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Effects ?om the mark-to-market rule

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Reference no: EM133002208

Li Ping Sledges has today invested in a ISO-day bank bill with a face value of $10 million, priced to yield 3 .25 per cent per annum. Simultaneously she has sold ten ?ltures contracts on a 90-day bank bill With a face value of $1 million. The futures contracts will expire in 90 days' time ?'om today. The quoted futures price is 96.65. Li Ping intends to settle the contract by delivery. Ignoring any effects ?om the mark-to-market rule, What yield will Li Ping achieve on her investment? What does this imply about today" s 90-day bank yield? Show all calculations.

Reference no: EM133002208

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