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Question
An FI has DA = 2.45 years and kDL = 0.97 years. The FI has total assets equal to $375 million. The FI wishes to effectively reduce the duration gap to one year by hedging with T-Bond futures that have a market value of $115,000 and a DFut = 8 years. How many contracts are needed and should the FI buy or sell them? (D = Duration)
Answer
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Related questions
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