Task 1 On Friday 26th January 2018, the UK government held its weekly auction of government Treasury bills. The table below outlines prices for the one-, three- and six-month bills. Maturity Date Average Price Average Discount 26th February 2018 99.978223 30th April 2018 99.940167 30th July 2018 99.779994 Calculate the discount rates for the three bills. You must show the price using an appropriate mathematical formulation and take into account the difference between the auction date and settlement date when working out the terms to maturity. 2. The table below lists the principal amounts of each bill auctioned and the scale of bidding on 26th January 2018. Maturity Date Principal Amount Sold Aggregate Scale of Bids 26th February 2018 £500 million £2711.5 million 30th April 2018 £500 million £2869.0 million 30th July 2018 £2000 million £6134.5 million Calculate and comment on the significance of the bid-to-cover ratios given the size of the yields.
Task 1 On Friday 26th January 2018, the UK government held its weekly auction of government Treasury bills. The table below outlines prices for the one-, three- and six-month bills. Maturity Date Average Price Average Discount 26th February 2018 99.978223 30th April 2018 99.940167 30th July 2018 99.779994 Calculate the discount rates for the three bills. You must show the price using an appropriate mathematical formulation and take into account the difference between the auction date and settlement date when working out the terms to maturity. 2. The table below lists the principal amounts of each bill auctioned and the scale of bidding on 26th January 2018. Maturity Date Principal Amount Sold Aggregate Scale of Bids 26th February 2018 £500 million £2711.5 million 30th April 2018 £500 million £2869.0 million 30th July 2018 £2000 million £6134.5 million Calculate and comment on the significance of the bid-to-cover ratios given the size of the yields.
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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Task 1
- On Friday 26th January 2018, the UK government held its weekly auction of government Treasury bills. The table below outlines prices for the one-, three- and six-month bills.
|
Maturity Date |
Average Price |
Average Discount |
|
26th February 2018 |
99.978223 |
|
|
30th April 2018 |
99.940167 |
|
|
30th July 2018 |
99.779994 |
|
Calculate the discount rates for the three bills. You must show the price using an appropriate mathematical formulation and take into account the difference between the auction date and settlement date when working out the terms to maturity.
2. The table below lists the principal amounts of each bill auctioned and the scale of bidding on 26th January 2018.
|
Maturity Date |
Principal Amount Sold |
Aggregate Scale of Bids |
|
26th February 2018 |
£500 million |
£2711.5 million |
|
30th April 2018 |
£500 million |
£2869.0 million |
|
30th July 2018 |
£2000 million |
£6134.5 million |
Calculate and comment on the significance of the bid-to-cover ratios given the size of the yields.
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