You are given the following quote for Eurodollar futures prices on Wednesday, 10/21/20:

Month Open High Low Last Change Settle Estimated Volume Prior Day Open Interest

OCT 20 98.9800 98.9900 98.8800 98.8925 -.0800 98.9100 115,807 514,892

NOV 20 99.2700 99.2750 99.1350 99.1900 -.1050 99.1900 88,625 136,818

DEC 20 99.4500 99.4550 99.3600 99.4150 -.0450 99.4150 343,832 1,575,169

a) John Jones wants to hedge a floating rate interest payment on a $3.2 million loan. The next quarterly interest payment is determined according to a 3-month LIBOR on Nov 1, 2020. How could he use Eurodollar futures to do it (long/short, how many contracts, contracts maturity)?

b) If he entered into the futures position at Monday close of 99.25, what would be his cash flow due to marking to market on Tuesday and on Wednesday?

c) What is the value of his futures position on Monday?

d) If on Nov 1, 2020, the 3-month LIBOR turns out to be 1% p.a., Eurodollar futures price 99.05, what would be the total cost to John Jones taking into account gains/losses on his hedge, plus the interest payment (disregard time value of money)?