A T-bill with face value $10,000 and 62 days to maturity is quoted at 3.65% -3.63% on a bank discount yield (bid-ask). How much would you pay to buy one 62 day T-bill? Days 18 39 45 62 Bid 2.87% 3.21% 3.47% 3.65% Ask 2.83% 3.11% 3.35% 3.63%

A T-bill with face value $10,000 and 62 days to maturity is quoted at 3.65% -3.63% on a bank discount yield (bid-ask). How much would you pay to buy one 62 day T-bill? Days 18 39 45 62 Bid 2.87% 3.21% 3.47% 3.65% Ask 2.83% 3.11% 3.35% 3.63%

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 9P

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Concept explainers

Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.

Question

A T-bill with face value $10,000 and 62 days to maturity is quoted at 3.65%-3.63% on a bank
discount yield (bid-ask). How much would you pay to buy one 62 day T-bill?
$9.958.13
$9,937.48
$9,937.14
$9.956.63
Days
18
39
45
62
Bid
2.87%
3.21%
3.47%
3.65%
Ask
2.83%
3.11%
3.35%
3.63%

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