The Financial Analyst Department (FAD) in Beta PLC is seeking your advice on their new investment portfolio worth $2m. Their plan is to invest on 1st July to 1st October, three months from now. The fixed rate is given below,

3 months 4 months 5 months 6.00% per annum 6.6% per annum 7% per annum

You were told that the floating rate is uncertain in the past months. The investment period day count convention are 92 days, and the actual/ 360 convention is used for FRA pricing. The FDA predict on 1st July the Libor rate of return to be 6.25% per annum.

You are required to calculate and identify the highest net interest revenue for the above investment based on the following interest rate hedge instruments,

1. a) FRA contracts

2. b) Eurodollar Futures contract

3. c) Bank Accepted Bills Futures contracts