In Regards to the Treasury Bill Futures Contract, Which of the Below

question 46

Multiple Choice

In regards to the Treasury bill futures contract, which of the below statements is FALSE?

• A) The Treasury bill futures contract, which is traded on the IMM, is based on a 25-week (six-month) Treasury bill with a face value of $1,000.
• B) The seller of a Treasury bill futures contract agrees to deliver to the buyer at the settlement date a Treasury bill that can be newly issued or seasoned.
• C) Treasury bills are quoted in the cash market in terms of the annualized yield on a bank discount basis.
• D) The Treasury bill futures contract is not quoted directly in terms of yield but is quoted on an index basis that is related to the yield on a bank discount basis as follows: Index price = 100 - (Yield on a bank discount basis × 100).

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