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Question
Suppose a bank has an asset duration of 5 years and a liability duration of 2.5 years. This bank has $1000 million in assets and $750 million in liabilities. They are planning on trading in a Treasury bond future which has a duration of 8.5 years and which is selling right now for $99,000 for a $100,000 contract. How many futures contracts does this bank need to fully hedge itself against interest rate risk?A) 3714 contracts
B) 3125 contracts
C) 2971 contracts
D) 371 contracts
E) 37 contacts
Answer
This answer is hidden. It contains 3 characters.
Related questions
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