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FRM Part I · FRM Exam Part I · Interest Rate Futures

A Treasury bill has 90 days to maturity and a face value of $100. Its discount rate quoted on a bank discount basis (actual/360) is 4.00%. What is the price of the bill?

The bill's price is $99.00. Under bank discount quoting the price equals face value times one minus the discount rate times days over 360, so 100 × (1 − 0.04 × 90/360) = 99.00.

  1. A$99.00Correct
  2. B$96.00
  3. C$99.89
  4. D$98.96

Explanation

Price = 100 × (1 − 0.04 × 90/360) = 100 × (1 − 0.01) = $99.00. The $96.00 option omits the 90/360 time fraction, and $98.96 wrongly divides by 365 or discounts differently.

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