Drop out of internship in IB for full-time HF offer

I have signed up for an off-cycle internship at a major Investment Bank upon graduation. This was understood to be a probationary period for a subsequent full-time offer. The internship starts in autumn and I have signed the contract.

I have continued to apply for hedge funds assuming that I could start there after my internship. I was not terribly confident about these applications anyways, so I was happy to have the bank internship. I have now been offered a full-time job at a hedge fund which I am very excited about. However, they want me to drop out of the bank internship so that I can start right after graduation.

Would people at the bank understand if I drop out of the internship several months before it starts? Would I seriously burn bridges? How should I communicate that I want to drop out?