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The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of

The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000. A portfolio is worth $48,000,000. On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years. How many contracts are necessary for hedging the portfolio?

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