A portfolio is worth $40 million and has duration 12 years. The futures price for a Treasury note futures contract is 120, and each contract is for the delivery of $100,000. On the delivery date the duration of the cheapest to deliver bond is 8 years. How many contracts are needed to hedge to portfolio? (Hint: $ value of futures contract = (price /100) * delivery value)

a 200

b 500

c 400

d 300