You Plan to Borrow $1,000,000 for Six Months (183 Days)

Multiple Choice

You plan to borrow $1,000,000 for six months (183 days) in six months' time (182 days) . The current Libor rate for six months is 6%. You want to hedge your interest-rate exposure by using 90-day eurodollar futures contracts that mature in six months. Using PVBP analysis, how 90-day eurodollar futures contracts are needed for this hedge?

A) 1.79
B) 1.85
C) 1.92
D) 2.00