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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