Question
1. The US Treasury is conducting an auction for $1.8 billion of 90-day US Treasury Bills. What is the market-clearing price based on the following
1. The US Treasury is conducting an auction for $1.8 billion of 90-day US Treasury Bills. What is the market-clearing price based on the following competitive bids?
| Firm | Amount ($ in millions) | Price |
| Lubar & Co | $700 | $0.9932 |
| Bolton Trading | $500 | $0.9941 |
| Lehman Brothers | $600 | $0.9937 |
| Goldman Sachs | $300 | $0.9930 |
| Spellman and Fisher | $450 | $0.9936 |
2. Using the information from the prior problem, please calculate the winning price assuming there is also a non-competitive bid of $1 billion.
3. What is the discount rate implied by the price in the scenario with the competitive bidder?
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The Finance Book
Authors: Stuart Warner, Si Hussain
2nd Edition
1292401982, 978-1292401980
