Conyers Bank Holds U

Multiple Choice

Conyers Bank holds U.S.Treasury bonds with a book value of $30 million.However, the U.S.Treasury bonds currently are worth $28,387,500. If T-bond futures prices decrease to 81-27/32^nds, what is the value of the futures hedge position?

A) $81,270,000.
B) $24,553,125.
C) $26,700,000.
D) $812,700.
E) $28,387,500.