On April 1, the one-month LIBOR rate is 0.11038%, and the two-month LIBOR rate is 0.14838%. The 30-day May Fed Funds rate futures contract is quoting at 99.90. You think there might be an arbitrage play based upon the likelihood of rising interest rates in the near-term. You will use one $5,000,000 contract.

On April 1, you'll borrow the one-month discounted value of $5,000,000, which will be $5,000,000[1+.0011038(30/360)]=$4,999,540.13, and you will lend this amount at the two-month LIBOR rate.

At the same time, you will _____ the May Fed Funds contract for 99.90.

• A. buy
• B. sell