CRISIS SOCIOAMBIENTAL Y PERSPECTIVAS DE ANÁLISIS

E. CHART OF ACCOUNTS

1. Identify any special features and/or limitations of the model’s ability to model the balance sheet behaviors listed below

● Re-pricing and maturing balances for categories without embedded options

No limitations

● Interest rate adjusted re-pricing and maturing balances for categories that have continuous and call/put embedded options

No limitations

● Re-pricing and maturing balances for unique categories (e.g., hybrid ARMs, teaser products, step-up/callable CDs)

No limitations

● Re-pricing and maturing balances for indeterminate behavior categories (e.g., core deposits, lines of credit, credit card outstandings)

May be modeled with either decay rates or maturity distribution percentages across time buckets.

2. Are there any limitations on automated control of pricing, re-pricing, caps/floors and teaser rates?

No limitations

3. Can the model effectively amortize discounts/premiums?

Yes, amortization/accretion of discount/premium is handled in the IPA and APM, then flows into IRRM.

4. Can the model effectively address unique balance sheet items (e.g. mortgage servicing, off-balance-sheet positions)?

Yes

F. PRICING, RE-PRICING, OPTION-RELATED CAPABILITIES, INTEREST RATE SCENARIOS

AND MISCELLANEOUS

1. How are contractual inputs (e.g., pricing spreads, re-pricing limits) entered?

These characteristics are entered exactly as the structure of the instrument dictates.

2. How are interest rates and driver rates input and periodically updated?

Book yields and rates are pulled from the client’s data processor via the extract file. Reinvestment rates (current

market rates) are updated quarterly per client’s instruction. Reinvestment rates serve as unique driver rates for each asset and liability. The single exception is non-maturity deposits which have a driver rate set equal to the one-year FHLB advance rate (which is considered a re-placement cost).

3. How are pricing and re-pricing relationships defined and updated?

Each asset and liability is modeled per the structure of the instrument with respect to re-pricing cash flows. Book

yields and rates are pulled from the data processor, re-investment rates are input per the client’s instruction, and present valuation methodology determines fair value pricing.

Investment prices are pulled directly from APM where market pricing is accessed via multiple third-party sources.

Dynamic re-pricing cash flows for investments are modeled in APM and pulled into IRRM.

THE BAKER GROUP, LP

As to rate changes (which affect pricing), each asset and liability is assigned a unique rate shift sensitivity (beta) for each different rate scenario. Also, each asset and liability is assigned a unique time lag for each rate scenario. IRRM models rate changes (and therefore fair value changes) per the interaction of rate change, shift-sensitivity, and time lag.

4. How does the model define investment or FHLB advances with puts or calls in the interest rate comparisons?

FHLB advances are modeled per the structure of the instrument. Option features are modeled per the strike yield and date. Rate differentials between the current market and book rate determine whether the option is in the money.

5. How does the model define re-pricing and apply decay rates (or similar inputs) to core deposits by scenario, and how does it calculate present values?

Each core deposit is modeled with a unique set of maturity distribution percentages and/or decay rates across time buckets. Rate shift assumptions (betas) and time lags are also applied as unique inputs for each instrument and for each rate scenario.

6. How does the model intake and apply advanced rate ramps that test for basis risk and yield curve shape change?

Yield curve simulations are completely flexible. Short versus long rate anchors are defined by the user (10yr v 1yr, 5yr v 6mo, etc.). Short rates may be modeled to go up by a greater or lesser amount than the long rate, and everything in-between is interpolated to simulate flattening or steepening scenarios.

7. Describe the model’s analysis and reporting capabilities (IRR and other forecasts).

IRRM produces reports that forecast balance, rates, yields, cash flows interest income/expense, margins, spread,

ROA and ROE (among other things) across 12mo and 24mo horizons for all rate scenarios.

8. Can the model export outputs and reports to spreadsheets or other products?

Yes

9. Can the model produce back tests of prior forecast and behavior assumptions?

Yes

10. What internal liquidity analysis capabilities does the model have and can the model interface with typical internal liquidity and contingency funding spreadsheets?

IRRM produces dynamic cash flow reporting and liquidity ratios which can easily be incorporated into client liquidity

reporting and contingency funding analysis.

11. Does the model have stochastic forecasting capability? If so, describe it.

Stochastic inputs may be incorporated, though the model does not generate random probabilistic inputs.

12. Can custom (institution-specific) behavior equations for prepayment and core deposit behaviors be embedded in the model to drive cash flow behavior?

Yes, inputs such as prepayment and core deposit behaviors are institution-specific.

THE BAKER GROUP, LP

G. OPEN-ENDED COMMENTS

*Additional information can be found at: http://www.gobaker.com/interest-rate-risk-monitor

This easy-to-use software allows Asset/Liability Managers to efficiently determine the bank’s interest rate risk to net

interest income and equity. IRRM reduces regulatory and accounting burdens by providing reliable SFAS 107 calculations, “what if” interest rate risk management simulations and an accurate process for projecting the bank’s

future profitability.

IRRM enables you to better manage the future impact of changing interest rates to your institution’ profitability and equity position. Specific program functions include:

• Projected profitability and volatility of equity capital under various balance sheet and interest rate scenarios • Measurement of price volatility for the entire balance sheet including modified duration, effective duration

and convexity

• Projected balances and yields per account for 12- and 24-month budgeting purposes

• Comparative changes in net interest income and interest expense under nine different rate shift scenarios • Monitored asset mix and profitability—both ROA and ROE—over integral rate shift horizons up to 24 months • Incorporation of embedded options such as principal payments, decay rates, life caps, periodic collars and reset

frequencies for all assets and liabilities

• An unlimited number of simulation analyses • Unlimited historical data storage

• An unlimited number of accounts

IRRM allows your bank to comply with regulatory and accounting requirements by providing critically important management information.

• GAP analysis and Rate Sensitivity Measures • Net Interest Income Change analysis

• Market Value of Equity (MVE) analysis for SFAS 107 • Balance Sheet Effective Duration and Convexity

IRRM provides reports and charts in unique and logical formats that may either be printed or displayed for ALCO meetings and board presentations with data including:

• Data may be downloaded from Baker’s portfolio accounting system, APM and other data processing sources to improve your bank’s reporting efficiency

• Monitors performance versus ALCO defined benchmarks • Unlimited batch report lists in any output order

• Easy to use Windows-based application

• Full graphic presentations using integrated reports, charts and graphs • Printed reports in black/white or color

IRRM operates on any PC that meets minimum hardware and software requirements. See us for current specifications.

*The Baker Group, LP is the sole authorized distributor for the products and services developed and provided by The Baker Group Software Solutions, Inc.

THE BAKER GROUP, LP

A. GENERAL INFORMATION

1. Vendor contact information