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?
A)1,371 contracts
B)1,400 contracts
C)1,550 contracts
D)1,867 contracts
E)2,134 contracts

Question

Quizplus · Accepted Answer

The Answer of 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?
A)1,371 contracts
B)1,400 contracts
C)1,550 contracts
D)1,867 contracts
E)2,134 contracts

You Manage a $265 Million Bond Portfolio Which Has a Duration