Jackie manages a $620 million bond portfolio which has a duration of 4.05 years. She wants to hedge the portfolio with Treasury note futures that have a duration of 4.53 years and a futures price of 112. U.S. Treasury notes futures contracts are based on a par value of $100,000 and quoted as a percentage of par. How many contracts does she need to sell to complete this hedge?

Multiple Choice

• 4,667 contracts

• 4,868 contracts

• 4,949 contracts

• 5,183 contracts

• 5,216 contracts

Question 8.