An FI has D_A = 2.45 years and kD_L = 0.97 years. The FI has total assets equal to $375 million. The FI wishes to effectively reduce the duration gap to one year by hedging with T-bond futures that have a market value of $115,000 and a D_Fut = 8 years. How many contracts are needed and should the FI buy or sell them?
(D = Duration)

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The Answer of An FI has D_A = 2.45 years and kD_L = 0.97 years. The FI has total assets equal to $375 million. The FI wishes to effectively reduce the duration gap to one year by hedging with T-bond futures that have a market value of $115,000 and a D_Fut = 8 years. How many contracts are needed and should the FI buy or sell them? (D = Duration)

An FI Has DA = 2

An FI Has D_A = 2