单选题 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.

【正确答案】 A

【答案解析】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.