Capital Markets School - October 2023

Internal Use Only

Interest Rate Risk Measurement Process Inputs (GL, Loans, Investments, Deposits)

Model Outputs (Net Interest Income and Economic Value of Equity)

Interest Rate Risk Measurement Model/System

Scenarios (Shocks, Ramps, Non ‐ Parallel)

Assumptions (Prepayments, Betas, Average Life)

19

Internal Use Only

Model Validation

Inputs (GL, Loans, Investments, Deposits)

Model Outputs (Net Interest Income and Economic Value of Equity)

Interest Rate Risk Measurement Model/System

Scenarios (Shocks, Ramps, Non ‐ Parallel)

Assumptions (Prepayments, Betas, Average Life)

20