On January 4, 2015, an FI has the following balance sheet (rates = 8 percent)

DGAP = [8 €“ (396/450)4] = 4.48 years > 0
The FI manager thinks rates will increase by 0.55 percent in the next three months. If this happens, the equity value will change by:

The FI manager will hedge this interest rate risk with either futures contracts, option contracts, or swap contracts.
If the FI uses futures, it will select June T-bonds to hedge. The duration on the T-bonds underlying the contract is 14.5 years, and the T-bond futures are selling at a price of $110.53125 per $100, or $110,531.25. T-bond futures rates, currently 5 percent, are expected to increase by 0.75 percent over the next three months.

If the FI uses swaps, a swap agent offers a swap involving DFixed = 8 years (based on the 15-year Treasury bond rate) and DFloating = 1 year (based on Treasury bills).
If by April 4, 2015, balance sheet rates increase by 0.5 percent, futures rates by 0.7 percent, and T-bond rates underlying the option contracts by 0.66 percent, calculate the on and off-balance-sheet cash flows to the FI when using futures contracts, option contracts, and swap contracts as its hedge instrument.

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Assets Liabilities Equity A 450m DA 8 years し 396m DL 4 years 0.0055 S 10,266 ,667