Business, 22.03.2021 23:30 arlettg

illage Bank has $310 million worth of assets with a duration of 12 years and liabilities worth $248 million with a duration of five 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 104-20 (30nds). The T-bond underlying the futures contract has a duration of eight 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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illage Bank has $310 million worth of assets with a duration of 12 years and liabilities worth $248...

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