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The Average Duration of the Loans Is 10 Years

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The average duration of the loans is 10 years. The average duration of the deposits is 3 years. The average duration of the loans is 10 years. The average duration of the deposits is 3 years.   What is the number of T-Bill futures contracts necessary to hedge the balance sheet if the duration of the deliverable T-bills is 0.25 years and the current price of the futures contract is $98 per $100 face value? A) 6,212 contracts. B) 6,805 contracts. C) 6,900 contracts. D) 7,112 contracts. E) 7,327 contracts. What is the number of T-Bill futures contracts necessary to hedge the balance sheet if the duration of the deliverable T-bills is 0.25 years and the current price of the futures contract is $98 per $100 face value?


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