A financial intermediary's balance sheet is such that DA= 5, D₁ = 3. This FI has $300 million in assets and net worth (equity) of $50 million. The FI has access to futures on 6-month commercial paper. This paper is trading at $0.94 per dollar and the futures contract covers $1,000,000 face value. How many contracts does the FI require if it uses the commercial paper futures contract to fully hedge its core exposure? (Note: Commercial paper is a zero-coupon asset.) Round your final answer to the nearest whole number. The Fl needs to contracts.

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to t…