An FI has $900 million of assets with a duration of ten years and $765 million of liabilities with a duration of three years. The FI wants to hedge its duration gap with a swap that has fixed-rate payments with a duration of six years and floating-rate payments with a duration of two years.

What is the optimal amount of the swap necessary to effectively macrohedge against the adverse effect of a change in interest rates on the value of the FIs equity? b. What is the exact number of swap contracts that the FI should enter into, assuming that each swap contract is $100,000 in size?