Company: ASB
Filing Date: 2025-02-12
Form Type: 10-K
Source: 0000007789-25-000013
Chunk: 262

Company: ASSOCIATED BANC-CORP
Filing Date: 2025-02-12
Form: 10-K
Item: Item 7
Chunk 262
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 may include rapid and gradual ramping of interest rates, rate shocks, basis risk analysis, and yield curve twists. Specific balance sheet management strategies are also analyzed to determine their impact on EAR.

Key assumptions in the simulation analysis (and in the valuation analysis discussed below) relate to the behavior of interest rates and pricing spreads, the changes in product balances, and the behavior of loan and deposit clients in different rate environments. This analysis incorporates several assumptions, the most material of which relate to the re-pricing characteristics and balance fluctuations of deposits with indeterminate or non-contractual maturities, and prepayment of loans and securities.

The sensitivity analysis included below is measured as a percentage change in EAR due to gradual moves in benchmark interest rates from a baseline scenario over 12 months. We evaluate the sensitivity using: 1) a dynamic forecast incorporating expected growth in the balance sheet, and 2) a static forecast where the current balance sheet is held constant.

While a gradual shift in interest rates was used in this analysis to provide an estimate of exposure under a probable scenario, an instantaneous shift in interest rates would have a more significant impact. No EAR breaches occurred during 2024.

Table 18 Estimated % Change in Rate Sensitive EAR Over 12 Months Dynamic ForecastDecember 31, 2024Static ForecastDecember 31, 2024Dynamic ForecastDecember 31, 2023Static ForecastDecember 31, 2023Gradual Rate Change100 bp increase in interest rates1.0%0.7%1.9%2.2%200 bp increase in interest rates2.0%1.3%3.8%4.3%100 bp decrease in interest rates(0.5)%(0.2)%(1.3)%(1.5)%200 bp decrease in interest rates(1.3)%(0.8)%(2.6)%(3.1)%

We also perform valuation analysis, which we use for discerning levels of risk present in the balance sheet and derivative positions that might not be taken into account in the EAR simulation analysis. Whereas, EAR simulation highlights exposures over a relatively short time horizon, valuation analysis incorporates all cash flows over the estimated remaining life of all 

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balance sheet and derivative positions. The valuation of the balance sheet, at a point in time, is defined as the discounted present value of all asset cash flows and derivative cash flows, minus the discounted present value of all liability cash flows, the net of which is referred