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1) The ALCO committee believes that [ R / ( 1 + R ) = 0 . 0 1 ] would be a reasonable estimate

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1) The ALCO committee believes that [R/(1+R)=0.01] would be a reasonable estimate of relevant interest rate movements.If the 90-day bank bill futures are quoted at 96.0 and there is no basis risk, calculate the number of future contracts to macro-hedge the bank's balance sheet. Show all calculations and specifically state whether a short or long position is recommended.

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