Suppose a hypothetical CBOT 10-year U.S., semiannual payment, 6% coupon Treasury note futures contract has a quoted price of 88-300. If annual interest rates go down 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. $62

b. $141

c. $107

d. $51

e. $68