BAS Case Study - March 2023

Sunny State Bank

SECURITIES PORTFOLIO

Securities Mix Qtr

Securities Portfolio Over Time

28M

2018Q4

24M

Securities Mix (Single Quarter)

20M

Quarter

2018Q4

16M

Metrics

Asset-Backed CMOs Comm. MBS Corporates Municipals Pass Thru MBS Treas./Agency

12M

18.7%

31.1%

8M

4M

50.2%

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

2017Q1

2017Q2

2017Q3

2017Q4

2018Q1

2018Q2

2018Q3

2018Q4

Securities Appreciation/Depreciation % of Portfolio

Securities Appreciation/Depreciation % of Tier 1 Capital

2.91%

2.00%

4.00%

1.68%

2.35%

0.61%

0.86%

(0.18%)

1.00%

0.52%

0.00%

0.43%

0.69%

0.15%

(2.28%)

(2.84%)

(0.87%)

(0.22%)

(1.58%)

0.00%

(0.49%)

(2.20%)

(3.94%)

(4.00%)

(0.79%)

(0.44%)

(0.51%)

(1.00%)

(7.03%)

Metrics

(8.00%)

(8.46%)

(1.70%)

(9.14%)

(2.00%)

(2.00%)

Bank State All Banks

(2.36%)

(10.32%)

(12.00%)

(13.01%)

(2.68%)

(3.00%)

(3.10%)

(3.37%)

(15.23%)

(3.66%)

(15.63%)

(16.00%)

(4.00%)

(15.81%)

(3.86%)

(18.66%)

(4.65%)

(5.00%)

(20.00%)

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

2017Q1

2017Q2

2017Q3

2017Q4

2018Q1

2018Q2

2018Q3

2018Q4

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

2017Q1

2017Q2

2017Q3

2017Q4

2018Q1

2018Q2

2018Q3

2018Q4

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