A FI has a long position in $900,000 face value Treasury Bonds. The life of these bonds is 15 years, but the duration is 12.5 years. These bonds generate a 10% yield. The current market value of these bonds is $1,050,000. The FI is taking a position in the futures market in a similar asset that has face value of $100,000 per contract and currently selling for 98.5% of face value. The duration of the futures contract is 6 years and the yield is 6.5%.

What will be the net gain/loss from taking a position in the futures market if %u2206R is 1%?

a) $2,767

b) $3,425

c) $0

d) -$3,220.50