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Suppose a bank needs to borrow (not lend) $20 million for 3 months starting in December 2016. If the bank wants to lock in the borrowing interest rate now, what should it do? Be specific about

a. which futures contract

b. whether to take a long or short position of the contract

c. how many contracts

d. futures expiration month

What is the 3-month interest rate the bank can lock in today?

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Hubert Koch
Hubert KochLv2
28 Sep 2019

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Hello, I'd appreciate it if you can help me with this problem!

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