Question: answer these questions with the attached copy EVERYTHING ABOVE IS GIVEN IN THIS EXERCISE. DON'T EXPECT THAT GOING FORWARD Estimated changed in EVE assuming interest

answer these questions with the attached copy

EVERYTHING ABOVE IS GIVEN IN THIS EXERCISE. DON'T EXPECT THAT GOING FORWARD Estimated changed in EVE assuming interest rate change: 1,00% Objective: The bank would like to hedge it's balance sheet for 3-months Eurodollars futures with 3-month maturity from today: 98.25 What is maket value of futures to arrive achieve a zero DGAP? How many contracts will be required? Should the bank take a long or short in the futures market? Assume the bank executes Eurodollar futures contracts for 3-months. 38 Note: This is the same as the previous answer (row 35), be sure you manually type in a whole number otherwise it will create a large rounding error. After 3-months: Current Eurodollar futures price: 96.65 What is the gain/loss after you close the futures position? What is the net impact of the 3-month hedge? Sheet1

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