1. Assume the following Treasury yield curve is in existence.

Time in Years	Time in Periods	Coupon Rate	YTM	Price	Theoretical Semi-Annual Spot Rate	Theoretical Annual Spot Rate	Implied Semi-annual forward rate	Implied Annual Forward Rates
0.5	1	0.00%	4.50%	$97.79951	2.25%	4.50%	2.55022%	5.1004401%
1	2	0.00%	4.80%	$95.36743	2.40%	4.80%	4.80000%	6.3514618%

Assume that there is a 6-month Treasury bill futures contract in existence. Assume that it is priced to yield 4.9% (BEY). Assume the face value of the contract is $100,000.

Based upon the above curve, what should the BEY of the futures contract be? _____

a) 4.9% b)4.8% c)5.1004401%

Based on the BEY that you calculated, what should the price of the futures contract be? ______

a)$100000 b)$97513.20 c)$975132