US Bank Duration Exposure

	B	C	D	E	F	G	H	I
1
2	Fixed Rated Mortgage Backed Securities Duration Risk			RMBS			Total
3	Name	Ticker	(A) Securities as a % of Earnings Assets(1)	(B) Agency MBS(1)	(C) Non-Agency MBS(1)	(D) Fixed Rate Prepayment / Duration Risk % Securities(2)	(E) Fixed Rate Prepayment / Duration Risk % Earning Assets(3)	MTM Loss(4)
4	Silicon Valley Bank	SIVB	57%	64%	0%	64%	36%	7%
5	Bank of Hawaii	BOH	37%	77%	0%	77%	28%	6%
6	Truist Financial	TFC	27%	87%	2%	89%	24%	5%
7	Bank of America	BAC	31%	63%	0%	63%	20%	4%
8	US Bancorp	USB	27%	71%	0%	71%	19%	4%
9	Zions Bancorporation	ZION	28%	67%	0%	67%	19%	4%
10	Signature Bank	SBNY	24%	75%	3%	78%	19%	4%
11	Huntington Bancshares	HBAN	24%	75%	0%	75%	18%	4%
12	Wells Fargo	WFC	24%	64%	0%	64%	15%	3%
13	Comerica	CMA	25%	61%	0%	61%	15%	3%
14	KeyCorp	KEY	28%	53%	0%	53%	15%	3%
15	Regions Financial	RF	21%	60%	0%	60%	13%	3%
16
17	Notes:
18	(1) from Jefferies / Zerohedge; data as of Dec 31, 2022
19	(2) B+C
20	(3) D*A
21	(4) E* assumed 20% MTM discount on MBS securities
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