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91-Day Treasury Bill Rates = 9.71 Percent

Question 86

Multiple Choice

91-day Treasury bill rates = 9.71 percent
91-day Treasury bill futures rates = 9.66 percent
(Reminder: Treasury bill prices are calculated using the following formula:
P = FV * (1 - dt/360)
where P = price, FV = face value, d = discount yield, and t = days until maturity.)
-What is the basis on the T-bill futures contract?


A) 19 basis points.
B) 21 basis points.
C) 5 basis points.
D) 2 basis points.
E) Insufficient information.

Correct Answer:

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