Question: 2. In Example 232, suppose the FI had the reverse duration gap; that is, the duration of its assets was shorter (DA = 3) than

2. In Example 23–2, suppose the FI had the reverse duration gap;

that is, the duration of its assets was shorter (DA = 3) than the duration of its liabilities (DA = 5). (This might be the case of a bank that borrows with long-term notes or time deposits to finance floating-rate loans.) How should it hedge using futures?

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