CASH 2017 Annual Report

87 Balances as of September 30, 2016 Standard (Parallel Shift) Alternative IRR Results Economic Value of Equity at Risk% -100 +100 +200 +300 +400 Percent Change Scenario 2.1% -4.2% -9.4% -14.7% -19.3% Board Policy Limits -10.0% -10.0% -20.0% -30.0% -40.0% The EVE at risk reported using the alternative methodology used for management purposes shows that as interest rates increase immediately, the economic value of equity position will decrease from the base, partially due to the degree of the economic value of its base asset size in relation to the economic value of its base liabilities. These results under the rising scenarios are marginally more sensitive than the static snapshot as the effects of the temporary balance sheet repositioning noted above are diminished. Detailed Economic Value Sensitivity as of September 30, 2017 The following table details the economic value sensitivity to changes in market interest rates at September 30, 2017, for loans, investments, deposits, borrowings and other assets and liabilities (dollars in thousands). The analysis reflects the temporary balance sheet positioning of cash and due from bank in total investments, and the added economic value creation of the Bank’s non-interest bearing deposit base under a rising rate environment relative to other aspects of the balance sheet. Balances as of September 30, 2017 % of Change in Economic Value for a given change in interest rates Book Total Over / (Under) Base Case Parallel Ramp Basis Point Change Scenario Value (in $000's) Assets -100 +100 +200 +300 +400 Total Loans 1,317,152 25% 2.0% -2.0% -4.1% -6.0% -7.8% Total Investment 3,390,010 65% 2.4% -3.1% -6.3% -9.7% -12.5% Other Assets 508,410 10% —% —% —% —% —% Assets 5,215,572 100% 2.1% -2.6% -5.3% -8.1% -10.5% Interest Bearing Deposits 743,831 16% 1.0% -0.7% -1.4% -2.1% -2.8% Non-Interest Bearing Deposits 2,480,087 53% 6.4% -5.9% -11.2% -16.1% -20.6% Total Borrowings & Other Liabilities 1,470,633 31% —% —% —% —% —% Liabilities 4,694,551 100% 3.3% -3.0% -5.7% -8.2% -10.4% Detailed Alternative Economic Value Sensitivity The following is EVE at risk reported using the alternative methodology used for management purposes, for loans, investments, deposits, borrowings, and other assets and liabilities (dollars in thousands). The analysis reflects the more evenly matched changes in value of the Bank’s non-interest bearing deposit base under a rising rate environment relative to changes in value observed in total investments, which is adjusted for the temporary increased portion of cash and due from bank at period end. Alternative IRR Results % of Change in Economic Value for a given change in interest rates Economic Value Sensitivity Book Total Over / (Under) Base Case Parallel Ramp Basis Point Change Scenario Value (in $000's) Assets -100 +100 +200 +300 +400 Total Loans 1,317,152 25% 2.0% -2.0% -4.1% -6.0% -7.8% Total Investment 2,206,516 42% 3.6% -4.6% -9.5% -14.5% -18.8% Other Assets 1,691,904 32% —% —% —% —% —% Assets 5,215,572 100% 2.1% -2.6% -5.3% -8.1% -10.5% Interest Bearing Deposits 817,480 17% 0.9% -0.7% -1.3% -1.9% -2.5% Non-Interest Bearing Deposits 2,291,115 49% 6.4% -5.8% -11.2% -16.1% -20.5% Total Borrowings & Other Liabilities 1,585,956 34% —% —% —% —% —% Liabilities 4,694,551 100% 3.0% -2.7% -5.2% -7.5% -9.6%