Q1. An investor has just purchased a Treasury bill for $99,400. If the security matures in 40 days and has a holding period yield of

0.604%, what is its money market yield?

A)   5.650%.

B)   5.512%.

C)   5.436%.

Q2. The effective annual yield (EAY) for a T-bill maturing in 150 days is 5.04%. What are the holding period yield (HPY) and money market yield (MMY) respectively?

A)   5.25%; 2.04%.

B)   2.04%; 4.90%.

C)   2.80%; 5.41%.

Q3. A Treasury bill, with 80 days until maturity, has an effective annual yield of 8%. Its holding period yield is closest to:

A)   1.72%.

B)   1.70%.

C)   1.75%.

答案和详解如下：

Q1. An investor has just purchased a Treasury bill for $99,400. If the security matures in 40 days and has a holding period yield of

0.604%, what is its money market yield?

A)   5.650%.

B)   5.512%.

C)   5.436%.

Correct answer is C)

The money market yield is the annualized yield on the basis of a 360-day year and does not take into account the effect of compounding. The money market yield = (holding period yield)(360 / number of days until maturity) = (0.604%)(360 / 40) = 5.436%.

Q2. The effective annual yield (EAY) for a T-bill maturing in 150 days is 5.04%. What are the holding period yield (HPY) and money market yield (MMY) respectively?

A)   5.25%; 2.04%.

B)   2.04%; 4.90%.

C)   2.80%; 5.41%.

Correct answer is B)

The EAY takes the holding period yield and annualizes it based on a 365-day year accounting for compounding. The HPY = (1 + 0.0504)^150/365 = 1.2041 − 1 = 2.04%. Using the HPY to compute the money market yield = HPY × (360/t) = 0.0204 × (360/150) = 0.04896 = 4.90%.

Q3. A Treasury bill, with 80 days until maturity, has an effective annual yield of 8%. Its holding period yield is closest to:

A)   1.72%.

B)   1.70%.

C)   1.75%.

Correct answer is B)

The effective annual yield (EAY) is equal to the annualized holding period yield (HPY) based on a 365-day year. EAY = (1 + HPY)^365/t − 1. HPY = (EAY + 1)^t/365 − 1 = (1.08)^80/365 − 1 = 1.70%.

kk

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eager to thanks!