Interest Rate Risk Monitor - The Baker · PDF fileAlthough the information in this report has been obtained from sources believed to be ... GAP/EquitRSA/RSL y RSA/TARSL/TA GAP/TA

Interest Rate Risk Monitor Ver 4.0 R6

The Baker Group Software Solutions Inc.

First Sample Bank

Sample City, US

December 2013

Page 1 of 112/31/2013

Table Of ContentsFirst Sample Bank - Sample City, US

Summary ALCO - A/L Mix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Summary ALCO - Gap Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Summary ALCO - Earning Power Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Summary ALCO - Earnings Simulation - 12 Month . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Summary ALCO - Earnings Simulation - 24 Month . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Summary ALCO - Income Analysis (Chart) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Summary ALCO - Economic Value of Equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1

2

3

4

5

6

7

na"! Funds are transferring out of account. Funds are transferring in from multiple accounts. Funds are transferring in. Funds are transferring in and out of account.

IRRM Third Party Validation Letter Click Here To View

(Ver 4.0 R6) Copyrighted 1994 - 2014 3/6/2014 1:48:57PM - JEFFC / ZZ2014The Baker Group Software Solutions, Inc. - IRRMTM

Although the information in this report has been obtained from sources believed to be reliable, its accuracy cannot be guaranteed.

Interest Rate Risk Monitor

http://www2.gobaker.com/irrm/IrrmValidation.pdf

http://www2.gobaker.com/irrm/IrrmValidation.pdf

Balances ($000's)

Page 1 of 112/31/2013

Book

Value

% of

Book TA

**Rate

Sensitive

< 1 Year

*Book

Yield/

Rate

*Reinv.

Rate

*12 Mo.

Proj.

Yield/Rate

Avg.

Life

Effective

Duration

Effective

Convexity

Full

Indx.

Rate/

Total is % of Segment

Fixed Var. Non

Int.

Summary ALCO - Asset/Liability MixFirst Sample Bank - Sample City, US

$10,530 2.25 22.77 77.23 22.77 0.24 0.01 0.00 0.00 Cash & Due 0.24 0.24 / 0.24

$159,959 34.15 96.76 2.86 0.38 16.39 3.33 4.32 2.69 (0.67)Investments j 3.24 2.64 / 0.30(Includes MTM)

$2,550 0.54 100.00 100.00 0.20 0.04 0.02 (0.01)Funds Sold 0.20 0.20 / 0.20

$274,262 58.55 16.77 84.67 (1.45) 39.83 5.58 4.91 2.64 (0.83)Loans 5.54 5.30 / 5.61

Other Earning

$21,121 4.51 100.00 Non-Earning

$468,422 5.53 Total 42.86 51.61 100.00 29.97 4.71 4.35 2.46 (0.71)Assets 4.65 4.28 / 5.40

$265,268 56.63 63.57 36.43 15.66 0.33 4.73 1.98 (1.02)Non-Maturing Deposits 0.33 0.33 / 0.33

$45,953 9.81 100.02 (0.02) 74.76 0.79 0.89 0.56 (0.19)Certificates of Deposit 0.73 0.69 / 0.00

$108,076 23.07 100.00 65.47 0.96 1.32 0.88 (0.24)Jumbo CDs 0.88 0.80 / 0.00

Borrowed Funds

Other Paying

$4,715 1.01 100.00 Non-Paying

$424,012 23.90 Total 36.33 39.77 90.52 34.59 0.61 3.39 1.52 (0.72)Liabilities 0.57 0.54 / 0.33

9.48 $44,410 (0.06) 1.08 Total Equity Capital

100.00 $468,422 Total Liab & CapitalLiability MixAsset Mix

Liquidity RatiosConstant Benchmark

ALCO

Dependency Ratio

Liquid Assets / TA

Jumbo CDs / TA

Ratio is outside benchmark.P

< 800.00%

< 80.00%

< 70.00%

< 35.00%

> 10.00%

< 25.00%

< 200.00%

38.15

65.41

617.57

(5.74)

18.88

8.39

23.07

P

Loans / Assets 58.55

Investments / Deposits

Loans / Deposits

Loans / Capital

Net Borrowed Funds / Capital

< 90.00%

Available Line of Credit $31,000

2.26

Cash

34.34

Inv

58.87

Loan

4.53

Non-Earn 9.81

CDs

9.48

Equity

23.07

J CDs

56.63

NMD

1.01

Non-Pay

Reliance on Wholesale Funding 0.00 < 15.00%

Categories less than 1% will be suppressed from pie chart.

Note: Values are rounded before printing, but full precision values are used in all calculations. * Yields/Rates are reported on EA & PL.Investments using Accounting yield.j



Interest Rate Risk Monitor

** Rate Sensitive percentages are based on maturities.

1

Summary ALCO - Gap MeasuresFirst Sample Bank - Sample City, US

Page 1 of 112/31/2013

Effective Gap

($000's)

12 Month

Cumulative

12 Month

ALCO

Benchmark Cumulative

24 Month*Repricing Gap Position

($000's)Cumulative

12 Month

Benchmark

ALCO

12 Month

Cumulative

24 Month*

RS Assets/RS Liabilities 70 to 130%

GAP

GAP/Equity

GAP/Total Assets

RS Liabs./Total Assets

RS Assets/Total Assets 40 to 60%

40 to 60%

+/- 15%

+/- 200%

Ratio is outside benchmark.P

P

P

95.74

(6,240)

(14.05)

29.97

31.31

(1.33)

136.19

66,831

150.49

53.69

39.42

14.27 GAP/Total Assets

RS Assets/RS Liabilities

GAP

GAP/Equity

RS Liabs./Total Assets

RS Assets/Total Assets

P Ratio is outside benchmark.

51.29

(133,343)

(300.25)

29.97

58.44

(28.47)

87.06

(37,396)

(84.21)

53.69

61.67

(7.98)

P

P

P

P

P

Effective Gap considers effective maturities of core deposits , it reports non-maturing

demand accounts according to the preferred maturity distribution table.

Repricing Gap does not consider effective maturities of core deposits , it reports

non-maturing demand accounts according to repricing opportunity.

70 to 130%

+/- 200%

40 to 60%

60 to 80%

+/- 15%

-200 -150 -100 -50 0 50 100 150 200

RSA/RSL

GAP/Equity

RSA/TA

RSL/TA

GAP/TA

95.74

-14.05

29.97

31.31

-1.33

Benchmark Low Actual Benchmark High

Cumulative Effective Gap Measures

12 M onth Horizon

-400 -300 -200 -100 0 100 200

RSA/RSL

GAP/Equity

RSA/TA

RSL/TA

GAP/TA

51.29

-300.25

29.97

58.44

-28.47

Benchmark Low Actual Benchmark High

Cumulative Repricing Gap Measures

12 M onth Horizon

* The 24 month period could be extended if the 24th month is in the middle of a bucket period.



Interest Rate Risk Monitor 2

Summary ALCO - Earning Power MeasuresFirst Sample Bank - Sample City, US

Page 1 of 112/31/2013

Balance

Constant

Sheet

Earning PowerBenchmark

ALCOYTD

Annualized

Constant

Balance

Sheet *

YTD

Annualized

3.40

3.60

3.80

4.00

4.20

4.40

4.60

4.80

5.00

+400/+400 +400/+100 -100/-100 Unchanged +100/+100 +200/+200 +300/+300

4.09

4.254.18

4.264.33 4.32 4.30

Net Interest Margin Benchmark Base

Net Interest M argin per Rate Shift

12 Month Horizon

12 Mo.12 Mo.12 Mo.12 Mo.12 Mo.0 Mo.

4.27

0.42

0.61

4.71

137.14

To achieve a target of 13.00 ROE, the bank needs a Margin of

Net Interest Margin

Cost of Funds

Earning Interest Spread (difference)

Rate on Paying Liabilities (PL)

Yield on Earning Assets (EA)

Earning Assets/Paying Liab.

To achieve a target of 1.35 ROA, the bank needs a Margin of

59.98 Efficiency Ratio

> 115.00%

> 4.00%

> 4.25%

< 65.00%

4.10

2.38

4.56

4.51

To break even the bank needs a margin of

60.07

0.46

4.54

4.59

2.39

4.23 P

Realized Gain/Loss + Extra Items: k

Interest Income:

jTax Adjusted Interest Income:

Interest Expense:

Net Interest Income before Provision:

Provisions for Loan Loss:

Net Interest Income:

Non Interest Income:

Non Interest Expense:

Operating Income before G/L,

Tax & Extra Items:

Net Income(Loss):

Taxes:

$5,198

$19,779

$20,764

$2,163

$17,616

$(90)

$17,526

$2,020

$12,543

$7,003

$0

$20,851

$20,851

$1,959

$18,892

$18,802

$8,279

$5,878

$(2,401)

Desired After Tax ROE:

Desired After Tax ROA:

Marginal Tax Rate:

Taxable this year?

Risk Weighted Assets:

Available Line of Credit:

OREO:

Avg. Earning Assets:

Avg. Total Assets:

Equity/Total Assets:

$0

1.35

34.00%

$281,678

$31,000

$440,207

$468,774

13.00

Yes

9.48

Effective Tax Rate: 29.00%

$(1,805)

$0

$(90)

$2,020

$12,543

l

Realized Gain & Extra Items are non-recurring events.

Adjusted Interest Income is calculated using the Interest Income, Tax Exempt Income, and Marginal Tax Rate.j

k * Indicates which column is used for calculating base case.

For YTD Annualized, if Average Total Assets or Average Earning Assets were entered, they will be used.l




Summary ALCO - Earnings Simulation - 12 Month HorizonFirst Sample Bank - Sample City, US

Parallel

Page 1 of 112/31/2013

Interest Rate

Risk ($'s) +400/+400 bp +400/+100 bp -100/ -100 bp +100/+100 bp +200/+200 bp +300/+300 bp

0 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo.Shift Horizon

Unchanged

Rate

Scenario

YTD

Annualized

Constant

Balance

Sheet **

Immediate Non-Parallel Parallel Parallel Parallel

12 Month Horizon in $'s

Change in Interest Income *

Change in Interest Expense

Net Interest Change

Projected Impact in $000's

Net Interest Income *

Net Interest Margin *

Return on Assets

Return on Equity

2,518,424 938,697 (694,610) (101,650) 424,888 664,838 886,031

3,290,071 1,040,219 (310,206) (73,491) 167,553 435,334 762,921

(771,647) (101,522) (384,404) (28,159) 257,335 229,504 123,110

4.23

$17,616 18,120 18,791 18,508 18,864 19,149 19,122 19,015

5,330 5,806 5,605 5,858 6,061 6,041 5,966

1.14 1.24 1.20 1.25 1.29 1.29 1.27

12.00 13.07 12.62 13.19 13.65 13.60 13.43

ALCO Risk Limits

ALCO Benchmark

ALCO Benchmark

> -20.00% > -20.00%> -15.00% > -10.00% > -15.00%> -20.00%> -20.00%

P P P

> 4.25%

> 1.00%

> 12.00%ALCO Benchmark

NIC as a % of NII (4.08) (0.54) (2.03) (0.15) 1.36 1.21 0.65

1.11

11.70

$18,892

4.27

13.24

1.25

$5,198 $5,878

4.09 4.25 4.18 4.26 4.33 4.32 4.30

$2,163

$20,851

$1,959

Net Income (Loss)

$20,764

11

12

13

14

15

0.4

0.8

1.2

1.6

+400/+400 +400/+100 -100/-100 Unchanged +100/+100 +200/+200 +300/+300

12.00

13.07

12.62

13.19

13.65 13.6013.43

1.141.24 1.20 1.25 1.29 1.29 1.27

Projected ROE

ROE Benchmark

Projected ROA

ROA Benchmark

Pro

jec

ted

RO

E %

Pro

jec

ted

RO

A %

Projected ROE and ROA12 M onth Horizon

0 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo.

4800

5000

5200

5400

5600

5800

6000

6200

6400

6600

+400/+400 +400/+100 -100/-100 Unchanged +100/+100 +200/+200 +300/+300

5,330

5,806

5,605

5,858

6,061 6,0415,966

Base NI(L) Net Income (Loss)

Net Income (Loss)

0 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo.

* Income is tax adjusted and calculated before Provisions. ** Indicates which column is used for calculating base case. (Short End = 1yr; Long End = 10yr)




Page 1 of 112/31/2013

Interest Rate

Risk ($'s) +400/+400 bp +400/+100 bp -100/ -100 bp +100/+100 bp +200/+200 bp +300/+300 bp

0 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo.Shift Horizon

Unchanged

Rate

Scenario

YTD

Annualized

Constant

Balance

Sheet **

Non-Parallel ParallelImmediate ParallelParallelParallel

Summary ALCO - Earnings Simulation - 24 Month HorizonFirst Sample Bank - Sample City, US

Change in Interest Income *

Change in Interest Expense

Cumulative 24 Mo. NIC

13-24 Mo. Projected Impact in ($000's)

Net Interest Income *

Net Interest Margin *

Return on Assets

Return on Equity

4.23

1.11

$17,616

11.70

18,489 18,043 18,340 18,678 18,766 18,547 18,307

5,592 5,275 5,486 5,726 5,788 5,633 5,463

(2.13) (4.50) (2.92) (1.13) (0.67) (1.83) (3.10)

1.19 1.13 1.17 1.22 1.24 1.20 1.17

12.59 11.88 12.35 12.89 13.03 12.68 12.30

3,442,390 2,202,836 1,113,456 (443,194)(2,148,349) 4,311,748 7,109,317

3,904,055 2,318,687 982,558 (201,131)(1,212,257) 5,262,760 8,283,827

(461,665)(115,851) 130,898 (242,063)(936,092)(951,012)(1,174,510)

24 Month Horizon in $'s

13-24 Mo. NIC

> -15.00%> -20.00%ALCO Risk Limits > -20.00% > -20.00% > -20.00%> -10.00% > -15.00%


PPPPPPP



P

(402,863) (849,490) (551,688) (213,904) (126,437) (345,355) (584,775)

NIC as a % of NII

$18,892

4.27

13.24

1.25

$5,198 $5,878

4.18 4.08 4.14 4.22 4.24 4.19 4.14

$1,959

$20,851

$2,163

Net Income (Loss)

$20,764

10.4

11.2

12.0

12.8

13.6

14.4

0.4

0.8

1.2

1.6

+400/+400 +400/+100 -100/-100 Unchanged +100/+100 +200/+200 +300/+300

12.59

11.88

12.35

12.89 13.0312.68

12.30

1.191.13 1.17

1.22 1.24 1.20 1.17

Projected ROE

ROE Benchmark

Projected ROA

ROA Benchmark

Pro

jec

ted

RO

E %

Pro

jec

ted

RO

A %

Projected ROE and ROA24 M onth Horizon

12 Mo.12 Mo.12 Mo.12 Mo.12 Mo.0 Mo.

4600

4800

5000

5200

5400

5600

5800

6000

6200

6400

+400/+400 +400/+100 -100/-100 Unchanged +100/+100 +200/+200 +300/+300

5,592

5,275

5,486

5,7265,788

5,633

5,463

Base NI(L) Net Income (Loss)

Net Income (Loss)

12 Mo.12 Mo.12 Mo.12 Mo.12 Mo.0 Mo.

** Indicates which column is used for calculating base case. (Short End = 1yr; Long End = 10yr)* Income is tax adjusted and calculated before Provisions.




Page 1 of 112/31/2013

Summary ALCO - Income AnalysisFirst Sample Bank - Sample City, US

18000

18200

18400

18600

18800

19000

19200

Base

NII

Jan

14

Feb

14

Mar

14

Apr

14

May

14

Jun

14

Jul

14

Aug

14

Sep

14

Oct

14

Nov

14

Dec

14

Net Interest Change ($000's) per Time Bucket

Cumulative 12 Month

4,000

6,000

8,000

10,000

12,000

14,000

16,000

18,000

20,000

+400/+400 +400/+100 -100/-100 Unchanged +100/+100 +200/+200 +300/+300

18,12018,790 18,508

18,86419,149 19,122 19,015

5,3305,806 5,605 5,858 6,061 6,041 5,966

Net Interest Income Base Net Income (Loss)

Income Projection - 12 month Horizon

= 18,892

12 Mo.12 Mo.12 Mo.12 Mo.12 Mo.0 Mo.

0

2

4

6

8

10

+400/+400 +400/+100 -100/-100 Unchanged +100/+100 +200/+200 +300/+300

5.565.15

4.464.65 4.84 4.94 5.06

2.04

1.48

0.39 0.57 0.760.98

1.25

Yield On Assets Cost Of Liabilities Net Interest Marg in

Projected Yields/Rates - 12 Month Horizon

0 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo.

+400/+400 bp (0 Mo.) (-772)

+400/+100 bp (12 Mo.) (-102)

-100/ -100 bp (12 Mo.) (-384)

0 bp (-28)

+100/+100 bp (12 Mo.) (+257)

+200/+200 bp (12 Mo.) (+230)

+300/+300 bp (12 Mo.) (+123)

Base: 18892

-30.00

-25.00

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

+400/+400 +400/+100 -100/-100 Unchanged +100/+100 +200/+200 +300/+300

-4.08

-0.54-2.03

-0.15

1.36 1.21 0.65

NIC % of NII Benchmark

Net Interest Change as a % of Net Interest Income

12 Month Horizon

0 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo. 12 Mo.




Economic Value of Equity (EVE)First Sample Bank - Sample City, US

Page 1 of 112/31/2013

Book Value Assets Risk Weighted Assets Liabilities Tier 1 Capital Tier 2 Capital

Total

as a % of TA

as a % of RWA

468,422 281,678 44,007 3,521

60.13 90.52 9.39

15.62 16.87

44,410 47,528

9.48

15.77

424,012 *

Unadjusted BV 467,811

* Adjusted Book Value includes MTM adjustment of 611

Total Equity Capital Total RBC

Rate Shock

Appreciation /

(Depreciation)

$ %

(Appreciation) /

Depreciation

$ %

422,549

437,987

472,789

424,004

408,088

387,473

397,235

421,170

383,856

378,760

35,076

40,752

51,619

40,148

29,328

Unchanged

-100/ -100 bp

+400/+400 bp

+400/+100 bp

+200/+200 bp

+300/+300 bp

+100/+100 bp

(9.68)(45,262)

(29,824) (6.38)

1.06 4,978

(43,807) (9.36)

(12.77)(59,723) (45,252)

(40,156)

(2,842)

(26,777)

(36,539) (8.62)

(6.32)

(0.67)

(9.47)

(10.67)

455,265 408,496 46,769

485,090 427,708 57,382

(12,546) (15,516)

17,279 3,696

(3.66)

0.87

(2.68)

3.69

Fair Value Fair Value

of Assets

Fair Value of

Liab.

Fair Value

of Equity

18.16

Rate Shock

Unchanged

8.30

9.30

10.92

9.47

7.19

11.83

13.80

15.47

15.75

11.95

19.67 -100/ -100 bp

+400/+400 bp

+400/+100 bp

+200/+200 bp

+300/+300 bp

> -30.00 %

> -20.00 %

> -20.00 %

> -40.00 %

Change ALCO Benchmark

$ % %

(16,543)

(10,867)

(11,471)

(22,291)

5,763

(32.05)

(21.05)

(22.22)

(43.18)

11.16

17.08 10.27 +100/+100 bp (9.40)(4,850)

> -40.00 %

> -40.00 %

Fair Value of Equity Ratios

FV of Equity /

FV of TA

FV of Equity /

FV of RWA

Change in FV of Equity

P

Note: Values are rounded before printing, but full precision values are used in all calculations. (Short End = 1yr; Long End = 10yr)




Documents

Interest Rate Risk Monitor - The Baker · PDF fileAlthough the information in this report has been obtained from sources believed to be ... GAP/EquitRSA/RSL y RSA/TARSL/TA GAP/TA