You manage a $265 million bond portfolio which has a duration of 7.1 years. You...
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You manage a $265 million bond portfolio which has a duration of 7.1 years. You want to hedge this portfolio with Treasury note futures that have a duration of 7.6 years and a futures price of 116. U.S. Treasury notes futures contracts are based on a par value of $100,000 and quoted as a percentage of par. How many contracts do you need to sell to complete this hedge?
| 1,400 contracts | |
| 1,867 contracts | |
| 1,550 contracts | |
| 2,134 contracts | |
| 1,371 contracts |
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