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The September CBOT Treasury bond futures contract has a quoted price of 90'12. If annual interest rates go up by 1.25 percentage point, what is

The September CBOT Treasury bond futures contract has a quoted price of 90'12. If annual interest rates go up by 1.25 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, and round to the nearest dollar).

a. -$207

b. -$77

c. -$114

d. -$74

e. none of the above

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