: What is the bond equivalent yield on a Treasury-bill with a face value of $3,000000, a discount rate of 3% and 40 days until maturity?   b: What does VAR(95%) of $32,000 mean?   c: Use the following to calculate the effective borrowing cost of commercial paper • Face value = 19,000,000 • Discount rate = 0.5% • Dealer Fee = 0.2% • Commitment Fee = 0.17% • Days to maturity = 50

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.