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How many futures contracts will the bank need

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Question: Trojan National Bank reports that its assets have a duration of 8 years and its liabilities average 3 years in duration. To hedge this duration gap, management plans to employ Treasury bond futures, which are currently quoted at 112.17 and have a duration of 10.36 years. Trojan's latest financial report shows total assets of $120 million and liabilities of $97 million. Approximately how many futures contracts will the bank need to cover its overall exposure?

Reference no: EM131717669

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