A business intends to use 90-day bank-accepted bills futures to hedge the interest rate risk resulting from
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A business intends to use 90-day bank-accepted bills futures to hedge the interest rate risk resulting from its plans to borrow approximately $50 million using the issue of commercial paper in three months. The yield on commercial paper is currently 6.61% p.a. and the 90-day bank-accepted bill futures are currently priced at 95.85.
The effective cost of funds if, in three months time the yield on commercial paper is 7.8%p.a. and the 90-day bank-accepted bills futures contract is priced at 94.12, is ______ % p.a. (rounded to two decimal places)
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