CASH 2017 Annual Report

85 Alternative Net Sensitive Earnings at Risk Net Sensitive Earnings at Risk Balances as of September 30, 2017 Standard (Parallel Shift) Year 1 Alternative IRR Results Net Interest Income at Risk% -100 +100 +200 +300 +400 Percent Change Scenario -1.8% 3.4% 5.4% 5.7% 6.3% Board Policy Limits -8.0% -8.0% -10.0% -15.0% -20.0% Net Sensitive Earnings at Risk Balances as of September 30, 2016 Standard (Parallel Shift) Year 1 Alternative IRR Results Net Interest Income at Risk% -100 +100 +200 +300 +400 Percent Change Scenario -4.6% 0.9% -0.2% -1.2% -1.4% Board Policy Limits -5.0% -5.0% -10.0% -15.0% -20.0% The alternative EAR analysis reported at September 30, 2017 shows that in an increasing +100, +200, +300, and +400 interest rate environment, more assets than liabilities will reprice over the modeled one-year period. Net Sensitive Earnings at Risk as of September 30, 2017 Balances as of September 30, 2017 % of Change in Interest Income/Expense for a given change in interest rates Total Earning Total Earning Over / (Under) Base Case Parallel Ramp Basis Point Change Scenario Assets (in $000's) Assets -100 Base +100 +200 +300 +400 Total Loans 1,317,152 28.0% 62,784 67,489 72,240 76,914 81,601 86,378 Total Investments (non-TEY) and other Earning Assets 3,390,010 72.0% 49,427 69,628 86,760 102,502 118,174 134,059 Total Interest -Sensitive Income 4,707,162 100.0% 112,211 137,117 159,000 179,416 199,775 220,437 Total Interest-Bearing Deposits 743,831 34.7% 3,700 7,304 11,111 14,917 18,724 22,530 Total Borrowings 1,402,000 65.3% 5,706 19,726 33,746 47,766 61,768 75,806 Total Interest-Sensitive Expense 2,145,831 100.0% 9,406 27,030 44,857 62,683 80,492 98,336 Alternative Net Sensitive Earnings at Risk Alternative IRR Results % of Change in Interest Income/Expense for a given change in interest rates Total Earning Total Earning Over / (Under) Base Case Parallel Ramp Basis Point Change Scenario Assets (in $000's) Assets -100 Base +100 +200 +300 +400 Total Loans 1,317,152 37.4% 62,784 67,489 72,240 76,914 81,601 86,378 Total Investments (non-TEY) and other Earning Assets 2,206,516 62.6% 46,468 54,826 60,100 63,968 67,751 71,732 Total Interest -Sensitive Income 3,523,668 100.0% 109,252 122,315 132,340 140,882 149,352 158,110 Total Interest-Bearing Deposits 817,480 69.6% 872 8,386 12,950 17,515 22,079 26,643 Total Borrowings 357,207 30.4% 1,997 5,569 7,354 9,141 12,713 16,285 Total Interest-Sensitive Expense 1,174,687 100.0% 2,869 13,955 20,304 26,656 34,792 42,928