BAS Case Study - March 2023

FDIC Certificate # OCC Charter # 0 Public Report

SUNNY STATE BANK Interest Rate Risk Analysis as a Percent of Assets--Page 9

12/31/2018

12/31/2017

12/31/2016

12/31/2015

12/31/2014

Long Assets Insts w/Options Mortgage Loans & Pass Thrus Loans & Securities Over 15 Years Loans & Securities 5-15 Years Other Loans and Securities Loans & Securities Over 15 Years Loans & Securities 5-15 Years Total Loans & Securities Over 15 Years

BANK 49.29 20.43 19.85 36.62 4.44 15.21 24.87

PG 10 22.34 3.06 5.46 58.30 1.79 11.04 5.49

PCT

BANK 48.97 36.74 9.12 34.80 4.41 18.57 41.15

PG 10 21.04 3.63 5.08 60.79 2.23 12.06 6.59

PCT

BANK 46.67 35.61 6.71 38.31 4.11 19.11 39.72

PG 10 20.46 4.01 4.73 59.68 2.50 12.87 7.31

PCT

BANK 45.96 32.52 8.37 39.72 3.94 19.47 36.46

PG 10 20.80 4.08 4.96 58.65 2.38 11.82 7.24

PCT

BANK 40.75 26.35 9.05 43.85 4.19 26.42 30.54

PG 10 21.55 3.62 5.12 57.81 2.21 11.47 6.67

PCT

95 95 95

96 97 80

95 97 70

95 97 75

92 95 78 18 74 94 96 54 61 87 89 86 83 68 48 86 86 98 65 98 93 78 85 50 10 91

8

5

6

9

85 67 93 53 56 95 91 95 82 62 64 95 95 95 61 95 95 48 93

81 74 97 61 66 94 94 94 85 68 48 90 90 97 45 97 96 57 92

73 79 97 60 64 96 93 96 82 68 47 91 91 96 58 97 96 73 86

72 79 97 56 63 89 90 88 80 67 49 80 80 97 64 97 95 68 92

CMO'S Total

0.00 0.00 3.65 0.05 3.70

1.06 0.65 0.36 0.00 0.38

0.00 0.00 3.48 0.07 3.55

0.64 0.30 0.24 0.00 0.26

0.00 0.00 3.56 0.08 3.64

0.66 0.39 0.17 0.00 0.19

0.00 0.00 1.85 0.09 1.94

0.76 0.44 0.26 0.01 0.33

0.00 0.00 2.45 0.10 2.54

0.97 0.48 0.53 0.01 0.62

Avg Life Over 3 Years

Structured Notes Mortgage Servicing (FV)

Total

Overall Risk Indicators Available for Sale Held to Maturity Off Balance Sheet

29.92 0.00 8.99

15.40 2.21 8.50 -0.05 -0.41 42.75 2.05 40.00 60.64 9.35 50.74

30.90 0.00 6.70

15.77 2.17 8.15 0.00 -0.05 42.22 2.38 39.36 60.40 8.77 50.85

30.69 0.00 7.22

15.16 1.93 8.78 -0.01 -0.13 42.49 2.44 39.72 59.85 9.41 50.00

31.42 0.00 7.10

15.87 1.89 8.36

34.07 0.00 6.69

16.89 1.13 8.44

Unrealized Appreciation/Depreciation Unrealized App/Dep % Tier One Cap

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.01 0.06

0.00 0.00

0.00 0.03

Contractual Mat/Reprice Data Loans/Securities Over 3 Year Liabilities Over 3 Year Net Over 3 Year Position Loans/Securities Over 1 Year Liabilities Over 1 Year Net Over 1 Year Position

72.33 2.00 70.34 76.86 9.49 67.37 68.44 94.62 3.89

72.19 1.52 70.66 77.73 10.55 67.18 65.91 91.31 6.27

69.93 2.38 67.55 77.43 14.02 63.41 65.58 93.78 4.35

72.97 2.78 70.19 78.85 12.06 66.79 62.11 85.12 10.86

42.65 2.09 40.15 60.54 9.37 50.43

72.90 3.13 69.77 78.24 15.01 63.22 59.10 81.07 13.80

43.23 2.35 40.32 60.80 10.30 49.53

Non-Maturity Deposits

62.72 153.08 -18.97

66

63.11 160.62 -19.92

60

62.59 156.39 -19.17

63

61.57 155.36 -18.20

51

58.21 143.32 -14.35

Non-Maturity Deps % Long Assets Net Over 3 Year Position

8

6

9

7

93

94

91

95

As % Tier 1 Capital Structured Notes Mortgage Servicing (FV)

45.54 0.68 46.23

3.20 0.05 3.56

95 91 95

45.69 0.96 46.65

2.26 0.02 2.44

94 94 94

43.47 1.02 44.49

1.41 0.02 1.58

96 93 96

21.02 1.04 22.06

2.52 0.12 3.24

90 90 89

28.29 1.15 29.44

4.90 0.15 5.65

89 89 88

Total

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