Business, 06.05.2020 03:45 pog2923

Village Bank has $350 million worth of assets with a duration of 12 years and liabilities worth $301 million with a duration of six years. In the interest of hedging interest rate risk, Village Bank is contemplating a macrohedge with interest rate T-bond futures contracts now selling for 103-22 (30nds). The T-bond underlying the futures contract has a duration of nine years. If the spot and futures interest rates move together, how many futures contracts must Village Bank sell to fully hedge the balance sheet

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Village Bank has $350 million worth of assets with a duration of 12 years and liabilities worth $301...