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Cash-and-Carry Arbitrage with T-Bill, Futures and Repo A pure arbitrager observes the following
prices on December 13, 2000:
• The quoted price on a T-bill futures that expires on December 30 is 97.7. This contract delivers a
92-day T-bill at maturity.
• The 109-day T-bill yield that expires on April 1, 2001 is equal to 2.4%.
• The repo rate for 17 days is an annualized 2.2%.
1. What is the T-bill yield implied by the futures price?
2. Describe the cash-and-carry arbitrage using T-bill, futures and repo for a $100 million face value.

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关键词：annualized Arbitrage following December contract 题目 菜鸟

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