You manage a $225 million bond portfolio that has a duration of 7.1 years. You want to hedge this portfolio with Treasury note futures that have a duration of 7.2 years and a futures price of 114. 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?
A)1,371 contracts
B)1,400 contracts
C)1,689 contracts
D)1,864 contracts
E)1,946 contracts

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The Answer of You manage a $225 million bond portfolio that has a duration of 7.1 years. You want to hedge this portfolio with Treasury note futures that have a duration of 7.2 years and a futures price of 114. 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?
A)1,371 contracts
B)1,400 contracts
C)1,689 contracts
D)1,864 contracts
E)1,946 contracts

You Manage a $225 Million Bond Portfolio That Has a Duration