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Morning View National Bank reports that its assets have a duration of 6 years and its liabilities average 2.35 years in duration. To hedge this
Morning View National Bank reports that its assets have a duration of 6 years and its liabilities average 2.35 years in duration. To hedge this duration gap, management plans to employ Treasury bond futures, which are currently quoted at 102-150 and have a duration of 8.36 years. Morning Views latest financial report shows total assets of $120 million and liabilities of $86 million. Approximately how many futures contracts will the bank need to cover its overall exposure?
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