Capital Markets School - Case Study

8/17/22, 11:01 AM

Print UBPR Report - FFIEC Central Data Repository's Public Data Distribution

FDIC Certificate # OCC Charter # 0 Public Report Percent of Notional Amounts Interest Rate Contracts Other Derivative Contracts Foreign Exchange Contracts Equity, Comm & Oth Contracts

FRB District/ID_RSSD 6 / County:

CLOYD BANK & TRUST; GREENBOW , AL Derivative Analysis--Page 5B

Derivative Analysis 08/17/2022 10:59:24 AM

12/31/2021

09/30/2021

06/30/2021

03/31/2021

12/31/2020

BANK PG 5 PCT BANK PG 5 PCT BANK PG 5 PCT BANK PG 5 PCT BANK PG 5 PCT

N/A 97.44 N/A

N/A 97.72 N/A

N/A 97.91 N/A

N/A 98.12 N/A

N/A 98.07

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 N/A N/A

2.56 N/A 0.00 N/A 0.98 N/A

N/A N/A N/A

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

N/A N/A N/A

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

N/A N/A N/A

1.88 N/A 0.00 N/A 0.95 N/A

N/A N/A N/A

1.93 0.00 0.93

Derivatives Position

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

N/A 23.08 N/A N/A 21.62 N/A

N/A 21.79 N/A N/A 20.82 N/A

N/A 23.20 N/A N/A 21.47 N/A

N/A 20.73 N/A N/A 23.56 N/A

N/A 20.73 N/A 22.12

N/A

0.98 N/A

N/A

0.93 N/A

N/A

0.91 N/A

N/A

0.95 N/A

N/A

0.93

N/A 21.39 N/A

N/A 20.60 N/A

N/A 21.25 N/A

N/A 23.31 N/A

N/A 21.88

N/A N/A N/A

0.33 N/A 0.62 N/A 0.14 N/A

N/A N/A N/A

0.35 N/A 0.00 N/A 0.35 N/A

N/A N/A N/A

0.39 N/A 0.00 N/A 0.39 N/A

N/A N/A N/A

0.13 N/A 0.00 N/A 0.13 N/A

N/A N/A N/A

0.04 0.00 0.04

Swaps

N/A 10.22 N/A

N/A 11.64 N/A

N/A 11.64 N/A

N/A 11.41 N/A

N/A 11.96

Held-for-Trading

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

2.83 N/A 2.92 N/A 0.40 N/A 0.00 N/A 0.00 N/A

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

3.02 N/A 3.11 N/A 0.16 N/A 0.00 N/A 0.00 N/A

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

2.72 N/A 2.71 N/A 0.24 N/A 0.00 N/A 0.00 N/A

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

2.60 N/A 2.59 N/A 0.24 N/A 0.00 N/A 0.00 N/A

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

2.66 2.65 0.25 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 Memo: Marked-to-Market Non-Traded

N/A 20.12 N/A N/A 21.81 N/A

N/A 20.94 N/A N/A 22.20 N/A

N/A 19.21 N/A N/A 21.27 N/A

N/A 19.71 N/A N/A 22.99 N/A

N/A 20.62 N/A 23.97

N/A N/A N/A

2.15 N/A 0.00 N/A 0.98 N/A

N/A N/A N/A

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

N/A N/A N/A

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

N/A N/A N/A

1.64 N/A 0.00 N/A 0.95 N/A

N/A N/A N/A

1.68 0.00 0.93

N/A 22.25 N/A

N/A 19.80 N/A

N/A 20.30 N/A

N/A 20.25 N/A

N/A 20.14

Derivative Contracts (RBC Def)

N/A 48.49 N/A N/A 10.88 N/A

N/A 45.65 N/A N/A 20.14 N/A

N/A 24.46 N/A N/A 10.84 N/A

N/A 43.29 N/A N/A 19.02 N/A

N/A 24.50 N/A 12.32

One Year or Less Over 1 Year to 5 Years

N/A

3.76 N/A

N/A

5.90 N/A

N/A

4.29 N/A

N/A

7.27 N/A

N/A

3.84

Over 5 Years

N/A 12.52 N/A

N/A 17.93 N/A

N/A 11.64 N/A

N/A 18.73 N/A

N/A 11.59

Gross Negative Fair Value Gross Positive Fair Value

N/A N/A

0.43 N/A 0.76 N/A

N/A N/A

0.74 N/A 0.87 N/A

N/A N/A

0.68 N/A 0.86 N/A

N/A N/A

0.80 N/A 1.02 N/A

N/A N/A

1.20 1.03

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

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

0.00 N/A 0.00 N/A

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

0.00 N/A 0.00 N/A

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

0.00 N/A 0.00 N/A

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

0.00 N/A 0.00 N/A

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

0.00 0.00 0.01 0.07 0.13 0.00 0.00

N/A N/A

Held-for-Trading (x) Non-Traded (x)

0.01 0.03

96 71

0.01 0.04

96 70

0.01 0.05

96 70

0.01 0.06

95 70

96 70

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

0.08 N/A

0.11 N/A 0.00 N/A 0.06 N/A

0.12 N/A

0.12 N/A 0.00 N/A 0.13 N/A

N/A

0.00

92

0.00

91

92

0.05 N/A

0.08 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

92

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

0.01 N/A 1.07 N/A 0.00 N/A 0.00 N/A 0.00 N/A 0.00 N/A

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

0.00

91

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

0.01 N/A 2.57 N/A 0.00 N/A 0.00 N/A 0.00 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

92

0.96 N/A

1.40 N/A

N/A

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

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

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