Questions 4 and 5 refer to the following information: Suppose on August 27 a portfolio manager holds $2 million face-value T-bonds with a coupon of 11-7/8 maturing in nearly 19 years. The bondscurrently sell at 101 per $100 par value, and the yield is 11.75% The duration of the bonds is 8.0 years. The bonds must be sold on October 1st and, concerned about the prospect of rising interest rates, the manager hedges using the December T-bond futures contract. The current futures price is 70-16. The cheapest-to-deliver bond, which this price is tracking, has a coupon of 10-3/8 and matures in 25 years. Its duration is thus 7.20 years, and its yield is 14.91%. - 21 0 4. How many December T-bond futures contracts will the manager trade? (In other words, what is the duration based or price-sensitivity hedge ratio?) 1.U 0448 5. On October 1 the T-bond price is 97-12 and the December futures price is 67-28. a. What is the profit on the bond position? b. What is the profit on the futures position? c. What is the overall profit? Questions 4 and 5 refer to the following information: Suppose on August 27 a portfolio manager holds $2 million face-value T-bonds with a coupon of 11-7/8 maturing in nearly 19 years. The bondscurrently sell at 101 per $100 par value, and the yield is 11.75% The duration of the bonds is 8.0 years. The bonds must be sold on October 1st and, concerned about the prospect of rising interest rates, the manager hedges using the December T-bond futures contract. The current futures price is 70-16. The cheapest-to-deliver bond, which this price is tracking, has a coupon of 10-3/8 and matures in 25 years. Its duration is thus 7.20 years, and its yield is 14.91%. - 21 0 4. How many December T-bond futures contracts will the manager trade? (In other words, what is the duration based or price-sensitivity hedge ratio?) 1.U 0448 5. On October 1 the T-bond price is 97-12 and the December futures price is 67-28. a. What is the profit on the bond position? b. What is the profit on the futures position? c. What is the overall profit