Large Bank Examination Workshop February 2026

Page 17 of the Q3 ACLO Packet contained the following observation regarding the EVE Policy

limit violations indicated by the red conditional formatting above:

Mr. Smith noted that the Bank ’s earnings at risk were within policy limits for all scenarios, but

that declines in EVE from negative 200 and 300 bps rate shocks exceeded policy limits. The

calculated decrease in EVE from a (200) bps shock was 32.6%, above the policy threshold of 25% but

improved from a decline of 35.5% in the prior quarter analysis.

As noted above, indications of Policy limit violations do not indicate problems with the calibration

of the Model. Reporting such violations to ALCO and the Board does represent best practices in the

governance of ALM and interest rate risk management.

Detailed Observations

Strategic and tactical findings and suggestions are summarized in this section. It should be

noted that in general the Model functions properly. Findings and suggestions can represent

opportunities to continue to strengthen existing ALM processes and further align the Bank ’s current

processes with industry best practices. SFS believes a regulatory examination of this area would

likely produce similar findings to those listed below. Therefore, remediation of findings is strongly

encouraged.

High Risk Findings:

None.

Medium / Low Risk Findings:

1. (Low Risk) – The reconciliation process between Synergy line-item data to Silverlake line

item data to ensure that Model inputs are correct is currently being conducted informally, and

the results are not documented.

10

Page 22 of 39