How many contracts are necessary to fully hedge the bank

Reference no: EM133516257

Assignment:

a) Parramatta Bank has assets of $189 million and liabilities of $158 million. The asset duration is 5.5 years and the duration of the liabilities is 3.4 years. Market interest rates are 8 per cent. Parramatta Bank wishes to hedge the balance sheet with 90-day bank accepted bill futures contracts with a market value of $96 per $100 of face value.

b) How many contracts are necessary to fully hedge the bank? (enter a number]

Reference no: EM133516257

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