2. The following table shows the 90 Day Bank Bill trades for a person in the Capital Markets.

Bank Bills
Date	Open Position	Buy Contracts	Sell Contracts	Close position	Revaluation	Cumulative Revaluation	Rate
2/09/2013	0	20		20	$0.00	$0.00	97.44
5/09/2013	20	10		30	-$1,461.00	-$1,461.00	97.41
9/09/2013	30		40	-10	$730.00	-$731.00	97.42
10/09/2013	-10		10	-20	$487.00	-$244.00	97.40
12/09/2013	-20		10	-30	-$974.00	-$1,218.00	97.42
Current Position At
13/09/2013				-30	$730.00	-$488.00	97.41

(a) For each futures rate in the table above, what is the corresponding yield? Why are interest rate futures contracts quoted as (100 yield)?

(b) What is the price of a bank bill futures contract at each of these yields? (NOTE: The ASX bank bill futures contract is for a 90 day bank bill with face value of $1,000,000). (ANSWER: $993,727.27 at a yield of 2.560%)

(c) If you bought 20 contracts at 97.440 on 02/09/2013 and held them through to 97.410 on 05/09/2013, what profit/loss would you have made? Does your profit agree with the Revaluation figure of (-)$1,461 shown in the table above? Why did this group make a loss of $974 between 10/09/2013 and 12/09/2013?