A portfolio contains only one bond and nothing else. This bond, Bond X, has a 5% annual coupon, matures in 4 years from today, and is currently yielding 3.73%. All rates are expressed on an effective annual basis. A Treasury bond maturing in 4 years from today, carrying an annual coupon of 1.91%, and currently trading at par is available for duration-hedging purposes. The Bond X portfolio is currently unhedged with interest rates, but you would like to use the Treasury bond to manage this risk. If the market value of the unhedged portfolio is $1,137,165 on the LONG side, what market value of the Treasury bond should be held on the SHORT side to create a 124.71% duration-hedged portfolio? That is, you would like 124.71% of the market value of the LONG side hedged. (Assume that, in these calculations, duration hedging uses Macaulay duration.)

Question 20 options:

	$1,224,235
	$1,258,241
	$1,292,248
	$1,326,254
	$1,360,261