The manager of a bond portfolio with a market value of $55 million and a duration of 6.0 would like to increase portfolio duration to 9.2 in anticipation of a decrease in interest rates. The manager would like to use futures contracts that are priced at 83 thousand, have a duration of 6.46, and a conversion factor for cheapest-to-deliver bond of 1.15.

How many futures contracts does the manager need to enter to achieve the target duration? Enter positive number for buying and negative number for shorting the contract.

Correct Answer: 377.49