Large Bank Examination Workshop February 2026

reviewed to verify that they are consistent with the dialogue and strategic decision-making

processes that take place as part of the balance sheet management function, in particular, as they

occur in the ALCO meetings based on a review of minutes from those meetings.

Model output may take the form of either standardized or customized reports. Reports and output

provided to senior management and key decision makers were reviewed as part of the model

validation process. Model results should be compared against those of comparable models, market

prices, or other available benchmarks. Model estimates should also be “back - tested” against prior

financial results to verify the reasonableness of calculations.

The appropriate context for reporting needs of different audiences and stakeholders within the

Bank is important to consider and address. Reports for senior management and decision makers

should contain an executive summary that clearly states the purpose of the reports, limitations for

use as well as key assumptions used in producing model results. Model results should be clearly and

effectively communicated to key decision makers. Best practices also include the use of sensitivity

analysis to key model as sumptions as well as “what - if” scenarios and stress tests.

The most recent ALCO reports (Q1 2022, Q2 2022 and Q3 2022, see workpapers for copies of

each) were reviewed to verify that all information required by regulation and policy were being

reported. The key variables that are monitored and limited are NII and EVE. NII and EVE reports

were evaluated to ensure that these measures are quantified under a variety of rate shocks relative

to limits. There were some violations of the policy limits which are discussed below. It should be

noted that policy limit violations in general do not indicate concerns with the performance of the

Model. The current level of reporting of key risk metrics is in alignment with regulatory requirements

and best practices.

The reports were evaluated to see if any inconsistent trends in the data could be observed as this

would have signaled an area for additional review. The following table shows the projected change

in NII from instantaneous rate shocks for one-year (Chart #1) and two year (Chart #2) time horizons,

as well as the instantaneous impact to EVE (Chart #3) for the validation period (9/30/22):

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