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Question: Refer to Table 5–5. a. Calculate

Refer to Table 5–5. a. Calculate the ask price of the T-bill maturing on September 1, 2016, as of May 16, 2016. b. Calculate the bid price of the T-bill maturing on November 10, 2016, as of May 16, 2016. Table 5–5:
Refer to Table 5–5.
a. Calculate the ask price of the T-bill maturing on September 1, 2016, as of May 16, 2016.
b. Calculate the bid price of the T-bill maturing on November 10, 2016, as of May 16, 2016.

Table 5–5:





Transcribed Image Text:

Monday, May 16, 2016 Treasury bill bid and ask data are representative over-the-counter quotations as of 3 p.m. Eastern time quoted as a discount to face value. Treasury bill yields are to maturity and based on the asked quote. Maturity Bid Asked Chg Asked Yield 5/19/2016 0.168 0.158 -0.030 -0.055 0.160 5/26/2016 0.173 0.163 0.165 6/2/2016 0.203 0.193 -0.038 0.196 6/9/2016 6/16/2016 0.195 0.185 -0.038 0.188 0.193 0.183 0.028 0.186 6/23/2016 0.203 0.193 0.200 -0.010 0.196 0.203 6/30/2016 0.210 -0.010 in2016 7/14/2016 0.208 0.198 -0.015 0.201 0.215 0.205 -0.020 0.209 7/21/2016 7/28/2016 -0.023 -0.008 0.233 0.223 0.226 0.245 0.235 0.239 8/4/2016 8/11/2016 0.255 0.255 0.245 0.245 0.245 -0.005 -0.020 0.249 0.249 8/18/2016 0.255 -0.018 0.249 8/25/2016 0.265 0.255 0.005 0.259 9/1/2016 0.258 0.248 -0.015 0.252 0.245 0.249 9/8/2016 9/15/2016 0.255 -0.015 0.263 0.253 0.003 0.255 9/22/2016 0.278 0.268 -0.018 0.272 0.270 9/29/2016 10/6/2016 0.274 0.297 0.280 -0.013 0.303 0.293 -0.013 0.308 0.323 10/13/2016 0.298 0.313 -0.005 0.303 0.317 10/20/2016 -0.025 -0.025 -0.025 10/27/2016 0.320 0.310 0.315 11/3/2016 0.338 0.328 0.333 11/10/2016 0.345 0.335 -0.025 0.341 12/8/2016 0.350 0.338 0.340 -0.005 0.346 1/5/2017 0.328 0.418 0.450 -0.005 0.334 0.003 -0.010 2/2/2017 0.428 0.426 3/2/2017 0.460 0.458 3/30/2017 0.485 0.475 -0.013 0.484 0.522 4/27/2017 0.523 0.513 -0.010


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> X-IM Bank has ¥14 million in assets and ¥23 million in liabilities and has sold ¥8 million in foreign currency trading. What is the net exposure for X-IM? For what type of exchange rate movement does this exposure put the bank at risk?

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> a. What is the duration of a two-year bond that pays an annual coupon of 10 percent and has a current yield to maturity of 12 percent? Use $1,000 as the face value. b. What is the duration of a two-year zero-coupon bond that is yielding 11.5 percent? Use

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