Series 3: Exercise

Exercise

Fill in the blank.

1. 1. Treasury bills are quoted on a _____ basis rather than on a price basis.
2. 2. Since Treasury bills mature by definition at their face value, they must be quoted in terms of their _____.
3. 3. Treasury bill futures contracts have a face value of _____.
4. 4. T-bill futures taken to delivery are _____ settled on a cash basis.
5. 5. When T-bill futures contracts mature, they require the delivery of a U.S. Treasury bill with _____ left to maturity.

Answer true or false.

1. 6. _____The IMM index is equal to the bank discount yield of an underlying T-bill.
2. 7. _____Bank discount yield is the amount of discount that is included in a T-bill contract.
3. 8. _____The IMM index is not identic