Balance Sheet (Amount in millions, Duration in years) Assets Amount Duration Liabilities Amount Duration Cash 340 ? Core Deposits 350 1.5 yrs Treasury Bills 120 0.25 yrs Euro CDs 495 1.0 yrs Loans (hybrid) 500 1.75 yrs Debentures A 300 3.0 yrs Loans (variable) 310 0.5 yrs Debentures B 275 5.0 yrs Loans (fixed) 275 3.5 yrs Equity ?

The ALCO committee believes that = - 0.01 would be a reasonable estimate of relevant interest rate movements. If the 90-day bank bill futures are quoted at 97.0 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.