Answer-first summary for fast verification
Answer: 5.06%
First compute the cash price per $100 face value: \[ Y = 100 - 5.00\cdot\frac{90}{360} = 98.75 \] Then compute the effective yield: \[ \text{True Yield} = \frac{100 - 98.75}{98.75}\cdot\frac{360}{90} \] \[ = 5.06329\% \] This is already on an ACT/360 basis with discrete quarterly compounding, so no conversion is needed. The correct answer is **5.06%**.
Author: Manit Arora
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Question 169.5. What is the True (Effective) Yield on a 90-day U.S. Treasury bill with a Quoted Price of 5.00, if the yield is expressed on an actual/360 basis (ACT/360) with discrete quarterly compounding?
A
4.97%
B
5.00%
C
5.03%
D
5.06%
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