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You are managing bond a portfolio with a current market value of $70 million and a modified duration of 3 years. What position in Treasury

You are managing bond a portfolio with a current market value of $70 million and a modified duration of 3 years. What position in Treasury bond futures contracts should you take in order to achieve a target duration of 2.5 years? The basis point value of a futures contract is $51.

Question 10 options:

Buy 68.6 contracts

Sell 68.6 contracts

Buy 69 contracts

Sell 69 contracts

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