Suppose an FI holds a $2 000 000 trading portfolio with an average beta of 1.0. Over the last year, the daily return on the stock market index was 3%. How much does the FI stand to lose in earnings if adverse stock market returns materialise tomorrow?

A. $2 000 000 0.03 = $60 000

B. $2 000 000 1.0 0.03 = $60 000

C. $2 000 000 1.65 0.03 = $99 000

D. $2 000 000 2.33 0.03 = $139 800

What is the correct answer? Please explain carefully.