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Please show your work 5. ABC Banks asset portfolio has an average duration of 4 years and its liability portfolio has an average duration of
Please show your work
5. ABC Banks asset portfolio has an average duration of 4 years and its liability portfolio has an average duration of 3 years. The bank has $500 million in total assets and $400 million in liabilities. ABC Bank is thinking about hedging its risk by using a Treasury bond futures contract whose underlyings duration is 5 years and has a price of $97,650. How many futures contracts will it need to hedge its risk?
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