Consider the following balance sheet (in millions) for an FI:
Assets		Liabilities
Duration = 12 years	$1,040	Duration = 2 years	$

e.

Suppose that the FI in part (c) macrohedges using Treasury bond futures that are currently priced at 93. What is the change in value per futures contract used to hedge if the relative change in all interest rates is an increase of 1 percent? That is, R/(1 + R) = 0.01. Assume that the deliverable Treasury bond has a duration of eleven years. The bonds underlying the futures contract have a par value of $100,000. (Negative amount should be indicated by a minus sign. Enter your answer in dollars not in millions.)

Change in value per futures contract

$

f.	If the FI wants to macrohedge, how many Treasury bond futures contracts does it need? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round down your answer to the nearest whole number.)

Number of Treasury bond