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	30		Core Deposits	20	1.5 yrs
Loans (variable)	210	0.5 yrs	Euro CDs	130	1.0 yrs
Loans (fixed)	175	3.5 yrs	Debentures		5.0 yrs
			Equity	50

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 95.0, and there is no basis risk, calculate the number of futures contracts to macro-hedge the banks balance sheet.

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