What is the number of T-bond futures contracts necessary to hedge the balance sheet if the duration of the deliverable bonds is 8 years, the current price of the futures contract is $96 per $100 face value, the average duration of the loans is 9.5 years, the average duration of the deposits is 2 years, total asset value is $240 million, and equity value is $50 million?

Select one:

a.

1,887

b.

3,593

c.

2,473

d.

3,450

e.

1,939