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A bond portfolio manager will purchase T - bonds in 2 months. Today, these T-bonds are trading in the spot market for $35,000,000.00; their Duration

A bond portfolio manager will purchase T - bonds in 2 months. Today, these T-bonds are trading in the spot market for $35,000,000.00; their Duration is 12 years; and their yield to maturity is 5%. The manager wishes to hedge the purchase with T-bond futures for MAR 2024 delivery. The MAR 2024 futures market price today is 75 - 00; their duration is 13 years and their yield to maturity is 15.5%.

Calculate the number of T-bond futures to use in the hedge employing the price sensitivity ratio.

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