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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-Bill futures contracts necessary to hedge the balance sheet if the duration of the deliverable T-bills is 0.25 years and the current price of the futures contract is $98 per $100 face value?
A. 6,212 contracts.
B. 6,805 contracts.
C. 6,900 contracts.
D. 7,112 contracts.
E. 7,327 contracts.
Answer
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