What is the number of t-bond futures contracts

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What is the number of T-bond futures contracts necessary to hedge the balance sheet if the duration of the deliverable bonds is 8 years, the current price of the futures contract is $95 per $100 face value, the average duration of the loans is 9.5 years, the average duration of the deposits is 3 years, total asset value is $250 million, and liability value is $200 million? Basis risk shows that for every 1 percent shock to interest rates, the implied rate on the deliverable bonds in the futures market increases by 1.5 percent.

Reference no: EM132794404

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