Weston Ltd is a company of underwriter that today has had to take up a 10-year debenture issues by XYZ Ltd. XYZ debenture offers a coupon rate of 7.5% p.a. paid semi-annually and is currently priced at a yield of 5.5% p.a. compounded semi-annually. Face value is $10 million.

Weston Ltd intends to hedge its position by utilizing the SFE 10-year Treasury bond futures contract. Assume a coupon rate of 6% p.a. compounded semi-annually for the Treasury bond, and the current quoted price for the future contract is $90.50. The contract size (i.e., the face value) for a unit of the 10-year Treasury bond future contract is $100,000.

What Strategy and how many SEF futures contracts are required by Weston Ltd to hedge its position in the XYZ debenture? (Duration for XYZ debenture = 5.4732; Duration for futures contract = 6.3244).

AShort 105 SEF futures contractsBLong 105 SEF futures contractsCShort-sell 105 SEF futures contractsDNone of the above