The Average Duration of the Loans Is 10 Years Assume That the Hedge Was Placed as Indicated in a Duration

Multiple Choice

The average duration of the loans is 10 years.The average duration of the deposits is 3 years. $$\begin{array} { | l | r | l | r | } \hline \text { Consumer loans } & \$ 50 \text { million } & \text { Deposits } & \$ 235 \text { million } \\\hline \text { Commercial Loans } & \$ 200 \text { million } & \text { Equity } & \$ 15 \text { million } \\\hline \text { Total Assets } & \$ 250 \text { million } & \text { Total Liabilities \& Equity } & \$ 250 \text { million } \\\hline\end{array}$$ Assume that the hedge was placed as indicated in a prior question, and that the BP futures contract is trading at $1.62/?.Assume the futures contract has some days remaining to maturity.What will be the gain or loss on the hedge if it is unwound at this price?

A) $4,280,000 loss.
B) $4,000,000 loss.
C) $4,280,000 gain.
D) $4,000,000 gain.
E) $6,400,000 gain.