BAS Presentations - March 2023

3/1/2023

Option Risk – Mortgage Products

Bank is stuck with relatively low ‐ yielding assets

Interest rates rise

Homeowners do not refinance

Mortgage loans and mortgage backed securities

Funds must be redeployed in a lower ‐ yield environment

Interest rates fall

Homeowners refinance

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Do Earnings Simulation Results Indicate Short Term Risk Exposure?

38

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