In the table below, the IMM index prices on three T-bill futures contracts with expirations of 91, 182, and 273 days are shown.

a. Calculate the actual futures prices and the YTMs (annualized) on the futures.

b. Given the spot 182-day T-bill is trading at annualized YTM of 6.25%, what is the implied 91-day repo rate?

c. If the carrying cost model holds, what would be the price of a 91-day spot T-bill?

d. What would be the equilibrium price on the March contract if the actual 91-day repo rate were 4.75%? What strategy would an arbitrageur pursue if the IMM index price were at 93.764?

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T-Bill Contract Days to Expiration IMM Index March June September 91 93.7640 182 93.3092 273 91.8607