You purchased a $1,000 par with T-bill 173 days to maturity for $956.06. You the
ID: 1171701 • Letter: Y
Question
You purchased a $1,000 par with T-bill 173 days to maturity for $956.06. You then sold this T-bill when it had 70 days to maturity for $981.85. What is your holding period return?
Report your answer in % to the nearest 0.01% but do not include % symbol in answer, e.g., enter 3.95% as 3.95. (Note: It's possible for HPR to be negative.)
An investment bank sells securities under a repurchase agreement for $800.29mln and buys them back in 5 days for $800.979mln. What is the repo yield?
Report your answer in % to the nearest 0.01%; e.g., enter 3.95% as 3.95.
Explanation / Answer
Purchase price of T-bill = $956.06
Sale price of T-bill = $981.85
Hence, holding period return = 981.85 - 956.06
= $25.79
Holding period of T-bill = 103 days
Hence, holding period return (in %) = 25.79/956.06 x 173/103
= 4.53
part 2
Interest paid by bank = 800.979 - 800.29
= $ 0.689
Repo yield = 0.689/800.29 x 365/5
= 6.28
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