Suppose that on February 25, a portfolio manager holds $10 million face value of a government bond. The coupon rate of the bond is 7% paid annually, and the bond matures in 20 years. The bond is currently priced at 103.5% of the par value. The manager will sell the bond on March 28 to generate cash to meet an obligation. The portfolio manager is concerned that interest rate will increase, resulting in a lower bond price and the possibility that the proceeds from the bond's sale will be inadequate for meeting the obligation.

To deal with the possibility, the manager is having a short position in the T-bond futures. He chooses June T-bond futures with the price of 101. The futures price and the characteristics of the deliverable bond imply a duration of 9.52 and a yield of 7.39%.

What is the yield of the portfolio?

		6.12%
		6.23%
		6.51%
		6.68%
		6.88%