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