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What notional amount hedges bank overall exposure

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Question 1: Your bank has assets of $100 million and liabilities of $90 million. The modified duration of assets and liabilities are 6 and 4. Your bank pays fixed for floating in a swap. The modified duration of the fixed and floating legs of the swap are 6.0 and 1.0. What notional amount hedges your bank's overall exposure?

Reference no: EM132878719

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