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If the interest rate increases by 30 basis points in Aug 2023 , Bank Alpha's net interest income will fall by U$1.5 million. Manager Robert
If the interest rate increases by 30 basis points in Aug 2023 , Bank Alpha's net interest income will fall by U\$1.5 million. Manager Robert suggests hedging the risk by using 3-month Eurodollar futures traded on Chicago Mercantile Exchange (CME). (1) If there are futures maturing in Jun 2023 and Sep 2023, Bank Alpha should choose futures expiring in risk. (2) To fully hedge the interest rate risk, Bank Alpha should 2 (buy or sell) the futures now and the number of contracts is 3 (round to the nearest whole number)
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