The following information relates to Questions 9-12

Sarah Tomori, a CUNTY QC Alumni, is a fixed income analyst at Chelsea Investments. Tomori specializes in money market instruments. She is exploring whether her fund should be equal weight, underweight or overweight duration for the upcoming year. Target duration is typically 12 months, but Tomori is permitted to drift from the target duration by plus or minus 4 months depending on her view of the market. As part of her initial research, Tomori investigates the market for Fed Fund Futures. Tomori believes she can extract the market expectations of short-term interest rate changes from the futures market.Current Fed Fund market detail is as follows:

The current federal funds rate target range is set between 2.75% and 3.00%. The strip of monthly expiry Fed Fund futures is shown below. ZQJO is the future expiring on the last day in Apr 2020 and ZQJ1 is the future expiring on the last date in Apr 2021. Final settlement occurs on the first business day following the last trading day.(see exhibit plz)