Q120

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 future postion. After 60days, 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%
d)1.2254%

answer is d, but HPY=1?

Can anyone help to explain?
Thanks