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If you buy a nine-month T-bill future, you undertake to buy a $1 million three-month bill in nine months time. Suppose that Treasury bills and

If you buy a nine-month T-bill future, you undertake to buy a $1 million three-month bill in nine months time. Suppose that Treasury bills and notes currently offer the following yields:

Months to Maturity Annual Yield

3 7.8%

6 8.3

9 8.8

12 9.8

What is the current value of a nine-month bill future? (Do not round intermediate calculations. Round your answer to 4 decimal places.)

Futures price $

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