Conyers Bank Holds Treasury Bonds with a Book Value of $30

Multiple Choice

Conyers Bank holds Treasury bonds with a book value of $30 million. However, the Treasury bonds currently are worth $28,387,500. The portfolio manager for Conyers Bank wishes to sell the entire issue of Treasury bonds at a current price of 87-05/32^nds. What will be the gain or loss on the cash position since the futures contract was placed? (That is, since the bonds were valued at $28,387,500.)

A) Loss of $3,834,375.
B) Loss of $3,853,125.
C) Gain of $2,240,625.
D) Gain of $3,853,125.
E) Loss of $2,240,625.