BAS Case Study - March 2023

Sunny State Bank

IRR - FUNDING MATURITY INFO

Long-TermFunding (Repricing/Maturing > 3 Years) / Total Assets

5.8%

1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0%

4.1%

3.9%

Metrics

3.1%

2.9%

Bank State All Banks

2.8% 3.0% 2.8%

3.1%

2.6%

3.0%

2.5%

2.4%

2.3%

2.6%

2.4%

2.3%

2.0%

2.0%

1.8%

1.5%

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

2017Q1

2017Q2

2017Q3

2017Q4

2018Q1

2018Q2

2018Q3

2018Q4

Non-Maturity Deposits / Total Assets

72.0%

70.1%

68.2%

68.3%

67.3% 67.2%

68.0%

68.4%

65.2% 65.6%

64.4% 64.3%

65.9%

64.0%

61.6% 62.3%

60.0%

62.1%

59.1%

60.0%

56.7%

56.0%

53.5%

53.8%

52.0%

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

2017Q1

2017Q2

2017Q3

2017Q4

2018Q1

2018Q2

2018Q3

2018Q4

Repricing risk is the most common form of IRR, and is caused by a mismatch in the term structure of assets and liabilities. If a bank's asset structure is long-term, risk to rising rates can be partly mitigated by a longer-term funding structure (which could include a high amount of stable non-maturity deposits).