Suppose a bank's balance sheet is: Liabilities Assets 1-year deposit @ LIBOR 3-month loan @ LIBOR+2 The yield curve now (December) is provided in the table below: Spot yield Maturity December 1% March 2% June September 4% To hedge my interest rate exposure, should I buy or sell futures? Which contract months? Construct a table showing futures prices and forward yields now. Yields increase by 1% in January. Construct a table showing futures prices and yields in January. Construct a table showing the bank's net income throughout the year. Suppose a bank's balance sheet is: Liabilities Assets 1-year deposit @ LIBOR 3-month loan @ LIBOR+2 The yield curve now (December) is provided in the table below: Spot yield Maturity December 1% March 2% June September 4% To hedge my interest rate exposure, should I buy or sell futures? Which contract months? Construct a table showing futures prices and forward yields now. Yields increase by 1% in January. Construct a table showing futures prices and yields in January. Construct a table showing the bank's net income throughout the year