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Assume that an FI has assets of $750 million and liabilities of $660 million. The duration of the assets is six years and the duration

Assume that an FI has assets of $750 million and liabilities of $660 million. The duration of the assets is six years and the duration of the liabilities is two years. The price of the futures contract is 115-00, and its duration is 5.0 years. How many futures contracts are required for this macrohedge?

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