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Assume that you are a bond portfolio manager holding $ 1 0 0 million market value of short - term bonds that have modified duration

Assume that you are a bond portfolio manager holding $100 million market value of short-term bonds that have modified duration of 12 months or 1 year. You wish to protect yourself against unanticipated increase in interest rates over the next few months and with to hedge your position using 3-month SOFR. What should be your hedge position?

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