% change in value = $-D \times \Delta \text{yield} + \frac{1}{2} \times C \times \Delta \text{yield}^2$

% change in value = $-9.2 \times -0.006 + \frac{1}{2} \times 111 \times -0.006^2$

% change in value = $0.0552 + 0.001998$

% change in value = $0.0572$ (i.e., +5.72%)

Dollar change in value = \`250\ \text{million} \times 0.0572 = \$14.3`\ \text{million}$

This question asks only for the dollar change, not the new portfolio value.

(Book 4, Module 58.2, LO 58.f)