1. It is August 2 and a fund manager invested in $10 million government bonds (trading at par) is concerned about an increase in interest rates over the next 3 months. The manager decides to use the T-bond futures contract to hedge the portfolio. Current futures price is 93-02 The modified duration on the bond portfolio is 6.80 years. The CTD issue has a modified duration of 9.2 years. Devise a hedge for the manager? (Hint: You need to find the PVBP of the portfolio and the futures contract using the following -Modified Duration * P * 0.01%). formula: PVBP