Collateralized commodity futures position

A manager establishes a Collateralized commodity futures position with a contract value of $20 Million. He purchases 60-day Treasury bills with a bank discount yield of 8.867% to collateralize the futures position. After 60 days the loss on the futures position is $100,000. The holding period return on the collateralized futures position is closest to: A -0.5000% B 0.9978% C 1.0000% D 1.2254% Ans: ==== ==== ==== ==== ==== ==== ==== ==== C Could someone please explain how ? . Also if you could, please cite important pages in Schweser’s or CFAI books other than the one paltry page in the Alternative Investments’ reading… where I could learn more on this concept. The coverage I’ve found so far is woefully inadequate.

calculate the gain on the T bill and minus 100000 then divide by the price of the T bill (not face value) and thats that Hope i am correct

well the gain you get is on BDY, convert it to HPY first.

see this thread,732513,732597#msg-732597