Large Bank Examination Workshop February 2026

inputs are sourced primarily from the Silverlake GL system. A small number of other data sources are

also utilized, including data for the CDARS program, the trust business and loan offering rates from

Banker’s Dashboard. Data for the investment portfolio, including the market values under the

various ALCO rate shock scenarios, is provided by Investment Bank through their eFolio system in a

templated spreadsheet format. These data files are then uploaded individually to the model vendor

website. Given the relative simplicity of the Bank ’s balance sheet this is an acceptable approach and

reflects similar processes at peer organizations.

SFS evaluated the use, control, and governance of key behavioral assumptions (focus: non

maturity deposit decay rates). We also inquired as to the availability and analysis by Treasury/ALM

personnel of any supporting empirical analysis for internally developed assumptions.

Model Inputs, Parameters, Assumptions and Qualitative Adjustments

The Bank retains Mountain View (previously McGuire Performance Solutions or MPS) to

periodically perform updated non-maturity deposit studies, and the one in use in the Model was

conducted in May 2022 with valuations as of March 2022. The following core deposit decay and beta

assumption information was obtained from the Q3 2022 ALCO report:

• Decay rates: The Bank is utilizing decay assumptions provided by Mountain View Analytics that were updated in June 2022. These decay assumptions are based upon a

historical retention study and provides runoff assumptions for multiple rate scenarios. The

estimated runoff (decay) of the non-maturing deposit portfolio will play a critical role in

the valuation of the deposit portfolio during EVE calculations. Given the high

concentration of non-maturing depoists, these assumptions play the most critical role in

the EVE analysis.

Guidance from the 2012 Interagency Advisory on Interest Rate Risk Management - Frequently

Asked Questions encourages banks to “use assumptions that reflect the institution’s profile and

activities and generally avoid reliance on industry estimates or default vendor assumptions.

… Industry averages provide an approximation but may not be a suitable estimate in every case. …

An institution can contract with an outside vendor to assist with this process if necessary.”

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