91-Day Treasury Bill Rates = 9

Multiple Choice

91-day Treasury bill rates = 9.71 percent 91-day Treasury bill futures rates = 9.66 percent
(Reminder: Treasury bill prices are calculated using the following formula:
P = FV × (1 - d_t/360)
Where P = price, FV = face value, d = discount yield, and t = days until maturity.)
An investor buys a $100,000 Treasury bond futures contract at 99-13/32^nds.The following day the Treasury bond futures settlement price is 99-26/32^nds.What is the one-day profit or loss on the Treasury bond futures position?

A) A profit of $406.25.
B) A loss of $406.25.
C) A profit of $130.
D) A loss of $329.
E) A profit of $329.