Financial Institutions and Money Project

Money Markets

Part 1: Treasury Bill Yields

Go to the website Treasury Direct Announcement and Results Press Releases page find Today's Auction Results

Click on Bill. Under the Competitive Results column, open the PDF's for the following Auction dates (2nd column): 01/03/2017; 03/06/2017; 05/01/2017; 07/03/2017; 09/05/2017

Assume a face value of $10,000.

A) For each date, fill in the table

B) For each date, calculate the discount yield, bond-equivalent yield, and the EAR. Be sure to reference cell in your calculations and apply the formulas in Excel rather than simply typing in answers.

C) Plot the relationship between the Date (x-axis) and the EAR (y-axis). Be sure to label the y-axis, x- axis, and chart title

In your report, comment on the level of effective annual returns for T-bills over the past year.

Part 2: Money Market Spreads

Go to the website - federalreserve datadownload H.15 Selected Interest Rates

Select Monthly Averages and click on Go to Download. Click on Download file and open it with Excel.

D) List the interest rates for the Federal funds effective rate and the 3-month Treasury bill secondary market rate. Calculate the spread as the difference between the Fed funds rate and the 3-month T-bill.

In your report, comment on the rates and the spread over time (e.g., is it constant over time?).

E) List the interest rates for the 30-Day, 60-Day, and 90- Day AA Nonfinancial Commercial Paper.

F) Plot the relationship between the Date (x-axis) and the Rate (y-axis). Be sure to label the y-axis, x- axis, and chart title

In your report, comment on the general pattern of the commercial paper rates. Also identify if the spread between the rates has increased or decreased over the period examined.

Attachment:- project-2-money-markets.xlsx

Attachment:- Money-markets.rar