FRM Part I · FRM Exam Part I · Interest Rate Futures
A 90-day U.S. Treasury bill with a face value of $100 is quoted with a discount rate of 4.00% under the actual/360 convention. What is the cash price of the bill per $100 face value?
The bill's price is $99.00 per $100 face value. With a discount quote the dollar discount equals the rate times days over 360 times face value: 4% times 90/360 is 1%, so price is 100 minus 1. Dividing by 1.01 would wrongly treat the quote as a yield.
- A$96.00
- B$99.00Correct
- C$99.0100
- D$98.9000
Explanation
Cash price = 100 - discount rate x days/360 x 100 = 100 - 4 x 90/360 = 100 - 1 = 99.00. The $96.00 option ignores the 90/360 fraction. The $99.0100 option divides by 1.01, treating the rate as a yield. The $98.90 option is an unsupported figure.
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