You manage a $225 million bond portfolio that has a duration of 7.1 years. You want to hedge this portfolio with Treasury note futures that have a duration of 7.2 years and a futures price of 114. U.S. Treasury notes futures contracts are based on a par value of $100,000 and quoted as a percentage of par. How many contracts do you need to sell to complete this hedge?

• 1,371 contracts

• 1,400 contracts

• 1,689 contracts

• 1,864 contracts

• 1,946 contracts

Question 15,