Question: An FI has DA = 2.45 years and DL = 1.97 years. The FI has total assets equal to $375 million and total liabilities

An FI has DA = 2.45 years and DL = 1.97 years.

An FI has DA = 2.45 years and DL = 1.97 years. The FI has total assets equal to $375 million and total liabilities equal to $225 million. The FI wishes to fully immunize its balance sheet by hedging with T-bond futures that have a market value of $115,000 and a duration of 5 years. How many contracts are needed and should the FI buy or sell them?

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