91-Day Treasury Bill Rates = 9

Multiple Choice

91-day Treasury bill rates = 9.71 percent 91-day Treasury bill futures rates = 9.66 percent
(Reminder: Treasury bill prices are calculated using the following formula:
P = FV × (1 - d_t/360)
Where P = price, FV = face value, d = discount yield, and t = days until maturity.)
What is the basis on the T-bill futures contract?

A) 19 basis points.
B) 21 basis points.
C) 5 basis points.
D) 2 basis points.
E) Insufficient information.