Capital Markets Examiner School, Providence, RI

NII Hedge Scenario Analysis - No Hedge

• Forward rates show the Bank achieving its stated objectives, yet increasing rates will increase street expectations

• The risk exists that rates remain lower than the market expects, although the balance sheet is positioned for stable NII/NIM in that environment

• The Bank has the opportunity to reduce interest rate risk, leaving objectives contingent on profitable business growth; they recently have experienced some lending pressure.

NII Hedge Scenario Analysis – 5 Yr. Swaps