Hello, I am doing practice exercises for my exam in Financial Markets and Institutions and need step

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Hello, I am doing practice exercises for my exam in Financial Markets and Institutions and need step by step help.

An FI has DA = 3.45 years and k DL = 0.87 years. The FI has total assets equal to $225 million. The FI wishes to effectively reduce the duration gap by one year by hedging with T-bond futures that have a market value of $110,000 and a duration DF = 7 years. How many futures contracts are needed, if basis risk is ignored?

Posted Date: May 16, 2024 04:05 PM

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