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QUESTION

Suppose Treasury bills with maturities of 28 days, 90 days and 180 days are currently quoted at 5:23%, 5:53% and 5:75% respectively.

Suppose Treasury bills with maturities of 28 days, 90 days and 180 days are currently quoted

at 5:23%, 5:53% and 5:75% respectively. Determine the fair quote (discount yield) for the

T-bill futures which expires in 90 days and delivers a 90-day Treasury bill.

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