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Part A: Interest rate futures 1. Assume that Blue Sunday Bank has $200 million of assets with an average duration of 1.6 years and liabilities of $100 million with an average duration of 1.95 years. Compute the current duration gap of this bank. Assuming that U.S. Treasury bonds with a duration of 1.2 years are currently quoted in the market at 98-16, explain the position (buy or sell) in a futures contract (including the number of contracts) that the bank manager should take to eliminate interest rate risk. The following quotes will be used for the next two parts of this problem. 5-Year U.S. Treasury Bond Futures Contract Quotes from 6/27/2013CBT $100,000; pts 32nd of 100%