上一主题:Quantitative Methods 【Reading 7】Sample
下一主题:Quantitative Methods 【Reading 5】Sample
返回列表 发帖
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)
7.90%.
C)
10.40%.



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%.

TOP

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%.



HPY = (100,000 − 98,853) / 98,853 = 1.16%
EAY = (1 + 0.0116)365/90 − 1 = 4.79%

TOP

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%.



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%.

TOP

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%.



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%.

TOP

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)
5.14%.
C)
2.04%.



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%.

TOP

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%.



Actual discount is 2%, annualized discount is: 0.02(360 / 140) = 5.14%

TOP

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)
2.81%.
C)
2.70%.


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.

TOP

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)
9.72%.
B)
12.47%.
C)
8.76%.



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%

TOP

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%.


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%.

TOP

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)
1.01%.
B)
9.00%.
C)
1.00%.



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.

TOP

返回列表
上一主题:Quantitative Methods 【Reading 7】Sample
下一主题:Quantitative Methods 【Reading 5】Sample