A portfolio manager has a bond portfolio worth $100 million. The duration of the portfolio is 13.8 years. The portfolio manager believes that the interest rates are going to go up. The Treasury bond futures price is currently 92 and 5/16 and the underlying bond has a duration of 16.4 years at maturity. The underlying bonds have an FV of 100,000. What does she need to do to hedge her portfolio? 

Buy 1000 futures contracts 

Sell 1000 futures contracts 

Buy 913 futures contracts 

Sell 913 futures contracts

Answer rating: 100% (QA)

As you hold bond portfolio you will have loss if rate o... View the full answer