Q1. 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)   10.54%.

B)   10.40%.

C)   7.90%.

Q2. 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)   4.79%.

B)   1.16%.

C)   4.64%.

Q3. 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)   2.04%.

B)   5.14%.

C)   5.41%.

Q4. 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)     5.25%.

B)     5.41%.

C)     2.04%.

Q5. 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)    5.25%.

B)    2.04%.

C)    5.14%.

答案和详解如下：

Q1. 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)   10.54%.

B)   10.40%.

C)   7.90%.

Correct answer is B)

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%.

Q2. 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)   4.79%.

B)   1.16%.

C)   4.64%.

Correct answer is A)

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

EAY = (1 + 0.0116)^365/90 − 1 = 4.79%

Q3. 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)   2.04%.

B)   5.14%.

C)   5.41%.

Correct answer is C)

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%.

Q4. 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)     5.25%.

B)     5.41%.

C)     2.04%.

Correct answer is A)

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%.

Q5. 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)    5.25%.

B)    2.04%.

C)    5.14%.

Correct answer is B)

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%.

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