On January 1, the one-month LIBOR rate is 4% and the two-month LIBOR rate is 5%. The February fed funds futures is quoted at 94.50. Assume the use of a signle $5,000,000 futures contract.

a) What is the implied one month repo rate?

b)Clearly outline the arbitrage strategy to profit from these rates.

c)If on February 1 the one-month LIBOR is 6% and the February fed funds futures is quoted at 93 then what is the arbitrage profit on February 1?