Bill Cooper has today invested in a 180-day bank bill with a face value of $1 million, priced to yield 4.3 per cent per annum. Simultaneously he has sold a futures contract on a 90-day bank bill with a face value of $1 million. The futures contract will expire in 90 days time from today. The futures price is 95.55. Bill intends to settle the futures contract by delivery. Ignoring any effects from the mark-to-market rule, what is the yield (simple interest, in per cent per annum) Bill will achieve on his investment?

A) 4.10%

B) 3.12%

C) 5.08%

D) 3.62%

E) NONE OF THESE ANSWERS