Questions 4 to 10 refer to the following information. Conyers Bank holds U.S. Treasury bonds with a book value of $30 million and a duration of 11.25 years. The U.S. Treasury bonds are currently worth $28,387,500 and yield 12%. The Bank is currently considering hedging the risk relating to these Treasury bonds by using Treasury bond futures. Treasury bond futures are currently priced at 94.20 and have a $100,000 par value. What would be the impact on the price per US Treasury bond futures if interest rate increases by 25 basis points? Recall: Treasury Notes and Bonds are quoted at 32nds of a dollar

A: $2,365.51 increase

B: $2,376.19 decrease

C: $2,365.51 decrease

D: $2,376.19 increase

E: No impact