A bank wants to have a duration gap of zero. The market value of its interest-earning assets is $700 million and the assets have an average duration of five years. The market value of the bank's interest-bearing liabilities is $640 million and the liabilities have an average duration of three years. A futures contract on $100,000 of Treasury bonds with a duration of ten years is available. Should the bank take a long or short position in the Treasury bond futures contract? How many contracts should comprise the bank's position?

A bank wants to have a duration gap of zero. The market value of its interest-earning assets is $700 million and the assets have an average duration of five years. The market value of the bank's interest-bearing liabilities is $640 million and the liabilities have an average duration of three years. A futures contract on $100,000 of Treasury bonds with a duration of ten years is available. Should the bank take a long or short position in the Treasury bond futures contract? How many contracts should comprise the bank's position? A bank wants to have a duration gap of zero. The market value of its interest-earning assets is $700 million and the assets have an average duration of five years. The market value of the bank's interest-bearing liabilities is $640 million and the liabilities have an average duration of three years. A futures contract on $100,000 of Treasury bonds with a duration of ten years is available. Should the bank take a long or short position in the Treasury bond futures contract? How many contracts should comprise the bank's position