Consider a financial institution that has the following balance sheet. The Asset side is 59 million loan with a modified duration of 24 periods and the ability side is 58 million bond with a modified duration of 8 periods. The modified duration of the net worth is you decide to use futures contract with a modified duration of 3 periods to duration hedge the net short or long position. If you decide to use an interest rate swap to hedge, you should use pay floating receive fe swap pay floating receive fed or pay fored receive floating Consider a financial institution that has the following balance sheet. The Asset side is 59 million loan with a modified duration of 24 periods and the ability side is 58 million bond with a modified duration of 8 periods. The modified duration of the net worth is you decide to use futures contract with a modified duration of 3 periods to duration hedge the net short or long position. If you decide to use an interest rate swap to hedge, you should use pay floating receive fe swap pay floating receive fed or pay fored receive floating