Consider the following balance sheet:

Assets: 950 (10 years = modified duration)

Liabilities: 860 in borrowed funds (2 years = modified duration) 

  90 in Equity 

How would you hedge this balance sheet against a 1% increase in interest rates using an interest rate swap with a fixed rate payment with a modified duration of 6 years and a floating rate payment with a modified duration of 2 years?

c) Receive floating and pay fixed, NP =1,945 million <-- this is the answer; how do you calculate