Duration Balance Sheet (Amount in millions, Duration in years) Assets Amount Duration Liabilities Amount Cash 60 Core Deposits 140 Treasury Bonds 100 3.00 yrs Euro CDs ? Loans (variable) 210 0.75 yrs Debentures 100 Loans (fixed) 130 3.25 yrs Equity 45 1.5 yrs 1.5 yrs 3.0 yrs = 0.01 would be a reasonable estimate of AR The ALCO committee believes that 1+R 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