Suppose a hypothetical CBOT 13-year U.S., semiannual payment, 6% coupon Treasury note futures contract has a quoted price of 103-180. If annual interest rates go up by 1.00 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, round the new interest rate to 4 decimal places when written as a decimal, and round the change in price up to the nearest whole dollar.) Do not round other intermediate calculations. ?
A. ?$111
B. ?$94
C. ?$85
D. ?$71
E. ?$89
Answer: E
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