Because the fund wants to reduce the duration of the treasury bond portfolio from 7.2 to 3.6, that is to say, the fund uses treasury bond futures to reduce the duration level of the fund portfolio, so it wants to sell treasury bond futures contracts. As the face value of each contract of China 5-year treasury bond futures is 6.5438+0 million yuan, the contract price is quoted at face value of 6.5438+0 million yuan, so the value of a futures contract is 6.5438+0 million * 654.38+065.438+00 = 654.38+065.438+.

If the number of China 5-year treasury bond futures contracts sold by the fund is X, there is an equation:

7.2-x*0.0 1 1 billion * 6.4/ 1 billion =3.6

Solution, x=5 1 1.

Therefore, the Fund needs to sell 565,438+065,438+0 China five-year treasury bond futures contracts to achieve the risk management goal.