Bank Analysis School - Case Study & Resources
FDIC Certificate # XXXX OCC Charter # 0 Public Report
SUNNY STATE BANK Interest Rate Risk Analysis--Page 9
Interest Rate Risk
12/31/ 20X5
12/31/ 20X4
12/31/ 20X3
12/31/ 20X2
12/31/ 20X1
Net Interest Margin Performance
BANK
PG 10
PCT
BANK 3.99 -0.36 -0.19 0.42 0.00 -0.04 3.57 -0.36 -0.15
PG 10
PCT
BANK 4.35 -0.29 0.17 0.42 0.02 -0.01 3.93 -0.31 0.18
PG 10
PCT
BANK 4.64 -0.09 0.11 0.40 -0.13 -0.03 4.24 0.04 0.15
PG 10
PCT
BANK 4.73 -0.28 0.41 0.53 -0.15 -0.07 4.21 -0.13 0.48
PG 10
PCT
Int Inc/AEA (1-Qtr-Ann)
4.23 0.24 0.06 0.53 0.11 0.00 3.70 0.13 0.06
4.64 0.23 0.09 0.57 0.15 0.05 4.06 0.08 0.04
25 53 43 46 37 20 29 57 56
4.45 0.17 -0.01 0.41 0.03 0.01 4.03 0.14 -0.03
25
4.26 -0.03 -0.06 0.38 -0.01 0.00 3.86 -0.03 -0.06
56 19 87 65 73 39 56 16 86
4.28 -0.06 -0.05 0.36 -0.03 0.00 3.91 -0.01 -0.04
73 44 81 60 10 13 75 62 84
4.40 -0.03 -0.01 0.41 -0.05 -0.01 3.98 0.03 0.00
67 15 94 71
YoY Change QoQ Change YoY Change QoQ Change YoY Change QoQ Change
3
15 59 32
Int Exp/AEA (1-Qtr- Ann)
8 2
3
Net Interest Margin (1-Qtr-Ann)
19
61 29 96
3
28
ASSETS: Rem Mat/Reprice Date % of Assets: Short-Term Assets Securities (Up to 1 Year) IBB, FFS, and Reverse Repo Short-Term Assets to Total Assets % of Assets: Medium-Term Assets Securities (>1-5 Yrs) CMO, REMIC, Strip MBS < 3 Yrs Med-Term Assets to Total Assets % of Assets: Long-Term Assets Securities (> 5 Yrs) CMO, REMIC, Strip MBS > 3 Yrs Long-Term Assets to Total Assets LIABILITIES: Rem Mat/Reprice Date % of Assets: Short-Term Liabilities Non-maturity Deposits Time Deposits (Up to 1 Year) Sub Notes&Debentures (Up to 1 Yr) Short-Term Liabilities to Total Assets % of Assets: Medium-Term Liabilities Time Deposits (> 1 Yr) Sub Notes & Debentures (>1-5 Yrs) Med-Term Liabilities to Total Assets % of Assets: Long-Term Liabilities Borrowings (> 5 Yrs) Sub Notes & Debentures (> 5 Yrs) Long-Term Liabilities to Total Assets Net BS Position to Total Assets Net Short-Term Position (Up to 1 Yr) Net Med-Term Position (>1-5 Yrs) Net Long-Term Position (> 5 Yrs) Unrealized Appreciation/Depreciation AFS Sec Unrl App (Dep) to T1 Cap HTM Sec Unrl App (Dep) to T1 Cap AFS/HTM Unrl App (Dep) to T1 Cap Unrl G/L on HTM in AOCI to T1 Cap Loans (Up to 1 Year) Loans (>1-5 Yrs) Loans (> 5 Yrs) Borrowings (Up to 1 Year) FFP/Repos Borrowings (>1-5 Yrs)
1.65 7.41 0.09 9.15
2.34 18.61 8.84 31.38
48 15
0.76 5.28 2.76 8.80 2.15 6.73 0.00 8.88
2.22 19.47 8.33 31.31
36
0.65 6.90 0.24 7.80
1.61 19.21 9.44 31.46
44 10
0.85 5.98 0.07 6.90
1.28 18.49 9.20 30.21
54
0.90 5.46 1.94 8.30
1.31 18.50 8.88 30.04
53
9
9 5 2
7
3 3
25
2 2
19
2
2
10.20
6.44
75
6.12
30
4.05 7.84 0.00 11.90 25.98 39.56 0.00 65.54 65.58 7.75 1.19 1.47 0.00 75.99 10.45 3.56 0.00 14.02
5.53
48
6.10 8.46 0.00
6.37
56
3.91 8.31 0.00
5.66
47
6.72 0.00
28.74 0.28 36.25
3
26.16 0.25 33.98
6
24.80 0.14 31.87
4
25.57 0.20 33.51
5
26.74 0.32 34.30
4
65
72
74
74
68
16.92
4
6
4
14.56
5
12.22
1
18.07 41.87 0.00 59.94
8.13
78 93 54 96
27.99 40.85 0.00 68.84
9.06
92 93 67 98
9.21
89 92 65 98
24.47 39.83 0.00 64.29
9.01
89 94 64 98
29.25 36.76 0.00 66.01
9.38
91 91 61 99
12.71 0.76 24.02
14.54 0.30 25.83
15.55 0.39 27.33
15.01 0.43 26.36
13.82 0.47 25.54
68.44 6.30 1.22 5.01 0.00 80.97
62.79 14.74 0.50 0.11 0.00 79.28
65
65.91 6.99 2.32 4.23 0.00 79.45
63.35 14.62 0.53 0.25 0.00 79.78
59
62.79 15.03 0.57 0.11 0.00 79.27
62 10 77 91 98 31 66 91 98 80
62.11 10.54 3.70 0.55 0.00 76.90 10.83 1.23 0.00 12.06
61.74 16.24 0.45 0.09 0.00 79.27
51 20 90 89 98 33 71 78 98 69
59.10 11.37 3.67 0.00 0.00 74.13 13.79 1.22 0.00 15.01
58.36 17.83 0.69 0.24 0.00 78.46
50 17 86 82 99 28 76 79 99 78
6
6
79 96 98 54 43 87 98 51
86 96 98 42 53 89 98 59
7.06 2.43 0.00 9.49
8.08 0.44 0.00 8.73
8.23 2.32 0.00
7.78 0.43 0.00 8.31
8.17 0.50 0.00 8.99
8.06 0.71 0.00 9.05
9.10 0.56 0.00 9.97
10.55
0.00 0.00 0.00
0.15 0.00 0.15
82 98 82
0.00 0.00 0.00
0.20 0.00 0.20
81 98 81
0.00 0.00 0.00
0.12 0.00 0.12
84 98 84
0.00 0.00 0.00
0.07 0.00 0.07
86 98 86
0.00 0.00 0.00
0.09 0.00 0.09
83 99 83
-71.83 7.43 59.94
-47.43 27.15 23.54
4 9
-70.66 -1.67 68.84
-47.70 25.14 25.43
6 3
-68.19 -2.12 65.54
-47.47 22.20 27.02
3 3
-70.00 2.50 64.29
-48.30 23.97 26.15
4 4
-65.83 -2.79 66.01
-47.49 23.79 25.29
5 3
96
98
98
98
99
-13.01
-2.54 -0.41 -2.87 0.15 -1.58 -1.20 -1.56
4
-7.03 0.00 -7.03 0.00
-0.89 -0.05 -1.12 0.17 -0.58 -0.43 -0.61
2
-10.32
-1.27 -0.13 -1.79 0.15 -0.82 -1.05 -0.94
2
-1.58 0.00 -1.58 0.00
0.64 0.06 0.73 0.19 0.38 0.59 0.36
9
0.61 0.00 0.61 N/A 0.15 N/A 0.15
1.00 0.03 1.12 0.00 0.47 0.68 0.49
56 86 52
0.00
95
90
0.00
91
80 10 97
-13.01
6
2
-10.32
3
0.00
96
97
0.00
97
N/A
AFS Unrl App (Dep) to AFS Amt Cost HTM Unrl App (Dep) to HTM Amt Cost AFS/HTM Unrl App (Dep) to Amt Cost
-3.37
8
-1.70
10
-2.68
10
-0.44
17
43
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
-3.37
7
-1.70
9
-2.68
11
-0.44
15
43
Investment Portfolio to Total Assets AFS FV to Total Assets HTM Amt Cost to Total Assets
29.92 0.00 29.92
15.49 2.13 20.20
82 64 79
30.90 0.00 30.90
16.08 2.14 20.41
84 68 81
30.69 0.00 30.69
15.45 1.91 19.69
81 68 79
31.42 0.00 31.42
16.11 1.87 20.04
79 67 75
34.07 0.00 34.07
17.08 1.12 20.34
82 69 79
AFS/HTM to Total Assets
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