BAS Presentations - March 2023

3/1/2023

Credit Risk Premium

4.5%

High risk (e.g. Corporates) Low risk (e.g. U.S. Treasuries)

4.0%

3.5%

3.0%

Yield

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

1m

3m

6m

1y

2y

3y

5y

7y

10y

20y

30y

Maturity

13

Credit Risk U.S. Treasuries (RW 0%) U.S. Agencies (RW 20%) Municipals – General Obligations (RW 20%) Municipals – Revenue (RW 50%) Corporates (RW 100%)

Minimal

CREDIT RISK

High

14

7