You are a risk analyst in a public pension fund. You have been asked to calculate the appropriate amount of futures to hedge the bond below. What is your calculation?

Bond

Face: $30,000,000

Term: 10 years

Coupon: 2.50% annual coupon

YTM: 3%

Hedge

Futures contract 10 year T-note

Denomination $100,000

Deliverable Notes

Note 1

Term: 10 years

Coupon: 2.2% payable semi annually

YTM: 2.8% p.a

Note 2

Term: 10 years

Coupon: 2.10% payable semi annually

YTM: 2.8% p.a

Note 3

Term: 10 years

Coupon: 2% payable semi annually

YTM: 2.8% p.a

Bo