The number of futures contracts that a bank will need in order to fully hedge the bank's overall interest rate risk exposure and protect the bank's net worth depends upon (among other factors): I. The relative duration of bank assets and liabilities.
II) The duration of the underlying security named in the futures contract.
III) The price of the futures contract.
IV) The debt to asset ratio.

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The Answer of The number of futures contracts that a bank will need in order to fully hedge the bank's overall interest rate risk exposure and protect the bank's net worth depends upon (among other factors): I. The relative duration of bank assets and liabilities.
II) The duration of the underlying security named in the futures contract.
III) The price of the futures contract.
IV) The debt to asset ratio.

The Number of Futures Contracts That a Bank Will Need