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

question 27

Multiple Choice

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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