FIxed Income - Page 140 ??

CFA Level III Fixed Income
#1

The first paragraph on page 140 states – We had to add approximately 12 contracts or $1.2 million face value.

Where and how do we calculate this 1.2 million face? I’m assuming each contract is worth 100,000 but where is this coming from?

Thanks, this is driving me insance and don’t understand

#2

Was thinking the same thing.

#3

I think it is above in the formula (where he is using futures rather than swap to change the duration)

Required additional PVBP ÷ PVBP of the futures contract = Number of contracts required

1,000 ÷ 85 = 11.76 or 12 contracts