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A bank expects to receive a $2,000,000,000 payment in five months, after which it plans to invest the funds in three-month Eurodollar time deposits. To hedge against a decrease in interest rates, the bank takes a long position today in two Eurodollar time deposit future contracts expiring in five months. The current cash rate is 4.38% and the current futures rate is 4.49%. Five months from now, the bank closes out its position by selling two Eurodollar time deposit future contracts. In five months, the cash rate is 5.22% and the futures rate is 5.19%. What is the effective return on the hedge? Submit your answer as a percentage rounded to two decimal places (e.g., 0.00%).
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