Suppose you want to hedge a $430 million bond portfolio with a duration of 9.6 years using

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Suppose you want to hedge a $430 million bond portfolio with a duration of 9.6 years using 10-year Treasury note futures with a duration of 6.6 years, a futures price of 107, and 106 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Round your answer to the nearest whole number.)

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(Click to select) to sell to buy

Posted Date: Jul 11, 2024 03:11 PM

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Suppose you want to hedge a $430 million bond portfolio with a duration of 9.6 years using

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