BAS Presentations - March 2023

3/1/2023

Does the Term Structure of the Balance Sheet Present Interest Rate Risk? Asset Structure: • Very long ‐ term as nearly 60% of assets reprice/mature beyond 5 years (peer average is 21%) • Significant optionality with large amounts of residential home loans and callable bonds. Funding Structure: • Deposit base appears stable and not sensitive to interest rate changes.

• In the last rising rate period, savings and money market deposit costs rose only 11% of the increase in Fed Funds Rate.

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Option Risk – Callable Bonds

Bank is stuck with a relatively low ‐ yield investment

Interest rates rise

Bond is not called

Bank invests in a callable bond

Funds must be redeployed in a lower ‐ yield environment

Interest rates fall

Bond is called

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