A FI has a long position in $900000 face value Treasury Bonds. The life of the

A FI has a long position in $900000 face value Treasury Bonds. The life of these bonds is 15 years but the duration is 12.5 years. These bonds generate 10%
yield. The current market value of these bonds is $1050000. The FI is taking position in the futures market in a similar asset that has face value of
$100000 per contract and currently selling for 98.5% of face value. Duration of the futures contract is 6 years and yield is 6.5%.

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

$2767

$3425

$0

-$3220.50