The Average Duration of the Loans Is 10 Years

Multiple Choice

The average duration of the loans is 10 years. The average duration of the deposits is 3 years. What is the number of T-Bill futures contracts necessary to hedge the balance sheet if the duration of the deliverable T-bills is 0.25 years and the current price of the futures contract is $98 per $100 face value?

A) 6,212 contracts.
B) 6,805 contracts.
C) 6,900 contracts.
D) 7,112 contracts.
E) 7,327 contracts.