You manage a $265 million bond portfolio which has a duration of 7.1 years. You want tohedge this portfolio with Treasury note futures that have a duration of 7.6 years and a futuresprice of 116. U.S. Treasury notes futures contracts are based on a par value of $100,000 andquoted as a percentage of par. How many contracts do you need to sell to complete thishedge?A.1,371 contractsB.1,400 contractsC.1,550 contractsD.1,867 contractsE.2,134 contracts
