ME515S13 - UNIVERSITY OF ILLINOIS College of Business...

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UNIVERSITY OF ILLINOIS College of Business Finance 515 George Pennacchi Fixed-Income Securities March 6, 2013 Mid-Term Examination Name: ___________________________________________________________ Instructions: The time for this exam is one hour and twenty minutes. The exam is closed-book except that one 8.5x11 inch page of notes may be used for reference. Show your work. 1. Suppose that a dealer quotes a bank discount yield of 8.00% for a Treasury bill that has 180 days to maturity. 1.a (6 points) What is this Treasury bill’s continuously compounded yield? 1.b (2 points) What is this Treasury bill’s semi-annually compounded yield? 1.c (2 points) What is this Treasury bill’s annually compounded yield? 2. On Tuesday, January 15, 2013, a bond dealer quoted a forward price for a Treasury bond with a 6.00% coupon maturing on February 15, 2026. For this bond having a face (principal) value of $100, the dealer’s (clean) quoted forward price for a contract calling for delivery on March 15, 2013 was $142.6232. In answering the following questions, note the following day counts: From August 15, 2012 to January 15, 2013 is 153 days. From January 15, 2013 to February 15, 2013 is 31 days. From February 15 2013 to March 15 2013 is 28 days. From March 15, 2013 to August 15, 2013 is 153 days. 2.a (10 points) What is invoice (market) forward price corresponding to the dealer’s quoted (clean) price?
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2 2.b (10 points) If the annualized repo rate for borrowing or lending at any maturity from 1 day to
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  • Fall '08
  • White
  • Finance, Treasury bill, Forward contract, Forward price, Spot price

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