Question: Michelle's active cash flow management revealed a short term investment opportunity in the next 30 days. She will have $3 Million excess cash for a

Michelle's active cash flow management revealed a short term investment opportunity in the next 30 days. She will have $3 Million excess cash for a period of 60 days. She is planning to invest in a 60-day Commercial Paper issue by a fortune 500 firm. She is risk averse and planning to buy Treasury bill futures for hedging any associated interest rate risk.
(Margin requirement per contract = $20000 and discount rate is 10%, Commission per contract = 60)
(Face Value of each contract: $1M)
Estimate the net hedge position.
Interest Rates:

Today:

60-day Commercial Paper: 1.50%; 60-day Treasury Bills: 1.25%

30-days from now:

60-day Commercial Paper: 1.80%; 60-day Treasury Bills: 1.53%

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