单选题 Which of the following statements regarding forward contracts on 90-day T-bills is most accurate?

A、 The face value must be paid by the long at settlement.
B、 There is no default risk on these forwards because T-bills are government-backed.
C、 If short-term yields increase unexpectedly after contract initiation, the short will profit on the contract.

【正确答案】 C

【答案解析】[解析] 对于远期合约的做空方而言，如果短期收益率出现未被预期到的上升，则国库券价格将会相应下降，从而使承担卖出国库券义务的做空方产生盈利；反之，如果短期收益率出现未被预期到的下降，则国库券价格将会相应上升，从而使做空方承担亏损。因此，本题的正确选项为C。