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. Assume that the portfolio manager sells the bonds at a price of 87-05/32, and that she closes out the futures hedge position at a price of 81-17/32.What will be the net gain or loss on the entire bond transaction from the time that the hedge was placed?

A) Gain of $2,583,125.
B) Loss of $93,750.
C) Loss of $2,583,125.
D) Gain of $93,750.
E) Gain of $812,700.