A manager expects to have approximately $10 million available to invest in two months' time. The funds will be invested in bank bills and the current yield on 90-day bills is 7 per cent per annum. To hedge, the company buys 10 bill futures contracts quoted at 93.25. Two months later, the yield on 90-day bank bills has fallen to 6 per cent per annum, the futures position is closed out at 94.1 and the company buys bank bills with a face value of $10 million. What is the return on this investment?

• 6.95 per cent per annum

• 6.75 per cent per annum

• 6.85 per cent per annum

• 6.0 per cent per annum