What would be the change in the value of the bank

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Question - If the bank can set up $150 million in futures contracts whose underlying bonds have an average duration of 2.20 years, what would be the change in the value of the bank's

a. Market value of net worth (without the futures contracts)?

b. Macro hedge position?

c. Market value of net worth (including the effects of the futures contracts)?

Reference no: EM133036001

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