A company operates a commercial paper programme to finance its short-term US dollar-denominated borrowing requirements. On 26th January 2018, the company sold paper with terms to maturity of 30 days, 182 days and 270 days. The table below lists US treasury bill yields and the basis point premiums over treasury yields being offered by each issue of commercial paper. Days to Maturity Treasury Bill Discount Rate Basis Point Premium 30 days 1.4106% 40 basis points 182 days 1.6422% 71 basis points 270 days 1.7642% 85 basis points Calculate the annualised discount rates and prices for the three commercial paper issues. Notional value of the paper is $100,000. For valuation purposes, assume a 360-day year.
A company operates a commercial paper programme to finance its short-term US dollar-denominated borrowing requirements. On 26th January 2018, the company sold paper with terms to maturity of 30 days, 182 days and 270 days. The table below lists US treasury bill yields and the basis point premiums over treasury yields being offered by each issue of commercial paper. Days to Maturity Treasury Bill Discount Rate Basis Point Premium 30 days 1.4106% 40 basis points 182 days 1.6422% 71 basis points 270 days 1.7642% 85 basis points Calculate the annualised discount rates and prices for the three commercial paper issues. Notional value of the paper is $100,000. For valuation purposes, assume a 360-day year.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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A company operates a commercial paper programme to finance its short-term US dollar-denominated borrowing requirements. On 26th January 2018, the company sold paper with terms to maturity of 30 days, 182 days and 270 days. The table below lists US treasury bill yields and the basis point premiums over treasury yields being offered by each issue of commercial paper.
|
Days to Maturity |
Treasury Bill Discount Rate |
Basis Point Premium |
|
30 days |
1.4106% |
40 basis points |
|
182 days |
1.6422% |
71 basis points |
|
270 days |
1.7642% |
85 basis points |
- Calculate the annualised discount rates and prices for the three commercial paper issues. Notional value of the paper is $100,000. For valuation purposes, assume a 360-day year.
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