You are a banker for Batman Bank that has agreed to lend $20,000,000 for five years at 3.40% to Superman Inc. an important client. D&F Bank will hold the loan on its balance sheet. Part of the deal is a rate lock: Superman Inc. will borrow the money in 90 days at 3.40% regardless of changes in market conditions over the next 90 days.

Boudreau Inc. Loan Terms

Maturity (years)	Structure	Frequency	Amount (millions)	Coupon Rate	Five Year UST Rate	Spread
5	Coupon	Annual Pay	$30.000	3.40%	2.00%	1.400%

Part A. Calculate the dollar loss or benefit to D&F Bank from the rate lock that occurs if the five year UST rate increases to 2.05% in the next 90 days and the appropriate spread for credit risk remains at 1.40%.

Part B. You can take a short or long position in 10-year Treasury bond futures contracts (make or take delivery of a 10-year Treasury Bond) that expires in 90 days in order hedge D&F Banks interest rate exposure created by the rate lock. How much DV01 should you buy or sell in the futures market to hedge D&F Banks exposure resulting from this loan?

Part C. What exposure does the bank have to a non-parallel shift in the Treasury yield curve curve risk - with the hedge in Part B above?