CEO wants backup tape

A CEO at a previous company I worked for came to me and asked for me to give him the latest backup tape so that he can keep it instead of our normal policy of storing it off-site in a safe deposit box. While I know the safe deposit box isn’t the best, it was enough for our little company.

Being it was a small company, it was hard to say “no” to the CEO. However, I’m thinking there may be some ethical issues involved. Might I be over-reacting?