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The price at the time was 98.7804, the discount rate was 4.825 and the investment rate was 4.966. The brokerage now lists the price at 99.39. Is this right?

Here is an example calculation that isn't right due to bond related factors such as prepaid interest and the number of days left till maturity. But, they serve to show the magnitude of what's happened.

Firstly, your purchase price (100-98.7804)/100 = 1.2196%. Multiply that by 4 (its a 3 month bill) and you get 4.8784%. This is in the ballpark of the rates you quoted, assuming that you bought at auction.

Secondly, the current price (100-99.39)/100 times 4 = 2.44%. Note that this is probably about 1% or a bit more too low. The dealer has to get something to make it worth his while to sell the bond for you. I'm guessing it would be about 1.25% in this case, making the yield to him 3.69 which is more or less right.

Like I said, these are just ballpark figures. Trading bonds (which I have never done) is not for the neophyte or those with less than stellar resources.

Hedge