You are the treasury manager of a bank and you know that the bank will need to borrow $19 million for 3 months in two months time. Interest rates are currently 6.9% and the current quoted price for bank-accepted bills futures contracts expiring in 3 months is 92.2. (Assume 30 days each month, 365 days in a year, and futures contracts have a standard $1 million face value) (a) Today, what position would you take in the futures market to hedge this risk? Enter "1" for buy/long futures contracts or "2" for sell/short futures contracts (b) After two months, interest rates fall to 6.65% and the quoted price for bank-accepted bills futures contracts is 92.7. What is the profit or loss on the futures market? (for a loss enter a negative number) (round your answer to two decimal places) What is the profit or loss on the physical market? (for a loss enter a negative number) $ (round your answer to two decimal places) (c) Was this a perfect hedge? Enter "1" for yes and "2" for no You are the treasury manager of a bank and you know that the bank will need to borrow $19 million for 3 months in two months time. Interest rates are currently 6.9% and the current quoted price for bank-accepted bills futures contracts expiring in 3 months is 92.2. (Assume 30 days each month, 365 days in a year, and futures contracts have a standard $1 million face value) (a) Today, what position would you take in the futures market to hedge this risk? Enter "1" for buy/long futures contracts or "2" for sell/short futures contracts (b) After two months, interest rates fall to 6.65% and the quoted price for bank-accepted bills futures contracts is 92.7. What is the profit or loss on the futures market? (for a loss enter a negative number) (round your answer to two decimal places) What is the profit or loss on the physical market? (for a loss enter a negative number) $ (round your answer to two decimal places) (c) Was this a perfect hedge? Enter "1" for yes and "2" for no