Suppose a CBOT 10-Year U

Suppose a CBOT 10-year U.S.Treasury note futures contract has a quoted price of 103-18.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,round the new interest rate to 4 decimal places when written as a decimal,and round the change in price up to the nearest whole dollar.)

A) −$61.00
B) −$64.00
C) −$67.00
D) −$71.00
E) −$75.00

Correct Answer:

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