| December 8, 2015

You own a bond portfolio worth and decide to hedge using futures on 10 year Treasury notes. The futures contract has a price of $125.8 and a multiplier of $1,000. You identify a bond for delivery and use it to calculate the hedge ratio. The Treasury bond has a modified duration of $6.3.

If market rates rise by 38 basis points, by how much would the Treasury note futures be expected to change in value?

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