Use this balance sheet information to answer the following questions:

Balance Sheet (Amount in millions, Duration in years)
Assets	Amount	Duration	Liabilities	Amount	Duration
Cash	340	?	Core Deposits	350	1.50 yrs
Treasury Bills	120	0.25 yrs	Euro CDs	495	1.00 yrs
Loans (hybrid)	500	1.75 yrs	Debentures A	300	3.00 yrs
Loans (variable)	310	0.50 yrs	Debentures B	275	6.00 yrs
Loans (fixed)	275	4.50 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 banks balance sheet.

Show all calculations and specifically state whether a short or long position is recommended.