FINC 430: Risk Management 20 Integrated Mini Case 01: Calculating and Using Repricing and Duration GAP State Bank's balance sheet is listed below. Market yields and durations (in years) are in parenthesis, and amounts are in millions. Assets Liabilities and Equity Cash $31 Demand deposits S253 Fed funds (2.05%, 0.02) 150 Savings accounts (0.5%, 1.25) 50 3-month T-bills (3.25%, 0.22) 200 MMDAs (3.5% 0.50) 8-year T-bonds (6.50%, 7.55) 250 (no minimum balance requirement) 460 5-year munis (7.20%, 4.25) 50 3-month CDs (3.2%, 0.20) 175 6-month consumer loans (5%, 0.42) 250 1-year CDs (3.5%, 0.95) 375 5-year car loans (6%, 3.78) 350 5-year CDs (5% 4.85) 350 7-month C&I loans (4.8%, 0.55) 200 Fed funds (2%, 0.02) 225 2-year C&I loans (4.15%, 165) 275 Repos (2%, 0.05) 290 Fixed-rate mortgages (5.10%, 0.48) 6-month commercial paper (maturing in 5 months) 450 (4.05%, 0.55) 300 Fixed-rate mortgages (6.85%, 0.85) Subordinate notes: (maturing in 1 year) 300 1-year fixed rate (5.55%, 0.92) 200 Fixed-rate mortgages (5.30%, 4.45) Subordinated debt: (maturing in 5 years) 275 7-year fixed rate (6.25%, 6.65) 100 Fixed-rate mortgages (5.40%, 18.25) Total liabilities $2,778 (maturing in 20 years) 355 Premises and equipment 20 Equity Total assets 53.156 Total liabilities and equity $3,156 378