问题
单项选择题
Which of the following statements regarding forward contracts on T-bills is TRUE（）
A. If short-term yields increase unexpectedly after contract initiation, the short will profit on the contract.
B. There is no default risk on these forwards because T-bills are government-backed.
C. The long will receive a payment at settlement if the discount yield is above the forward yield.
答案
参考答案：A
解析：
When short-term rates increase, T-bill prices fall and the short position will profit. The price of a T-bill prior to maturity is always less than its face value. There is default risk on the forward, even though the underlying asset is considered default-free.