Question: You currently hold a portfolio consisting of 100 of 1-year T-bill selling for $960 and 150 3-year 5% coupon bonds. (Coupons are paid annually.) You want to immunize your portfolio against small changes in interest rates by using futures contract, written on 3-monts T-bill. How many futures contracts do you need to achieve this goal? Is it a long a short position? The term structure is currently flat.