It is March 1 and a corporate treasurer learns that he will receive $2 million on May 1 that will be needed for a major capital investment. He plans to issue 6-month maturity commercial paper when he receives that money. Concerned about the prospect of rising interest rates he decides to hedge using a June T-Bill futures contract whose IMM futures price is 90.89 (i.e. FIMM = 90.89). What is the duration-based hedge ratio?

1)Long about 4 T-Bill futures contracts

2) short about 8 T-Bill futures contract

3)short about 4 T-Bill futures contracts

4) none of these other answers are correct