Li Ping Sledges has today invested in a 180-day bank bill with a face value of $10 million, priced to yield 3.25 per cent per annum. Simultaneously she has sold ten futures contracts on a 90-day bank bill with a face value of $1 million. The futures contracts will expire in 90 days' time from today. The quoted futures price is 96.65. Li Ping intends to settle the contract by delivery. Ignoring any effects from the mark-to-market rule, what yield will Li Ping achieve on her investment? What does this imply about today's 90-day bank yield? Show all calculations.

Answer rating: 100% (QA)

Solution misloum on the bill of the Bank 2 1602 39 purchase 2 1000000 16027 39 98391261 t... View the full answer