A portfolio manager plans to use a Treasury bond futures contract to hedge a bond portfolio over the next six months. The portfolio is worth $50 million and will have a duration of 3.0 years in six months. The futures price is 112, a and each futures contract is on $100,000 of bonds. The bond that is expected to be cheapest to deliver will have a duration of 7.0 years at the maturity of the futures contract. Suppose that all rates fall over the six months, but long-term rates fall less than short-term rates, then (a) The gain in the bond portfolio will exceed the loss in the futures contracts W 0 (b) The gain in the bond portfolio ill be less than the loss in the futures contracts 0 (c) The loss in the bond portfolio will exceed the gain in the futures contracts 0 (d) The loss in the bond portfolio will be less than the loss in the futures contracts 0 (e) None of the above