Page 40 - FINAL CFA SLIDES JUNE 2019 DAY 2
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LOS 7.f: Convert among holding period yields,
money market yields, effective annual yields, and Session Unit 2: Discounted Cash Flow Applications
bond equivalent yields, p.119
Example: Converting among EAY, HPY, and rMM, p.119: Assume you purchased a $100,000 T-bill that matures in 150
days for a price of $98,000. The broker who sold you the T-bill quoted the money market yield at 4.898%. Compute the
HPY and the EAY.
Money market to holding period yield—rMM is an annualized
yield based on a 360-day year. To change the rMM in this example
into its HPY, we need to convert it to a 150-day holding period by
multiplying it by (150 / 360). Thus:
