What is the yield holland will achieve on investment

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Problem 1: Holland James has today invested in a 180-day bank bill with a face value of $1 million, priced to yield 6.3 per cent per annum. Simultaneously she has sold a futures contract on a 90-day bank bill with a face value of $1 million. The futures contract will expire in 90 days' time from today. The futures price is 93.55. Holland intends to settle the futures contract by delivery. Ignoring any effects from the mark-to-market rule, what is the yield (simple interest, in per cent per annum) Holland will achieve on her investment?

Option 1: 4.10%
Option 2: 3.12%
Option 3: 5.08%
Option 4: 6.05%
Option 5: None of the above answers is correct.

Reference no: EM132918983

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