答案和详解如下：
Q6. 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) 5.41%. B) 4.18%. C) 5.14%. Correct answer is C) Actual discount is 2%, annualized discount is: 0.02(360 / 140) = 5.14% Q7. A Treasury bill (T-bill) with a face value of $10,000 and 219 days until maturity is selling for 97.375% of face value. Which of the following is closest to the holding period yield on the T-bill if held until maturity? A) 2.63%. B) 2.70%. C) 2.81%. Correct answer is B) 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. Q8. 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%. Which of the following is closest to the effective annual yield on the T-bill? A) 12.47%. B) 8.76%. C) 9.72%. Correct answer is C) 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% Q9. A Treasury bill (T-bill) with 38 days until maturity has a bank discount yield of 3.82%. Which of the following is closest to the money market yield on the T-bill? A) 3.81%. B) 3.87%. C) 3.84%. Correct answer is C) The formula for the money market yield is: [360 × bank discount yield] / [360 − (t × bank discount yield)]. Therefore, the money market yield is: [360 × 0.0382] / [360 − (38 × 0.0382)] = (13.752) / (358.548) = 0.0384, or 3.84%. Alternatively: Actual discount = 3.82%(38 / 360) = 0.4032%. T-Bill price = 100 − 0.4032 = 99.5968%. HPR = (100 / 99.5968) − 1 = 0.4048%.MMY = 0.4048% × (360 / 38) = 3.835%. Q10. A Treasury bill has 40 days to maturity, a par value of $10,000, and was just purchased by an investor for $9,900. Its holding period yield is closest to: A) 9.00%. B) 1.00%. C) 1.01%. Correct answer is C) The holding period yield is the return that the investor will earn if the bill is held until it matures. The holding period yield formula is (price received at maturity − initial price + interest payments) / (initial price) = (10,000 − 9,900 + 0) / (9,900) = 1.01%. Recall that when buying a T-bill, investors pay the face value less the discount and receive the face value at maturity. | 
发表于 2008-12-30 17:15
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