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On May 1 a portfolio manager has a bond portfolio worth $100 million. The duration of the portfolio in July will be 7.5 years. The

On May 1 a portfolio manager has a bond portfolio worth $100 million. The duration of the portfolio in July will be 7.5 years. The September Treasury bond futures price is currently 92-05 and the cheapest-to-deliver bond will have a duration of 8.5 years at maturity. How should the portfolio manager immunize the portfolio against changes in interest rates over the next two months?

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