User

Assets $ Duration Liabilities and Equity $ Duration

Cash $$20,000,0000\mathrm{.}00$ Retail Demand Deposits $$250,000,0000\mathrm{.}25$

US Treasuries $$100,000,000$ CDs $$400,000,0003$

Bank Reserves $$80,000,0000\mathrm{.}05$ Brokered Deposits $$150,000,0002$

GSE Bonds $$50,000,0003\mathrm{.}00$ Fed Funds Purchased $$90,000,0000$

Municipal General Obligation Bonds $$140,000,0002\mathrm{.}50$ Subordinate Bonds $$20,000,000$

Corporate Bonds Rated Better than A $$50,000,0002\mathrm{.}50$ Preferred Stock $$30,000,000$

Corporate Bonds Rated Less than A $$30,000,0003\mathrm{.}00$ Retained Earnings $$20,000,000$

Prime Residential Mortgage Loans $65\%$ LTVs $$190,000,000$ Common Stock $$30,000,000$

Other Consumer Loans $$100,000,000$ Noncumulative Perpetual Preferred Stock $($Qualifying$)$ $$10,000,000$

Commercial Loans $$250,000,000$ Total Capital $$110,000,000$

Loan Loss Reserves $$(10,000,000\mathrm{.}00)$ $$1,000,000,000$

Total $$1,000,000,000$

Signifies Trading Book Assets

Table $2$

Term $($Yrs$)$ Rate $(\%)$

US Treasury $($UST$)72\mathrm{.}75$

Residential Loans $304$

Other Consumer Loans $53$

Commercial Loans $3$ Refer to written discussion

Table $3$

s $(\%)$

US Treasuries $0\mathrm{.}10$

GSE Bonds $0\mathrm{.}13$

Municipal General Obligation Bonds $0\mathrm{.}15$

Corporate Bonds Rated Better than A $0\mathrm{.}20$

Corporate Bonds Rated Less than A $0\mathrm{.}30$

Table $4$

US Treasury Curve

Term $1$ mo $3$ mo $6$ mo $1$ yr $2$ yr $3$ yr $5$ yr

Rate $(\%)1\mathrm{.}51\mathrm{.}631\mathrm{.}852\mathrm{.}052\mathrm{.}222\mathrm{.}362\mathrm{.}58$

Table $5$

Assets PD Recovery Rate AIS

Cash $-10\mathrm{.}00100\%0\mathrm{.}00\%$

US Treasuries $-10\mathrm{.}00100\%0\mathrm{.}50\%$

Bank Reserves $-10\mathrm{.}00100\%0\mathrm{.}00\%$

GSE Bonds $-10\mathrm{.}00100\%1\mathrm{.}50\%$

Municipal General Obligation Bonds $-3\mathrm{.}5080\%2\mathrm{.}70\%$

Corporate Bonds Rated Better than A $-3\mathrm{.}0085\%3\mathrm{.}00\%$

Corporate Bonds Rated Less than A $-2\mathrm{.}5060\%4\mathrm{.}00\%$

Prime Residential Mortgage Loans $65\%$ LTVs $-3\mathrm{.}7575\%3\mathrm{.}20\%$

Other Consumer Loans $-2\mathrm{.}7550\%5\mathrm{.}00\%$

Commercial Loans $-2\mathrm{.}0060\%6\mathrm{.}50\%$

Table $6$

Muni Corp Bonds $>$A Corp Bonds A $1\mathrm{.}000\mathrm{.}950\mathrm{.}700\mathrm{.}600\mathrm{.}75$

Corp Bonds $<$ A $1\mathrm{.}000\mathrm{.}650\mathrm{.}550\mathrm{.}70$

Resi $1\mathrm{.}000\mathrm{.}900\mathrm{.}70$

Other Consumer $1\mathrm{.}000\mathrm{.}60$

Commercial $1\mathrm{.}00$

Table $7$

UST GSE Munis Corp$>$A CorpA $10\mathrm{.}8$

Corp