100 26 1 pts Consider the following balance sheet (expressed in millions of dollars Assets...
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100 26 1 pts Consider the following balance sheet (expressed in millions of dollars Assets 750 (5 years - modified duration) Liabilities: 600 in borrowed funds (1 year=modified duration) 150 in Equity Show how to hedge this balance sheet against a 1% increase in interest rates using Treasury bond futures assuming that the underlying bond has a modified duration of 14 years. Long 210 million Short 210 million Short 225 million Long 225 million Long 242 million
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