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Consider the following balance sheet (in millions) for a bank: Assets: | Duration = 7 years | $120 | Liabilities: | Duration = 5 years
Consider the following balance sheet (in millions) for a bank: Assets: | Duration = 7 years | $120 | Liabilities: | Duration = 5 years | $108 | | Avg. Interest rate | 6.0 % | Equity: $12 If the bank wants to micro-hedge, how many treasury bond futures contracts does it need?
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