Question 39

Parramatta Bank has assets of $184 million and liabilities of $144 million. The asset duration is 6.9 years and the duration of the liabilities is 3.0 years. Market interest rates are 8 per cent. Parramatta Bank wishes to hedge the balance sheet with 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]