QUESTION 9 This is another exam type question, covering numerouse subtopics. Consider the following balance sheet (in million) for a bank: Assets Liabilities Duration = 10 years $950 | Duration = 2 years $860 Equity = $90 The bank's leverage adjusted duration gap is (calculate to two decimals). With this duration gap the bank should worry about (rising/falling) interest rates. In fact, if the relative change in interest rates is an increase of 1 per cent, that is AR/(1 + R) = 0.01, equity would change by million dollars (use + / - to indicate increases / falls). The bank could (buy/sell) bond futures to create a macrohedge. Suppose that T-bond futures (contract size 1 million are currently priced at 960.000. The deliverable T-bond has a duration of nine years. Calculate how many contracts the bank should trade to hedge its risk. The rounded number of contracts is