It is November 15th 2019, and Jerry will need to borrow $5,000,000 for 90-days next June. If today's yield on 90-day bank bills is 1.0% p.a. and Jerry believes that 90-day interest rates may fall to 0.8% p.a. by June. What futures position should Jerry take to hedge this exposure? What borrowing rate would Jerry lock-in, if in June, the June futures quotations are 98.8550 (bid) and 98.8650 (ask), and September futures 98.8450 (bid) and 98.8600 (ask), while Jerry is able to issue 90-day bills at 1.70% p.a.? Use the quotations from the ASX table above, while assuming that all futures trades are conducted using market orders, and document his various actions in the table below.

Date Futures Market Physical Market

15 Nov 2019

June 2020