1. (Hedging Balance Sheet Interest Rate Risk using Futures) ABC Bank has the following balance sheet (market value, in million dollars) Assets Liabilities and Equity Cash $60 $20 $30 $20 2-year zero coupon bond (Yield = 1.5% p.a.) 4-year zero coupon bond (Yield = 2.5% p.a.) 1-year zero coupon bond (Yield = 1.2% p.a.) 3-year zero coupon bond (Yield = 2.0% p.a.) Equity Total $50 $20 Toal $100 $100 Suppose ABC Bank intends to hedge the interest rate risk on its equity value by using a 1-year futures contract with the underlying asset of 6-year zero coupon bond. The annual yield of the underlying asset is 4%. The current future price quote is $98 per $100 face value of the underlying bond. The contract size of a futures contract is $100,000 face value. Assuming AR = ARF, how many future contracts should be purchased or shorted by the bank to hedge interest rate risk