If we buy a $100 90- day bank bill futures contract at $95.60, which of the following is true?
A) We pay $98.23 on settlement day.
B) We receive a bank bill on settlement day worth $95.60.
C) The bill will earn us 4.40% p.a. over 90 days starting from the settlement date.
D) There is a cash settlement involving us in paying $4.40.

Question

Quizplus · Accepted Answer

The price of $95.60 implies an interest rate of 4.40% p.a. (100 - 95.60 = 4.40), which is the yield over 90 days.

If We Buy a $100 90- Day Bank Bill Futures