A portfolio manager has a portfolio of three Treasury securities.His long position in Treasury A has a
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Question:
A portfolio manager has a portfolio of three Treasury securities.His long position in Treasury A has a total BPV of $5,000, his long position in Treasury B has a total BPV of $5,000, his long position in Treasury C has a total BPV of $10,000.They would like to hedge the entire portfolio with a Treasury futures contract.The BPV of the CTD into this futures contract is $80 per $100,000.The CTD has a Conversion Factor of 0.8000.How many contracts should they use?(Assume no yield betas in this problem)
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