Bank Analysis School Case Study

FDIC Certificate # XXXX OCC Charter # 0 Public Report

SUNNY STATE BANK Derivative Analysis--Page 5B

Derivative Analysis

12/31/20X5

12/31/20X4

12/31/20X3

12/31/20X2

12/31/20X1

BANK

PG 10 100.00

PCT N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

BANK

PG 10 83.59 16.41

PCT N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

BANK

PG 10 100.00

PCT N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

BANK

PG 10 100.00

PCT N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

BANK

PG 10 100.00

PCT N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

Percent of Notional Amounts Interest Rate Contracts Other Derivative Contracts Foreign Exchange Contracts

N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.00 0.00 0.00 0.00 0.00 0.00 N/A

N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.00 0.00 0.00 0.00 0.00 0.00 N/A

N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.00 0.00 0.00 0.00 0.00 0.00 N/A

N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.00 0.00 0.00 0.00 0.00 0.00 N/A

N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.00 0.00 0.00 0.00 0.00 0.00 N/A

0.00 0.00 0.00

0.00 0.00 0.00

0.00 0.00 0.00

0.00 0.00 0.00

0.00 0.00

Equity, Comm & Oth Contracts

Derivatives Position

Futures and Forwards Written Options Exchange Traded Over-the-Counter Purchased Options Exchange Traded Over-the-Counter

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

42.52 48.39 0.00 48.39 0.00 0.00 0.00 9.09

36.18 57.15 0.00 57.15 0.00 0.00 0.00 6.67

55.02 38.31 0.00 38.31 0.00 0.00 0.00 6.67

Swaps

100.00

100.00

Held-for-Trading

0.00 0.00 0.00 0.00 0.00

6.67 6.67 0.00 0.00 0.00

6.67 6.67 0.00 0.00 0.00

Interest Rate Contracts Other Derivative Contracts Foreign Exchange Contracts Equity, Comm & Oth Contracts Interest Rate Contracts Other Derivative Contracts Foreign Exchange Contracts Equity, Comm & Oth Contracts Non-Traded

100.00 100.00

100.00 83.59 16.41

100.00 100.00

93.33 93.33 0.00 0.00 0.00 93.33 42.20 28.87 6.67

93.33 93.33 0.00 0.00 0.00 93.33 55.02 48.35 6.67

0.00 0.00 0.00

0.00 0.00 0.00

0.00 0.00

Memo: Marked-to-Market

100.00

100.00

100.00

Derivative Contracts (RBC Def)

43.32 43.32 0.00

38.98 22.31 16.67

42.80 30.30 9.09

One Year or Less Over 1 Year to 5 Years

Over 5 Years

0.00

0.00

3.40

6.67

0.00

Gross Negative Fair Value Gross Positive Fair Value

0.00 0.07

0.00 0.06

0.00 0.26

0.02 0.10

0.01 0.87

By Tier 1 Capital: Gross Negative Fair Value (x) Gross Positive Fair Value (x)

0.00 0.00 0.00 0.00 0.00 0.00 0.00

95 90 98 90 90 96

0.00 0.00 0.00 0.00 0.00 0.00 0.00

95 91 98 90 91 97

0.00 0.00 0.00 0.01 0.01 0.00 0.00

97 95 98 85 85 97

0.00 0.00 0.00 0.01 0.01 0.00 0.00

96 94 97 84 84 97

0.00 0.00 0.00 0.01 0.01 0.00 0.00

97 93 98 85 85 98

Held-for-Trading (x) Non-Traded (x)

Non-Traded Marked-to-Mkt(x)

Current Credit Exposure (x) Credit Losses on Derivatives Past Due Derivative Instruments: Fair Value Carried as Assets Other Ratios: Cur Credit Exposure/Risk WT AST Credit Losses on Derivatives/CR Allow Impact Nontraded Derivatives Contracts: Incr(Dec) Interest Inc/Net Inc

N/A

N/A

N/A

N/A

N/A

N/A

0.00

N/A

N/A

0.00

N/A

N/A

0.00

N/A

N/A

0.00

N/A

N/A

0.00

N/A

0.00 N/A N/A N/A N/A N/A

0.00 0.00 0.00 0.00 0.00 0.00

96

0.00 N/A N/A N/A N/A N/A

0.00 0.00 0.00 0.00 0.00 0.00

97

0.00 N/A N/A N/A N/A N/A

0.00 0.00 0.00 0.00 0.00 0.00

97

0.00 N/A N/A N/A N/A N/A

0.00 0.00 0.00 0.00 0.00 0.00

97

0.00 N/A N/A N/A N/A N/A

0.00 0.00 0.00 0.00 0.00 0.00

98

N/A

N/A

N/A

N/A

N/A

N/A N/A N/A N/A

N/A N/A N/A N/A

N/A N/A N/A N/A

N/A N/A N/A N/A

N/A N/A N/A N/A

Incr(Dec) Interest Exp/Net Inc Incr(Dec) Nonint ALLOC/Net Inc Incr(Dec) Net Income/Net Inc