)   5.8%.

The correct answer was B)

($21000/1,000,000) * (360/135) = 5.6%.