Assume a borrower has sold 90-day BAB futures to hedge interest rate risk on a 180-day loan worth $30m. The 90-day BAB futures contract is quoted at 96.95. The loan will be borrowed in 4 months time. If the futures settlement price is 96.75in 4 months time, what is the dollar gain or loss from the futures position? Round your answer to the nearest dollar.

(a)A loss of $14,567

(b)A gain of $14,567

(c)A loss of $29,135

(d)A gain of $29,135