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A bank wishes to hedge its $ 5 5 million face value bond portfolio ( currently priced at 9 8 percent of par ) .

A bank wishes to hedge its $55 million face value bond portfolio (currently priced at 98 percent of par). The bond portfolio has a duration of 11 years. It will hedge with T-bond futures face) priced at 101 percent of par. The duration of the T-bonds to be delivered in the T-bond futures is 10 years. Calculate the number of futures contracts needed to hedge the interest rate risk of the bank's bond portfolio. Ignore basis risk.
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