An FI has $567 million of assets with a duration of 8.2 years and $396 million of liabilities with a duration of 2.5 years. The FI wants to hedge its duration gap with a swap that has fixed-rate payments with a duration of 4.4 years and floating-rate payments with a duration of 2.9 years. The notional value of contracts is $1 million. What is the optimal amount of the swap to effectively macrohedge against the adverse effect of a change in interest rates on the value of the FIs equity?

a.

$2815 million

b.

$2196 million

c.

$2684 million

d.

$2440 million

e.

$2155 million