Holding Period Return

A manager establishes a collateralized commodity futures positoin with a contract value of $20 million. He purchases 60-day Treasury bills (T-bills) with a bank discount yield of 8.867% to collateralize the futures positoin. After 60 days, the loss on the futures position is $100,000. The holding period return on the position is closest to: A. - 0.5% B. 0.9978% C. 1.0% D. 1.2254%

C