The Following Information Is About Current Spot Rates for Second $\Delta$

Multiple Choice

The following information is about current spot rates for Second Duration Savings' assets (loans) and liabilities (CDs) . All interest rates are fixed and paid annually.
-If interest rates increase by 20 basis points (i.e. , $\Delta$ R = 20 basis points) ,use the duration approximation to determine the approximate price change for the Treasury note.

A) $0.000.
B) $0.2775 per $100 face value.
C) $2.775 per $100 face value.
D) $0.2672 per $100 face value.