Daily Settlements for $3-$month SOFR Futures $($FINAL$)$ Trade Date: $10/05/2023($Thursday$)$

Daily Settlements for $3-$month SOFR Futures $($FINAL$)$ Trade Date: $10/09/2023($Monday$)$

Daily Settlements for $3-$month SOFR Futures $($FINAL$)$ Trade Date: $10/11/2023($Wednesday$)$

$3-$month SOFR rate $(90-$day average$)$: Oct $42023$: $5\mathrm{.}27991\%,$ October $5,2023$: $5\mathrm{.}28284\%,$Octoher $6,2023$: $5\mathrm{.}28578\%,$October $9,2023$:$5\mathrm{.}28578\%,$

October $10,2023$: $5\mathrm{.}29700\%,$October $11,2023$: $5\mathrm{.}29992\%$

Suppose that today is Wednesday, October $4,2023,$ and you have a loan of $$5,000,000$ outstanding, on which you will have to make a floating$-$rate interest

rate payment on Wednesday, October $11.$ The interest payment is determined based on a $3-$month SOFR rate on that day. You fear that in the next several

days the rate might rise. So$,$ you hedge yourself by trading $3-$month SOFR futures. Assume that you enter the position at the close of day on Wednesday,

October $4.$ a$.$ In order to hedge yourself, which position in $3-$month SOFR futures will you take $($ie buy or sell, contract maturity, and the number of

contracts$)?$ b$.$ What is your daily gain or loss on your futures position $($on Thursday, Friday, Monday, Tuesday, and Wednesday$)?c.$ What is the interest

rate payment that you haye to make on Wednesday, October $11,$ on your $$5,000,000$ loan? $d.$ What is the net cost to you, taking into account the

gains$/$losses on your hedge, plus the interest payment on the loan $($ignore the time value of money$)?$