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You observe the market prices of 3 Month Sterling Futures (500,000 points of 100%) Maturity Price 30 Sept 2019 31 Dec 2019 31 Mar 2020

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You observe the market prices of 3 Month Sterling Futures (500,000 points of 100%) Maturity Price 30 Sept 2019 31 Dec 2019 31 Mar 2020 30 Jun 2020 99.00 98.72 98.54 98.14 b) On 31 March 2020 you will have 6,000,000 cash to deposit for three months. You wish to use Futures to hedge your risk. Which contract will be the best hedge? How many Futures contracts should you buy or sell? [4 marks]

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