Bank Analysis School Case Study

FDIC Certificate # XXXX OCC Charter # 0 Public Report

SUNNY STATE BANK Interest Rate Risk Analysis as a Percent of Assets--Page 9

Interest Rate Risk

12/31/20X5

12/31/20X4

12/31/20X3

12/31/20X2

12/31/20X1

Long Assets Insts w/Options Mortgage Loans & Pass Thrus Loans & Securities Over 15 Years Loans & Securities 5-15 Years Other Loans and Securities Loans & Securities Over 15 Years Loans & Securities 5-15 Years Total Loans & Securities Over 15 Years

BANK 49.29 20.43 19.85 36.62 4.44 15.21 24.87

PG 10 22.77

PCT

BANK 48.97 36.74

PG 10 21.30

PCT

BANK 46.67 35.61

PG 10 20.73

PCT

BANK 45.96 32.52

PG 10 21.02

PCT

BANK 40.75 26.35

PG 10 21.76

PCT

95 95 95

96 97 78

95 97 69

95 97 74

91 95 77 18 74 94 96 55 61 87 89 86 82 69 48 86 86 98 65 97 92 78 85 50 10 91

3.06 5.43

3.79 5.15

4.13 4.82

4.17 5.06

3.74 5.22

9.12

6.71

8.37

9.05

58.03 1.73 10.62 5.43

7

34.80 4.41 18.57 41.15

60.65 2.23 12.13 6.74

5

38.31 4.11 19.11 39.72

59.53 2.49 12.95 7.41

6

39.72 3.94 19.47 36.46

58.55 2.37 11.91 7.31

9

43.85 4.19 26.42 30.54

57.73 2.21 11.56 6.77

87 70 95 53 54 95 92 95 82 64 65 95 95 95 60 95 96 50 92

81 75 97 61 67 94 94 94 84 68 47 90 90 97 46 97 94 57 90

73 79 97 61 65 96 93 96 81 68 46 91 91 96 59 97 95 73 85

72 78 97 57 64 89 90 88 79 67 48 80 80 97 65 97 94 68 91

CMO7S Total

0.00 0.00 3.65 0.05 3.70

1.09 0.76 0.35 0.00 0.37

0.00 0.00 3.48 0.07 3.55

0.63 0.30 0.25 0.00 0.27

0.00 0.00 3.56 0.08 3.64

0.65 0.39 0.17 0.00 0.18

0.00 0.00 1.85 0.09 1.94

0.75 0.43 0.26 0.01 0.33

0.00 0.00 2.45 0.10 2.54

0.96 0.47 0.53 0.01 0.62

Avg Life Over 3 Years

Structured Notes

Mortgage Servicing (FV)

Total

Overall Risk Indicators Available for Sale Held to Maturity Off Balance Sheet

29.92 0.00

15.49 2.13

30.90 0.00

16.08 2.14

30.69 0.00

15.45 1.91

31.42 0.00

16.11 1.87 8.36

34.07 0.00

17.08 1.12

8.99

8.55

6.70

8.15

7.22

8.84

7.10

6.69

8.37

Unrealized Appreciation/Depreciation Unrealized App/Dep % Tier 1 Cap

0.00 0.00

-0.05 -0.41

0.00 0.00

0.00 -0.05

0.00 0.00

-0.01 -0.13

0.00 0.00

0.01 0.06

0.00 0.00

0.00 0.03

Contractual Mat/Reprice Data Loans/Securities Over 3 Year Liabilities Over 3 Year Net Over 3 Year Position Loans/Securities Over 1 Year Liabilities Over 1 Year Net Over 1 Year Position

72.33 2.00 70.34 76.86 9.49 67.37 68.44 94.62

42.52 1.91 39.95 60.96 9.12 51.16

72.19 1.52 70.66 77.73 10.55 67.18 65.91 91.31

42.54 2.35 39.71 60.65 8.66 51.14

69.93 2.38 67.55 77.43 14.02 63.41 65.58 93.78

42.82 2.41 40.03 60.07 9.30 50.23

72.97 2.78 70.19 78.85 12.06 66.79 62.11 85.12 10.86

42.93 2.07 40.39 60.75 9.27 50.64

72.90 3.13 69.77 78.24 15.01 63.22 59.10 81.07 13.80

43.50 2.32 40.59 61.00 10.21 49.74

Non-Maturity Deposits

62.79 152.94 -19.09

65

63.35 160.10 -19.86

59

62.79 155.84 -19.05

62

61.74 154.84 -18.06

51

58.36 142.90 -14.22

Non-Maturity Deps % Long Assets

6

6

9

7

Net Over 3 Year Position

3.89

95

6.27

94

4.35

91

95

As % Tier 1 Capital Structured Notes

45.54 0.68 46.23

3.12 0.05 3.46

95 92 95

45.69 0.96 46.65

2.34 0.02 2.52

94 94 94

43.47 1.02 44.49

1.39 0.02 1.56

96 93 96

21.02 1.04 22.06

2.49 0.12 3.21

90 90 89

28.29 1.15 29.44

4.94 0.15 5.68

89 89 88

Mortgage Servicing (FV)

Total