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Question
The average duration of the loans is 10 years. The average duration of the deposits is 3 years.
What is the number of T-bond futures contracts necessary to hedge the balance sheet if the duration of the deliverable bonds is 9 years and the current price of the futures contract is $96 per $100 face value?
A. 1,630 contracts.
B. 1,475 contracts.
C. 1,900 contracts.
D. 2,078 contracts.
E. 3,225 contracts.
Answer
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