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A portfolio of bonds has a market value of $300M, and an average duration of 8.3.  The...

A portfolio of bonds has a market value of $300M, and an average duration of 8.3.  The manager wants to reduce duration to 5.5.  To make the change, the manager will take a position in treasury futures.  The futures contracts have a cheapest-to-deliver bond with a duration of 7.0 and an underlying value of $100,000.  The conversion factor for the cheapest-to-deliver bond is 1.0.  How many contracts does the manager need to short in order to execute the change?

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