Large Bank Examination Workshop February 2026

3. Model Reports Assume that the following statement appropriately defines the scope of reports that should be generated by an ALM model: The following list is a sample of specific reports that would normally be reviewed along with some of the evaluation criteria for each report:  Net Interest Income (NII) Report – a series of discrete forecasts across different interest rate and economic or business scenarios. Balance sheet and income statement forecasts should be at a sufficient level of detail to reveal the key risks to NII. A sufficient number of interest rate scenarios should be employed to analyze and decompose the Company’s IRR exposure along the following dimensions: mismatch, yield curve, basis, and options. Forecasted balance sheets should be flat or in line with business line expectations. Forecast yields are consistent with pricing expectations and market interest rates. Forecasted interest rates are based on market forward rates or internal/external economist forecasts. A qualitative summary of results highlighting potential areas of concern should be provided.  Economic Value of Equity (EVE) Report – an estimate of the sensitivity of the value of the balance sheet to changes in market interest rates. Computational methods for rate generation processes should be clearly disclosed, along with their benefits and limitations. Balance sheet report is at the appropriate level of detail given the complexity of the balance sheet. The component values of the baseline EVE are reasonable and tie to market data where applicable. Duration and convexity measurements, which are key indicators of interest rate sensitivity, are disclosed for major product groups. Appropriate charts and text should be used to illustrate the risk profile of the institution in a clear manner.

a) Does the validation report note the existence of these reports?

b) Does the limit exception noted in the reporting indicate a problem with the functionality or set-up of the model? Explain.

© Global Financial Markets Institute, Inc.

Page 12 of 39