16. Tree Row Bank has assets of $150 million, liabilities of $135 million, and equity of $15 million. The asset duration is six years and the duration of the liabilities is four years. Market interest rates are 10 percent. Tree Row Bank wishes to hedge the balance sheet with Eurodollar futures contracts, which currently have a price quote of $96 per $100 face value for the benchmark three-month Eurodollar CD underlying the contract. The current rate on three-month Euro- dollar CDs is 4.0 percent and the duration of these contracts is 0.25 year. a. Should the bank go short or long on the futures contracts to establish the correct macrohedge? the bank? cash balance sheet position for a change in market interest rates of plus 100 b. Assuming no basis risk, how many contracts are necessary to fully hedge c. Verify that the change in the futures position will offset the change in the basis points and minus 50 basis points. market value of 595 per $100 of face value, a yield of 8.52gss that had a duration of 10.3725 years, how many futures contracts w necessary to fully hedge the balance sheet? Assume no basis risk ave ben between Eurodollar and T-bond futures contracts? d. If the bank had hedged with Treasury bond futures contracte 95 percent, and choosin e. What additional issues should be considered by the bank