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hedging interest rate risk with CME Group US Treasury futures begins with identifying the futures contracts cheapest to deliver security then we can determine the contracts implied basis point value or B PV once the B PV is determined we can determine the B PV at risk B PV is also known as DV o 1 or dollar value of an o1 they all refer to the same thing the financial change of the security or portfolio to a change in 0.01 percent change in yield for example we are long 100 million of a US Treasury portfolio with an average BP V of four hundred and fifty dollars per million we have determined that the five-year note futures contract has the closest BP V of forty two point forty five and a conversion factor of 0.8 three one seven the calculation for the futures contracts B PV is the contracts cheapest to deliver be PV divided by that securities conversion factor or CF the next step is determining the basis point value at risk since our portfolio is a hundred million and the average be PV