What would be the edging strategy

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Question - Your bank has an average asset duration of 4 years, an average liability duration of 2 years, total assets of $500 million, and total liabilities of $460 million. You plan to trade in Treasury bond futures contracts. The T-bonds named in the futures contracts have a duration of 9 years, and the futures' current price is $99,700 per $100,000 contract. What would be the edging strategy?

Reference no: EM132845254

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