holding period return

A managerestablishes a colllaterized commodity futures positions with a constract value of $20 mil. He purchases 60-day Treasury bills(T-bills) with a bank discount yield of 8.867% to collaterize the futures positions. After 60 days. teh loss on the futres position is $100,000. The holding period return on the position, is cloest to: A. -0.500% B.0.9978% C. 1.000% D. 1.2254% Ans. D. Can somebdy explain how to get the answer? Thanks!

General consensus is that answer is C. http://www.analystforum.com/phorums/read.php?11,636673,636673#msg-636673