You want to hedge a $500 million dollar bond portfolio with a duration of 12.5 years using 10-year Canada bond futures with a duration 8.5 years. The futures have a multiplier of $100,000 and a price of 102.81. If the futures expire in 5 months, how many contracts do you need to hedge the portfolio?

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The Answer of You want to hedge a $500 million dollar bond portfolio with a duration of 12.5 years using 10-year Canada bond futures with a duration 8.5 years. The futures have a multiplier of $100,000 and a price of 102.81. If the futures expire in 5 months, how many contracts do you need to hedge the portfolio?

You Want to Hedge a $500 Million Dollar Bond Portfolio