Question: Problem: It is November 2019 and you are managing a bond portfolio worth $100 million. The duration of the portfolio in 4 months will be

Problem:

It is November 2019 and you are managing a bond portfolio worth $100 million. The duration of the portfolio in 4 months will be 9.5 years. Describe how to use March 2020 10Y Treasury Note futures to hedge the portfolio against interest rate risk. Assume that the cheapest-to-deliver bond is the one with the coupon 3 1/8 % maturing 15/11/2028 (see http://www.cmegroup.com/trading/interest-rates/treasury-conversion-factors.html).

Find the actual March 2020 Treasury Bond price and the appropriate conversion factor

to calculate the forward duration of the CTD and the exact futures position to take.

How or where on the cme-website do I find the actual march 2020 treasury bond price and convertion factor? and how do I use this to calculate the forward duration of the cheapest to deliver bondjQuery224011401517334886946_1574977126173?

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