Part i:

a trader, Tom, buys a treasury note with a face value of $1,000 which will mature in 180 days. Currently such T-Notes are yielding 3.85% per annum.

a) What will Tom pay for the T-Note

90 days later, Tom sells the T-Note to another Trader, James, for $987

b) What is the annual rate of return (HPY, holding period yield) for Tom?

c) What is the current yield to maturity (YTM) for this security?

Part ii:

Calculate the yield to maturity given a $1million 60 day Treasury bill is purchased for $994,848.59