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The Average Duration of the Loans Is 10 Years

Question 212

Multiple Choice

The average duration of the loans is 10 years. The average duration of the deposits is 3 years. 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. 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.

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