A fund manager has a bond portfolio worth $25 million. The (Macaulay) duration of the portfolio in September will be 5.9 years. The December 10-year Treasury bond futures price is currently 94.37 (implying a yield of 5.63% p.a.) with duration 7.7 years. How should the portfolio manager immunise the portfolio against changes in interest rates (i.e. target zero duration) over the next three months? Remember that the assumed coupon rate for the Treasury bond futures is 6% p.a. (semi-annual) with a face value of $100,000.