10. Use the following US Treasury bill futures contract to construct a perfect (nave) hedge. The June contract is currently price at 97.5. (Assume that all interest rates increase by 25 basis points.)
    1. Sell one US Treasury bill futures contract at 97.5
    2. Buy one US Treasury bill futures contract at 97.5.
    3. Sell 28,780 US Treasury bill futures contracts at 97.5
    4. Buy 28,780 US Treasury bill futures contracts at 97.5
    5. Sell 100 US Treasury bill futures contracts at 97.5.

11. What is the dollar price of the US Treasury bill futures contract in question 12?
    1. $975,000
    2. $97,500
    3. $993,681
    4. $996,208

ovvvvvvvvvvvvv Bank of Charub Assets: 270 day US Treasury bills_ $500m 2 year consumer loans Fixed rate, 12% p.a. annually $275m 7 year commercial loans $350m Fixed rate, 9% p.a. annually 10 year fixed rate mortgages $675m Fixed rate, 6.5%p.a. monthly 10 year floating rate mortgages $125m LIBOR+50bp, monthly roll date ($ million). Liabilities and Net Worth: 1 year Certificates of Deposit $550m Demand Deposits $750m 2 year Bonds $175m Fixed rate, 7.5% p.a. annually Overnight Fed Funds $350m Equity $100m Notes: The 1 year Certificates of Deposit pay 1.95% p.a. annually. The demand deposits are non-interest bearing and have a duration of zero. The 7 year commercial loans have a duration of 4.75 years. The fixed rate mortgages have a duration of 8.3 years. All values are market values. ovvvvvvvvvvvvv Bank of Charub Assets: 270 day US Treasury bills_ $500m 2 year consumer loans Fixed rate, 12% p.a. annually $275m 7 year commercial loans $350m Fixed rate, 9% p.a. annually 10 year fixed rate mortgages $675m Fixed rate, 6.5%p.a. monthly 10 year floating rate mortgages $125m LIBOR+50bp, monthly roll date ($ million). Liabilities and Net Worth: 1 year Certificates of Deposit $550m Demand Deposits $750m 2 year Bonds $175m Fixed rate, 7.5% p.a. annually Overnight Fed Funds $350m Equity $100m Notes: The 1 year Certificates of Deposit pay 1.95% p.a. annually. The demand deposits are non-interest bearing and have a duration of zero. The 7 year commercial loans have a duration of 4.75 years. The fixed rate mortgages have a duration of 8.3 years. All values are market values