Suppose you want to hedge a $520 million bond portfolio with a duration of 7.6 years using 10-year Treasury note futures with a
duration of 5.5 years, a futures price of 104, and 87 days to expiration. The multiplier on Treasury note futures is $100,000. How many
contracts do you buy or sell?
Note: Do not round intermediate calculations. Round your answer to the nearest whole number.
Number of contracts
to sell