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Consider a hypothetical bank with a duration gap of 4 years and market value of assets of $3 million. Manager expects interest rates to go

Consider a hypothetical bank with a duration gap of 4 years and market value of assets of $3 million. Manager expects interest rates to go up from 9% to 10%. Show how can the manager immunize the bank assets from interest rate change using treasury futures? Assume the duration on the Treasury futures contract is 3.44 years. Current CTD T-bond futures ($100,000 par) are trading at 99-06. 


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