Let assume that the average duration of the loans in a firm is 8.4 years. The average duration of its deposits is 3.7 years with k=L/A = 0.85 and total asset=$160 million. What is the gain (+) or loss (-) on the futures position (that hedges against the risk of the rise in interest rate) using T-Bonds (Duration = 9 years, $96 per $100 face value, minimum contract size = $100,000) if the shock to interest rates is 0.82 percent (decrease) while the current interest rate is 7.5%?

a.-$6.09 million

b.$6.41 million

c.$5.77 million

d.$6.09 million

e.-$6.41 million