3.
Assume the following information about a Treasury Bill auction:
Total to be auctioned
Total non-competitive bids
Federal Reserve purchase
Competitive bids
$100,000,000 face value
$ 45,000,000 face value
$ 10,000,000 face value
Bidder A
$30,000,000
2.15%
Bidder B
$35,000,000
2.67%
Bidder C
$20,000,000
2.35%
Bidder D
$50,000,000
2.25%
Bidder E
$15,000,000
2.05%
Answer the following concerning this auction of 91-day (13-week) T Bills.
A.
How much of the non-competitive bids and Federal Reserve bid will be filled?
How much does this leave for the competitive bidders?
B.
How are the competitive bids allocated? Was any bidder short? Did any bidder
or bidders get shut out?
C.
What was the average yield for the non-competitive bidders?
D.
What was the stop yield? What was the tail?
E.
Assume that you were a non-competitive bidder for $100,000. Based on your
answer to C, what price did you pay for your T Bills? What was your discount
yield (ia)? What was your bond equivalent yield (ibe)?
