UD/ISCTE-IUL Trading and Bloomberg Program

1. How are U.S. Treasury bills quoted in the secondary market?

Discount yield (bank discount basis) Clean price per $100 par Yield to maturity, semiannual compounding Dirty price including accrued interest

2. A 52-week T-bill has 355 days to maturity and is quoted at a discount yield of 4.81%. What is the price?

$95.00 ≈ $95.26 ≈ $104.81 ≈ $99.52

3. What day-count convention is used for Treasury bill discount yields?

Actual/360 30/360 Actual/365 Actual/Actual

4. A Treasury note is quoted at 98-26. What is the clean price per $100 par?

$98.26 $98.8125 $98.26 + AI $99.26

5. A Treasury note is quoted at 98-25+. What is the clean price?

$98.78125 $98.2500 $98.796875 $99.015625

6. Which relationship is correct?

Clean Price = Dirty Price + Accrued Interest Dirty Price = Clean Price + Accrued Interest There is no difference. Clean Price and Dirty Price are always the same. Dirty Priceexcludes Accrued Interest

7. A Treasury note pays a 3.50% annual coupon (paid semiannually). The semi-annual coupon payment is:

$1.50 $1.75 $1.75 per $100 par $3.50 per $100 par

8. A Treasury bond has a 5% annual coupon (paid semiannually). 72 days have passed since the last coupon, and there are 181 days in the coupon period. What is the accrued interest per $100 par value?

$0.75 $5.00 Approximately $0.99 $2.50

9. Which day-count convention is typically used for corporate bonds?

Actual/Actual Actual/365 30/360 Actual/360

10. What is a principal STRIP?

A security from a single coupon payment A floating-rate Treasury Zero-coupon security from principal repayment A Treasury bill