The Portfolio Manager for Conyers Bank Wishes to Sell the Entire

Multiple Choice

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.