A bank issues a $100,000 variable-rate 30-year mortgage with a nominal annual rate of 4.5%. If the interest rate drops to 4.0% after the first six months, what is the impact on the interest income for the first 12 months? Assume the bank hedged this risk with a short position in a 181-day T-bill future. The original price was 97 26 32, and the final price was 98 1 32 on a

$100,000 face value contract. Did this work?