question archive An institutions has Duration of Assets = 3
An institutions has Duration of Assets = 3
Subject:FinancePrice: Bought3
An institutions has Duration of Assets = 3.45 years and k × D L = 0.87 years. The FI has total assets equal to $225 million. The FI wishes to e?ectively reduce the duration gap by one year by hedging with T-bond futures that have a market value of $110,000 and a duration D F = 7 years. How many futures contracts are needed, if basis risk is ignored?
