You manage a $265 million bond portfolio which has a duration of 7.1 years. You want to hedge this portfolio with 6 month Treasury note futures, the underlying Treasury note has a duration of 7.1 years and a futures price of 116. U.S. Treasury notes futures contracts are based on a par value of $100,000 and quoted as a percentage of par 1. What is the duration of the futures contract you will use? 2. How many contracts do you need to sell to complete this hedge? 3. Explain what you are hedging against and what the outcome(s) might be