What is the gain or loss on the futures contract

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Problem 1: The March CBOT Treasury bond futures contract has a quoted price of 97'12. If annual interest rates go up by 1.25 percentage point, what is the gain or loss on the futures contract? Round to the nearest whole dollar.

a. ($8,499)

b. ($12,619)

c. ($21,214)

d. ($22,995)

e. None of the above

Reference no: EM132664678

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