What is the gain or loss on the futures contract

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Suppose the September CBOT Treasury bond futures contract (6% coupon rate, semiannual payment, and 20 years to maturity) has a quoted price of 96-09. If annual interest rates go up by 1.00 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, and round to the nearest whole dollar.)

a. -$106.00
b. -$105.00
c. -$104.00
d. -$101.00
e. -$103.00

Reference no: EM13267226

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