Question lorpoint age 1 3 Assume that a bank has $400,000,000 in assets; the duration of its assets is 10 years, the duration of the liabilities is 3 years, and its k-.94 If the current price of futures contracts is 96-0 with a duration of 9 years, how many T-Bond futures contracts are necessary to hedge this bank? 5 AE =-[DA - [(k)(DL)] [A] [AR/(1+R)] 9 12 -N = = -(DA-KD.)(A)/(-DF * PF) AF = -DE * (-NE * PF) * AR/(1+R) 3,032 3,324 3,195 2,977 Question lorpoint age 1 3 Assume that a bank has $400,000,000 in assets; the duration of its assets is 10 years, the duration of the liabilities is 3 years, and its k-.94 If the current price of futures contracts is 96-0 with a duration of 9 years, how many T-Bond futures contracts are necessary to hedge this bank? 5 AE =-[DA - [(k)(DL)] [A] [AR/(1+R)] 9 12 -N = = -(DA-KD.)(A)/(-DF * PF) AF = -DE * (-NE * PF) * AR/(1+R) 3,032 3,324 3,195 2,977