A portfolio manager wishes to hedge a bond with a par value of $33 million by selling Treasury bond futures. Assume the conversion factor for the cheapest-to-deliver issue is 0.71. The price value of a basis point of the bond to be hedged is 0.0696 and the price value of a basis point of the cheapest-to-deliver issue at the settlement date is 0.07965. (each is worth 5 points,