KKR issues a $10 million 18-month floating rate note priced at LIBOR plus 400 basis points.

Assume that KKR had hedge the interest rate risk with a US Treasury bill futures contract priced at 94.75. What would the hedge positions value be if Treasury bill yields increased by 25 basis points? $632 per contract $986 per contract $250 per contract $2,500 per contract No change