INTEREST RATE RISK ANALYSIS - FICast Data Corporationficastdata.com/FICast_files/SampleALM.pdf ·...
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INTEREST RATE RISK ANALYSIS SAMPLE NATIONAL BANK As of: March 31, 2003 Published on: March 17, 2004 at 3:59 PM (Using 08-APR-2003 14:45:07 Model Results) FICast Data Corporation Asset Liability Management Consulting Services 102 Springfield Center Drive Suite 107 Woodstock, GA 30188 Phone: 770-924-4383 Fax: 770-924-9704 [email protected]
Transcript of INTEREST RATE RISK ANALYSIS - FICast Data Corporationficastdata.com/FICast_files/SampleALM.pdf ·...
INTEREST RATE RISK ANALYSIS
SAMPLE NATIONAL BANK
As of: March 31, 2003
Published on: March 17, 2004 at 3:59 PM (Using 08-APR-2003 14:45:07 Model Results)
FICast Data Corporation Asset Liability Management Consulting Services
102 Springfield Center Drive Suite 107 Woodstock, GA 30188 Phone: 770-924-4383 Fax: 770-924-9704 [email protected]
Copyright © 2002-2003 by FICast Data Corporation Printed in the United States of America 102 Springfield Center Drive Suite 107 Woodstock, Georgia 30188-5572 U.S.A.
All rights reserved. Except as permitted under the Copyright act of 1976, no part of this publication may be reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of FICast Data Corporation; except that Sample National Bank is granted the right to reproduce or distribute this publication internally as necessary in support of their regular business activities and regulatory requirements.
Information has been obtained by FICast Data Corporation from sources believed to be reliable. However, because of the posibility of human, mechanical, or software errors by our sources or others, FICast Data Corporation does not guarantee the accuracy, adequacy, or completness of any information and is not responsible for any errors or the results obtained from the use of such information.
FICast Data Corporation Asset Liability Management Consulting Services
102 Springfield Center Drive Suite 107 Woodstock, GA 30188 Phone: 770-924-4383 Fax: 770-924-9704 [email protected]
Table of Contents As of March 31, 2003
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank
Executive Summary ................................................................................................................................................ 1 Cumulative Gap ...................................................................................................................................................... 2 Risk Profiles............................................................................................................................................................ 3
Net Economic Value ........................................................................................................................................... 3 Net Interest Income............................................................................................................................................. 4 Net Income.......................................................................................................................................................... 5 Return on Assets ................................................................................................................................................. 6 Return on Equity ................................................................................................................................................. 7 Net Interest Margin ............................................................................................................................................. 8
Strategic Forecast.................................................................................................................................................... 9 Key Items ............................................................................................................................................................ 9
Flat .................................................................................................................................................................. 9 -300 Ramp..................................................................................................................................................... 10 +300 Ramp.................................................................................................................................................... 11
Net Interest Margin & Net Income ................................................................................................................... 12 Monthly Projections.............................................................................................................................................. 13
Key Items .......................................................................................................................................................... 13 Flat ................................................................................................................................................................ 13 Most Likely................................................................................................................................................... 15 +300 Ramp.................................................................................................................................................... 17 -300 Ramp..................................................................................................................................................... 19
Comparison of Net Interest Margin .................................................................................................................. 21 Loan and Deposit Balance ................................................................................................................................ 22
Flat ................................................................................................................................................................ 22 Income Statement.............................................................................................................................................. 23
Flat ................................................................................................................................................................ 23 Average Balance Sheet ..................................................................................................................................... 29
Flat ................................................................................................................................................................ 29 Ending Balance Sheet ....................................................................................................................................... 35
Flat ................................................................................................................................................................ 35 Average Yield Report ....................................................................................................................................... 41
Flat ................................................................................................................................................................ 41 Economic Value................................................................................................................................................ 46
Flat ................................................................................................................................................................ 46 Duration ............................................................................................................................................................ 50
Flat ................................................................................................................................................................ 50 New Production ................................................................................................................................................ 56
Flat ................................................................................................................................................................ 56 Forecast Comparisons........................................................................................................................................... 62
Key Items Comparisons.................................................................................................................................... 62 Income Comparisons ........................................................................................................................................ 63 Average Balance Comparisons ......................................................................................................................... 67 Ending Balance Comparisons ........................................................................................................................... 71 Average Yield ................................................................................................................................................... 75 Economic Value Comparisons.......................................................................................................................... 79
Table of Contents As of March 31, 2003
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank
Modified Duration Comparisons ...................................................................................................................... 83 Macaulay Comparisons..................................................................................................................................... 87
Gap........................................................................................................................................................................ 91 Cash Flow Gap.................................................................................................................................................. 91
Flat ................................................................................................................................................................ 91 Repricing Gap ................................................................................................................................................. 103
Flat .............................................................................................................................................................. 103 Gap Summary ..................................................................................................................................................... 115 Rate Forecasts ..................................................................................................................................................... 116
Rate Forecast................................................................................................................................................... 116 Most Likely................................................................................................................................................. 116
General Modeling Assumptions ......................................................................................................................... 117
Executive Summary
Executive Summary As of March 31, 2003
Current Position As of March 31, 2003
($000) (%)
TOTAL ASSETS: 124,514 PRIME: 4.25
TOTAL LOANS: 80,304 FED FUNDS: 1.25 TOTAL DEPOSITS: 106,266 UST 5 YEAR YIELD: 2.83
Earnings at Risk Current
Average Performance Over the Next 12 Months
Month No Change Performance In Rates Immediate Shock Gradual Ramp
(Flat) -200 Shock +200 Shock -300 Ramp +300 Ramp NET INTEREST INCOME ($000) 5,259 4,822 5,589 4,971 5,510 (PERCENTAGE CHANGE FROM FLAT) - -8.31% 6.29% -5.47% 4.79% NET INCOME ($000) 1,752 1,315 2,083 1,465 2,004 (PERCENTAGE CHANGE FROM FLAT) - -24.94% 18.89% -16.41% 14.38% ROA (%) 1.70 1.37 1.03 1.62 1.14 1.56 ROE (%) 19.63 16.91 12.96 19.78 14.33 19.11 NET INTEREST MARGIN (%) 4.50 4.24 3.89 4.50 4.01 4.44 LOAN YIELDS (%) 6.31 6.15 5.32 7.10 5.55 6.86 COST OF FUNDS (%) 0.87 1.10 0.72 1.69 0.80 1.52 BOOK EQUITY TO ASSETS RATIO (%) 7.62 8.11 7.99 8.20 8.06 8.16
Equity at Risk
Current Balance Sheet
No Change In Rates
Immediate Shock
(Flat) -200 Shock +200 Shock NET ECONOMIC VALUE ($000) 11,979 14,133 8,542 (PERCENTAGE CHANGE FROM FLAT) - 17.98% -28.70% NEV OF EQUITY TO ASSETS (%) 9.39 10.84 6.92
Cumulative Gap 0-90 0-180 0-365 0-2 0-5 Total Current Balance Sheet Day Day Day Year Year Bank
CUMULATIVE RATE SENSITIVE ASSETS TO RATE SENSITIVE LIABILITIES (RATIO) 1.83 1.15 0.79 0.80 0.97 1.00
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Cumulative Gap
Cumulative Gap As of March 31, 2003
Cumulative Gap
0-90 0-180 0-365 0-2 0-5 Total Current Balance Sheet ($000) Day Day Day Year Year Bank
ASSETS: Overnight Funds 4,249 4,249 4,249 4,249 4,249 4,249Investments 2,828 4,965 8,661 16,137 25,833 29,126Net Loans 35,072 38,509 47,726 56,084 73,622 80,304Other Assets 0 0 0 0 0 10,835Total Assets 42,149 47,723 60,636 76,470 103,704 124,514
LIABILITIES: Fed Funds Purchased 0 0 0 0 0 0Non Maturity Deposits 15,272 30,545 61,108 78,015 87,388 87,388Certificates of Deposit 7,722 11,094 15,863 17,100 17,995 17,995Borrowings 0 0 0 0 1,700 6,570Other Liabilities 0 0 0 0 0 2,191Equity Capital 0 0 0 0 0 9,487
Total Liabilities and Equity 22,994 41,639 76,970 95,115 107,083 124,514
SUMMARY GAP STATISTICS: Assets - Liab GAP 19,155 6,084 (16,334) (18,644) (3,379) 0RSA / RSL (ratio) 1.83 1.15 0.79 0.80 0.97 1.00GAP / Assets (%) 15.38 4.89 -13.12 -14.97 -2.71 0.00Rate Sen Loans / Tot Loans (%) 44 48 59 70 92 100
Cumulative Gap
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
0-90 Day 0-180 Day 0-365 Day 0-2 Year 0-5 Year Total Bank
$(00
0)
Total Assets Total Liabilities and Equity
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Risk Profiles Net Economic Value
Risk Profiles As of March 31, 2003
Net Economic Value ......... Scenario ($000s) % Var from Flat Policy Guideline
+200 Shock 8,542 -28.70 -15.00% +100 Shock 10,421 -13.01 NA Flat 11,979 0.00 NA -100 Shock 13,257 10.66 NA -200 Shock 14,133 17.98 -15.00% ... ... ... ... ... ...
0
2,0004,0006,0008,000
10,00012,00014,000
16,000
$000
's
+200 Shock+100 ShockFlat-100 Shock-200 Shock
Net Economic Value by Rate Scenario
-30.000%-25.000%-20.000%-15.000%-10.000%-5.000%0.000%5.000%
10.000%15.000%20.000%
+200 Shock+100 ShockFlat-100 Shock-200 Shock
Percentage Change in Net Economic Value from Flat Rates
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Net Interest Income
Risk Profiles As of March 31, 2003
Net Interest Income ......... Scenario ($000s) % Var from Flat Policy Guideline
+300 Ramp 5,510 4.79 NA +200 Ramp 5,429 3.24 -10.00% +100 Ramp 5,343 1.60 NA Flat 5,259 0.00 NA -100 Ramp 5,186 -1.38 NA -200 Ramp 5,101 -3.00 -10.00% -300 Ramp 4,971 -5.47 NA
0
1,000
2,000
3,000
4,000
5,000
6,000
$000
's
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Net Interest Income by Rate Scenario
-6.000%
-4.000%
-2.000%
0.000%
2.000%
4.000%
6.000%
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Percentage Change in Net Interest Income from Flat Rates
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Net Income
Risk Profiles As of March 31, 2003
Net Income ......... Scenario ($000s) % Var from Flat Policy Guideline
+300 Ramp 2,004 14.38 NA +200 Ramp 1,922 9.72 NA +100 Ramp 1,836 4.81 NA Flat 1,752 0.00 NA -100 Ramp 1,679 -4.16 NA -200 Ramp 1,594 -9.01 NA -300 Ramp 1,465 -16.41 NA
0
500
1,000
1,500
2,000
2,500
$000
's
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Net Income by Rate Scenario
-20.000%
-15.000%
-10.000%
-5.000%
0.000%
5.000%
10.000%
15.000%
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Percentage Change in Net Income from Flat Rates
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Return on Assets
Risk Profiles As of March 31, 2003
Return on Assets ......... Scenario ROA % Diff from Flat Policy Guideline
+300 Ramp 1.56 0.20 1.00% +200 Ramp 1.50 0.13 1.00% +100 Ramp 1.43 0.07 1.00% Flat 1.37 0.00 1.00% -100 Ramp 1.31 -0.06 1.00% -200 Ramp 1.24 -0.12 1.00% -300 Ramp 1.14 -0.22 1.00%
0.000%0.200%0.400%0.600%0.800%1.000%1.200%1.400%1.600%
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Return on Assets by Rate Scenario
-0.250%-0.200%-0.150%-0.100%-0.050%0.000%0.050%0.100%0.150%0.200%
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Return on Assets Variance from Flat Rates
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Return on Equity
Risk Profiles As of March 31, 2003
Return on Equity ......... Scenario ROE % Diff from Flat Policy Guideline
+300 Ramp 19.11 2.20 NA +200 Ramp 18.40 1.49 NA +100 Ramp 17.65 0.74 NA Flat 16.91 0.00 NA -100 Ramp 16.26 -0.65 NA -200 Ramp 15.50 -1.41 NA -300 Ramp 14.33 -2.58 NA
0.000%2.000%4.000%6.000%8.000%
10.000%12.000%14.000%16.000%18.000%20.000%
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Return on Equity by Rate Scenario
-3.000%
-2.000%
-1.000%
0.000%
1.000%
2.000%
3.000%
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Return on Equity Variance from Flat Rates
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Net Interest Margin
Risk Profiles As of March 31, 2003
Net Interest Margin ......... Scenario Net Int Marg % Diff from Flat Policy Guideline
+300 Ramp 4.44 0.20 NA +200 Ramp 4.38 0.14 NA +100 Ramp 4.31 0.07 NA Flat 4.24 0.00 NA -100 Ramp 4.18 -0.06 NA -200 Ramp 4.11 -0.13 NA -300 Ramp 4.01 -0.23 NA
0.000%0.500%1.000%1.500%2.000%2.500%3.000%3.500%4.000%4.500%
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Net Interest Margin by Rate Scenario
-0.250%-0.200%-0.150%-0.100%-0.050%0.000%0.050%0.100%0.150%0.200%
+300Ramp
+200Ramp
+100Ramp
Flat-100Ramp
-200Ramp
-300Ramp
Net Interest Margin Variance from Flat Rates
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Strategic Forecast Key Items
Strategic Forecast As of March 31, 2003
Key Items
Flat Rate Forecast Year 1 Year 2 Year 3 Year 4 Year 5
PROFITABLIITY (%) Net Interest Margin 4.24 3.82 3.61 3.43 3.30Return on Assets 1.37 1.12 1.04 0.98 0.97Return on Equity 16.91 12.60 10.98 9.81 9.27
INCOME STATEMENT ($000)
Interest Income 6,542.15 6,375.83 6,367.46 6,403.58 6,509.37Interest Expense 1,283.64 1,357.81 1,379.54 1,429.66 1,477.13Net Interest Income 5,258.51 5,018.01 4,987.92 4,973.93 5,032.24Provision Expense 30.00 30.00 30.00 30.00 30.00Non-Interest Income 1,299.60 1,299.60 1,299.60 1,299.60 1,299.60Non-Interest Expense 4,776.00 4,776.00 4,776.00 4,776.00 4,776.00Taxes 0.00 0.00 0.00 0.00 0.00Net Income 1,752.11 1,511.61 1,481.52 1,467.53 1,525.84
PERFORMANCE RATIOS (%)
Equity to Assets 8.11 8.86 9.46 9.98 10.47Efficiency Ratio 72.83 75.60 75.96 76.13 75.43Loans to Deposits Ratio 75.70 75.68 75.69 75.71 75.67Earning Assets to Assets Ratio 96.78 96.81 96.83 96.85 96.86
YIELDS (%)
Loans 6.15 5.86 5.69 5.54 5.44Investments 4.76 3.95 3.46 3.15 2.92Fed Funds Sold 1.24 1.24 1.24 1.24 1.24Earning Assets 5.28 4.86 4.61 4.41 4.27
COST OF FUNDS (%)
Deposits 0.88 0.90 0.91 0.90 0.90Borrowings 4.80 4.66 4.01 3.92 3.86Fed Funds Purchased ... ... ... ... ...Rate Related Liabilities 1.10 1.11 1.08 1.07 1.06
KEY BALANCE SHEET ITEMS ($000)
Total Assets 128,139.28 135,530.79 142,749.06 149,927.98 157,232.33Earning Assets 124,013.83 131,204.10 138,221.12 145,198.80 152,301.91Loans 82,340.69 86,353.92 90,370.24 94,387.99 98,405.27Investments 29,813.63 31,213.10 32,630.87 33,828.15 35,217.76Deposits 108,767.87 114,105.95 119,394.09 124,667.54 130,044.63Fed Funds Purchased 0.00 0.00 0.00 0.00 0.00Fed Funds Sold 4,879.47 6,316.56 7,558.99 8,981.15 10,336.88Equity 10,391.34 12,006.73 13,498.79 14,966.21 16,455.42
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-300 Ramp
Strategic Forecast As of March 31, 2003
Key Items
-300 Ramp Rate Forecast Year 1 Year 2 Year 3 Year 4 Year 5
PROFITABLIITY (%) Net Interest Margin 4.01 2.94 2.47 2.13 1.92Return on Assets 1.14 0.25 -0.11 -0.35 -0.46Return on Equity 14.33 2.99 -1.37 -4.63 -6.75
INCOME STATEMENT ($000)
Interest Income 5,907.61 4,649.42 4,084.47 3,723.25 3,528.24Interest Expense 936.70 811.10 731.68 720.75 715.41Net Interest Income 4,970.91 3,838.32 3,352.79 3,002.51 2,812.84Provision Expense 30.00 30.00 30.00 30.00 30.00Non-Interest Income 1,299.60 1,299.60 1,299.60 1,299.60 1,299.60Non-Interest Expense 4,776.00 4,776.00 4,776.00 4,776.00 4,776.00Taxes 0.00 0.00 0.00 0.00 0.00Net Income 1,464.51 331.92 (153.61) (503.89) (693.56)
PERFORMANCE RATIOS (%)
Equity to Assets 8.06 8.30 8.00 7.47 6.81Efficiency Ratio 76.17 92.96 102.66 111.02 116.14Loans to Deposits Ratio 75.70 75.68 75.69 75.71 75.67Earning Assets to Assets Ratio 96.78 96.79 96.78 96.76 96.74
YIELDS (%)
Loans 5.55 4.30 3.77 3.37 3.11Investments 4.45 2.95 2.04 1.57 1.30Fed Funds Sold 0.33 0.22 0.22 0.22 0.22Earning Assets 4.77 3.57 3.00 2.64 2.41
COST OF FUNDS (%)
Deposits 0.57 0.43 0.40 0.37 0.35Borrowings 4.77 4.56 3.46 3.28 3.18Fed Funds Purchased ... ... ... ... ...Rate Related Liabilities 0.80 0.66 0.57 0.54 0.51
KEY BALANCE SHEET ITEMS ($000)
Total Assets 128,070.97 134,700.75 140,494.59 145,861.76 151,064.40Earning Assets 123,945.52 130,374.06 135,966.65 141,132.59 146,133.98Loans 82,340.32 86,353.19 90,369.81 94,388.74 98,405.57Investments 29,813.63 31,213.10 32,630.87 33,828.15 35,217.76Deposits 108,767.87 114,105.95 119,394.09 124,667.54 130,044.63Fed Funds Purchased 0.00 0.00 0.00 0.00 0.00Fed Funds Sold 4,811.52 5,487.24 5,304.95 4,914.18 4,168.64Equity 10,323.03 11,176.68 11,244.32 10,899.99 10,287.49
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+300 Ramp
Strategic Forecast As of March 31, 2003
Key Items
+300 Ramp Rate Forecast Year 1 Year 2 Year 3 Year 4 Year 5
PROFITABLIITY (%) Net Interest Margin 4.44 4.52 4.58 4.64 4.71Return on Assets 1.56 1.81 2.01 2.22 2.41Return on Equity 19.11 19.34 18.91 18.33 17.68
INCOME STATEMENT ($000)
Interest Income 7,291.52 8,445.18 9,150.63 9,827.64 10,524.15Interest Expense 1,781.07 2,478.38 2,731.09 2,918.51 3,086.45Net Interest Income 5,510.45 5,966.80 6,419.54 6,909.13 7,437.70Provision Expense 30.00 30.00 30.00 30.00 30.00Non-Interest Income 1,299.60 1,299.60 1,299.60 1,299.60 1,299.60Non-Interest Expense 4,776.00 4,776.00 4,776.00 4,776.00 4,776.00Taxes 0.00 0.00 0.00 0.00 0.00Net Income 2,004.05 2,460.40 2,913.14 3,402.73 3,931.30
PERFORMANCE RATIOS (%)
Equity to Assets 8.16 9.31 10.63 12.07 13.62Efficiency Ratio 70.13 65.73 61.87 58.18 54.66Loans to Deposits Ratio 75.70 75.68 75.69 75.71 75.67Earning Assets to Assets Ratio 96.78 96.82 96.87 96.92 96.97
YIELDS (%)
Loans 6.86 7.61 7.76 7.89 8.01Investments 5.02 5.06 5.31 5.46 5.55Fed Funds Sold 2.99 4.28 4.28 4.28 4.29Earning Assets 5.88 6.40 6.53 6.61 6.66
COST OF FUNDS (%)
Deposits 1.34 1.87 1.98 2.03 2.06Borrowings 4.83 4.81 4.95 5.01 5.05Fed Funds Purchased ... ... ... ... ...Rate Related Liabilities 1.52 2.02 2.13 2.18 2.21
KEY BALANCE SHEET ITEMS ($000)
Total Assets 128,210.63 136,209.68 144,625.83 153,490.22 162,966.17Earning Assets 124,085.18 131,882.99 140,097.89 148,761.05 158,035.75Loans 82,340.91 86,354.48 90,370.53 94,387.59 98,404.92Investments 29,813.63 31,213.10 32,630.87 33,828.15 35,217.76Deposits 108,767.87 114,105.95 119,394.09 124,667.54 130,044.63Fed Funds Purchased 0.00 0.00 0.00 0.00 0.00Fed Funds Sold 4,950.59 6,994.88 9,435.47 12,543.79 16,071.07Equity 10,462.69 12,685.61 15,375.56 18,528.45 22,189.26
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Net Interest Margin & Net Income
Strategic Forecast As of March 31, 2003
Net Interest Margin
Scenario Year 1 Year 2 Year 3 Year 4 Year 5 Flat 4.24 3.82 3.61 3.43 3.30 -300 Ramp 4.01 2.94 2.47 2.13 1.92 +300 Ramp 4.44 4.52 4.58 4.64 4.71
Net Interest Margin
0.000%
1.000%
2.000%
3.000%
4.000%
5.000%
Year 1 Year 2 Year 3 Year 4 Year 5
Flat -300 Ramp +300 Ramp
Net Income
Scenario Year 1 Year 2 Year 3 Year 4 Year 5 Flat 1,752.11 1,511.61 1,481.52 1,467.53 1,525.84 -300 Ramp 1,464.51 331.92 (153.61) (503.89) (693.56) +300 Ramp 2,004.05 2,460.40 2,913.14 3,402.73 3,931.30
Net Income
-1,000
0
1,000
2,000
3,000
4,000
5,000
Year 1 Year 2 Year 3 Year 4 Year 5
($00
0)
Flat -300 Ramp +300 Ramp
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 12 of 117
Monthly Projections Key Items
Monthly Projections
As of March 31, 2003
Key Items
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Avg/Tot
PROFITABLIITY (%) Net Interest Margin 4.47 4.44 4.40 4.34 4.30 4.25 4.21 4.16 4.12 4.09 4.05 4.01 4.24 Return on Assets 1.52 1.50 1.48 1.43 1.40 1.37 1.35 1.31 1.29 1.27 1.25 1.22 1.37 Return on Equity 19.77 19.36 18.81 18.04 17.51 17.00 16.51 15.91 15.53 15.16 14.78 14.33 16.91
INCOME STATEMENT ($000)
Interest Income 549 557 547 555 553 542 549 537 545 544 524 541 6,542 Interest Expense 101 105 102 108 109 106 109 106 111 111 104 112 1,284 Net Interest Income 448 453 445 446 444 436 440 431 435 433 420 428 5,259 Provision Expense 3 3 3 3 3 3 3 3 3 3 3 3 30 Non-Interest Income 108 108 108 108 108 108 108 108 108 108 108 108 1,300 Non-Interest Expense 398 398 398 398 398 398 398 398 398 398 398 398 4,776 Taxes 0 0 0 0 0 0 0 0 0 0 0 0 0 Net Income 155 160 153 154 152 144 148 139 143 141 128 136 1,752
PERFORMANCE RATIOS (%)
Equity to Assets 7.67 7.76 7.85 7.93 8.01 8.07 8.16 8.23 8.29 8.37 8.43 8.49 8.11 Efficiency Ratio 71.61 70.97 71.97 71.74 72.04 73.07 72.62 73.83 73.28 73.54 75.34 74.15 72.83 Loans to Deposits Ratio 75.72 75.72 75.74 75.79 75.72 75.58 75.68 75.71 75.62 75.76 75.70 75.69 75.70 Earning Assets to Assets Ratio 96.76 96.77 96.77 96.77 96.78 96.78 96.78 96.78 96.79 96.79 96.79 96.79 96.78
YIELDS (%)
Loans 6.30 6.28 6.25 6.23 6.20 6.16 6.13 6.08 6.06 6.04 6.01 5.98 6.15 Investments 5.17 5.10 5.01 4.94 4.87 4.79 4.72 4.64 4.57 4.51 4.44 4.38 4.76 Fed Funds Sold 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.24 Earning Assets 5.49 5.46 5.42 5.39 5.34 5.29 5.25 5.19 5.16 5.13 5.09 5.05 5.28
COST OF FUNDS (%)
Deposits 0.86 0.85 0.86 0.89 0.89 0.89 0.88 0.89 0.89 0.89 0.90 0.90 0.88 Borrowings 4.84 4.83 4.82 4.81 4.80 4.79 4.78 4.77 4.76 4.75 4.74 4.73 4.80 Fed Funds Purchased 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Rate Related Liabilities 1.08 1.07 1.08 1.10 1.10 1.10 1.10 1.10 1.10 1.10 1.11 1.11 1.10
KEY BALANCE SHEET ITEMS ($000)
Total Assets 124,672 125,295 125,904 126,452 127,196 128,012 128,492 129,074 129,832 130,239 130,930 131,574 128,139 Earning Assets 120,638 121,245 121,837 122,369 123,095 123,895 124,358 124,923 125,664 126,055 126,729 127,357 124,014 Loans 80,512 80,834 81,168 81,503 81,843 82,173 82,507 82,839 83,178 83,511 83,839 84,183 82,341 Investments 29,214 29,334 29,453 29,497 29,617 29,735 29,855 29,973 30,093 30,212 30,330 30,450 29,814 Deposits 106,328 106,756 107,173 107,531 108,085 108,717 109,014 109,417 109,997 110,227 110,747 111,223 108,768 Fed Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 Fed Funds Sold 4,088 4,225 4,336 4,459 4,698 5,022 5,002 5,089 5,342 5,253 5,452 5,587 4,879 Equity 9,565 9,722 9,879 10,032 10,185 10,333 10,479 10,622 10,763 10,905 11,039 11,171 10,391
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 13 of 117
Monthly Projections
As of March 31, 2003
Yield on Earning Assets and Cost of Funds Flat Rate Forecast
0
1
2
3
4
5
6
7
Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
Perc
ent
Loans Deposits Investments Fed Funds Purchased Fed Funds Sold
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 14 of 117
Most Likely
Monthly Projections
As of March 31, 2003
Key Items
Most Likely Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Avg/Tot
PROFITABLIITY (%) Net Interest Margin 4.47 4.44 4.40 4.35 4.30 4.25 4.22 4.17 4.14 4.16 4.15 4.12 4.27 Return on Assets 1.52 1.50 1.48 1.43 1.40 1.38 1.35 1.32 1.30 1.33 1.34 1.32 1.39 Return on Equity 19.77 19.36 18.82 18.05 17.53 17.04 16.59 16.05 15.70 15.89 15.81 15.50 17.19
INCOME STATEMENT ($000)
Interest Income 549 557 547 555 553 543 551 539 555 563 547 572 6,631 Interest Expense 101 105 102 108 109 106 110 107 119 123 117 133 1,341 Net Interest Income 448 453 445 447 444 437 440 432 436 440 430 440 5,291 Provision Expense 3 3 3 3 3 3 3 3 3 3 3 3 30 Non-Interest Income 108 108 108 108 108 108 108 108 108 108 108 108 1,300 Non-Interest Expense 398 398 398 398 398 398 398 398 398 398 398 398 4,776 Taxes 0 0 0 0 0 0 0 0 0 0 0 0 0 Net Income 155 160 153 154 152 145 148 140 144 147 138 148 1,784
PERFORMANCE RATIOS (%)
Equity to Assets 7.67 7.76 7.85 7.93 8.01 8.07 8.16 8.23 8.29 8.38 8.44 8.51 8.11 Efficiency Ratio 71.61 70.96 71.96 71.74 72.01 73.02 72.53 73.65 73.06 72.63 73.97 72.62 72.47 Loans to Deposits Ratio 75.72 75.72 75.74 75.79 75.72 75.58 75.68 75.71 75.62 75.76 75.70 75.69 75.70 Earning Assets to Assets Ratio 96.76 96.77 96.77 96.77 96.78 96.78 96.78 96.78 96.79 96.79 96.79 96.80 96.78
YIELDS (%)
Loans 6.30 6.28 6.25 6.23 6.20 6.17 6.14 6.09 6.15 6.24 6.26 6.30 6.22 Investments 5.17 5.10 5.02 4.95 4.88 4.81 4.75 4.69 4.65 4.62 4.59 4.57 4.82 Fed Funds Sold 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.57 1.72 1.72 1.97 1.44 Earning Assets 5.49 5.46 5.42 5.39 5.34 5.30 5.26 5.22 5.25 5.31 5.31 5.34 5.35
COST OF FUNDS (%)
Deposits 0.86 0.85 0.86 0.89 0.89 0.89 0.89 0.90 0.98 1.02 1.04 1.11 0.94 Borrowings 4.84 4.83 4.82 4.81 4.80 4.80 4.79 4.78 4.77 4.76 4.76 4.75 4.80 Fed Funds Purchased 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Rate Related Liabilities 1.08 1.07 1.08 1.10 1.10 1.11 1.11 1.11 1.19 1.23 1.24 1.31 1.15
KEY BALANCE SHEET ITEMS ($000)
Total Assets 124,672 125,295 125,904 126,452 127,196 128,013 128,493 129,076 129,835 130,247 130,946 131,601 128,144 Earning Assets 120,638 121,245 121,837 122,369 123,096 123,896 124,359 124,925 125,668 126,063 126,745 127,383 124,019 Loans 80,512 80,834 81,168 81,503 81,843 82,173 82,507 82,839 83,178 83,511 83,839 84,183 82,341 Investments 29,214 29,334 29,453 29,497 29,617 29,735 29,855 29,973 30,093 30,212 30,330 30,450 29,814 Deposits 106,328 106,756 107,173 107,531 108,085 108,717 109,014 109,417 109,997 110,227 110,747 111,223 108,768 Fed Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 Fed Funds Sold 4,088 4,225 4,336 4,459 4,699 5,022 5,003 5,091 5,346 5,260 5,469 5,614 4,884 Equity 9,565 9,722 9,879 10,032 10,186 10,334 10,480 10,624 10,767 10,912 11,055 11,197 10,396
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 15 of 117
Monthly Projections
As of March 31, 2003
Yield on Earning Assets and Cost of Funds Most Likely Rate Forecast
0
1
2
3
4
5
6
7
Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
Perc
ent
Loans Deposits Investments Fed Funds Purchased Fed Funds Sold
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 16 of 117
+300 Ramp
Monthly Projections
As of March 31, 2003
Key Items
+300 Ramp Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Avg/Tot
PROFITABLIITY (%) Net Interest Margin 4.47 4.47 4.46 4.42 4.41 4.40 4.40 4.41 4.43 4.44 4.45 4.47 4.44 Return on Assets 1.51 1.53 1.53 1.50 1.51 1.52 1.53 1.55 1.58 1.61 1.63 1.67 1.56 Return on Equity 19.70 19.68 19.50 18.93 18.84 18.72 18.70 18.75 18.95 19.02 19.06 19.29 19.11
INCOME STATEMENT ($000)
Interest Income 553 570 568 587 596 595 614 613 636 647 637 674 7,292 Interest Expense 106 115 118 133 140 143 155 156 169 177 174 196 1,781 Net Interest Income 447 455 451 454 456 452 460 457 467 470 462 479 5,510 Provision Expense 3 3 3 3 3 3 3 3 3 3 3 3 30 Non-Interest Income 108 108 108 108 108 108 108 108 108 108 108 108 1,300 Non-Interest Expense 398 398 398 398 398 398 398 398 398 398 398 398 4,776 Taxes 0 0 0 0 0 0 0 0 0 0 0 0 0 Net Income 155 163 158 162 164 160 168 165 175 178 170 186 2,004
PERFORMANCE RATIOS (%)
Equity to Assets 7.67 7.76 7.85 7.94 8.02 8.10 8.19 8.28 8.36 8.47 8.56 8.65 8.16 Efficiency Ratio 71.68 70.64 71.21 70.77 70.54 71.05 70.06 70.37 69.14 68.77 69.73 67.81 70.13 Loans to Deposits Ratio 75.72 75.72 75.74 75.80 75.72 75.58 75.69 75.71 75.62 75.76 75.70 75.69 75.70 Earning Assets to Assets Ratio 96.76 96.77 96.77 96.77 96.78 96.78 96.78 96.79 96.79 96.79 96.80 96.80 96.78
YIELDS (%)
Loans 6.35 6.43 6.52 6.61 6.69 6.78 6.87 6.96 7.06 7.18 7.29 7.43 6.86 Investments 5.18 5.13 5.07 5.04 5.01 4.98 4.96 4.95 4.95 4.95 4.96 4.98 5.02 Fed Funds Sold 1.47 1.72 1.97 2.22 2.47 2.72 2.97 3.22 3.47 3.72 3.97 4.22 2.99 Earning Assets 5.54 5.59 5.64 5.70 5.75 5.80 5.86 5.93 6.01 6.10 6.18 6.28 5.88
COST OF FUNDS (%)
Deposits 0.92 0.97 1.04 1.15 1.22 1.30 1.37 1.44 1.51 1.59 1.69 1.78 1.34 Borrowings 4.85 4.84 4.83 4.82 4.82 4.81 4.81 4.81 4.80 4.80 4.80 4.81 4.83 Fed Funds Purchased 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Rate Related Liabilities 1.13 1.18 1.25 1.35 1.42 1.49 1.55 1.62 1.68 1.76 1.85 1.94 1.52
KEY BALANCE SHEET ITEMS ($000)
Total Assets 124,671 125,295 125,909 126,464 127,217 128,047 128,545 129,150 129,937 130,380 131,111 131,801 128,211 Earning Assets 120,638 121,245 121,842 122,380 123,117 123,930 124,411 124,999 125,770 126,196 126,910 127,584 124,085 Loans 80,511 80,834 81,168 81,503 81,842 82,172 82,508 82,839 83,178 83,512 83,840 84,183 82,341 Investments 29,214 29,334 29,453 29,497 29,617 29,735 29,855 29,973 30,093 30,212 30,330 30,450 29,814 Deposits 106,328 106,756 107,173 107,531 108,085 108,717 109,014 109,417 109,997 110,227 110,747 111,223 108,768 Fed Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 Fed Funds Sold 4,088 4,225 4,341 4,470 4,720 5,057 5,054 5,164 5,448 5,392 5,633 5,814 4,951 Equity 9,564 9,723 9,884 10,044 10,207 10,368 10,532 10,698 10,869 11,045 11,219 11,398 10,463
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 17 of 117
Monthly Projections
As of March 31, 2003
Yield on Earning Assets and Cost of Funds +300 Ramp Rate Forecast
0
1
2
3
4
5
6
7
8
Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
Perc
ent
Loans Deposits Investments Fed Funds Purchased Fed Funds Sold
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 18 of 117
-300 Ramp
Monthly Projections
As of March 31, 2003
Key Items
-300 Ramp Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Avg/Tot
PROFITABLIITY (%) Net Interest Margin 4.48 4.43 4.37 4.31 4.24 4.13 4.02 3.88 3.76 3.64 3.52 3.38 4.01 Return on Assets 1.52 1.49 1.44 1.39 1.34 1.26 1.16 1.04 0.93 0.83 0.73 0.60 1.14 Return on Equity 19.87 19.18 18.39 17.57 16.79 15.61 14.24 12.66 11.34 10.02 8.74 7.23 14.33
INCOME STATEMENT ($000)
Interest Income 544 545 527 526 516 497 493 472 469 457 431 430 5,908 Interest Expense 96 94 86 84 78 73 74 71 73 72 66 70 937 Net Interest Income 448 451 441 442 438 424 419 401 396 385 364 360 4,971 Provision Expense 3 3 3 3 3 3 3 3 3 3 3 3 30 Non-Interest Income 108 108 108 108 108 108 108 108 108 108 108 108 1,300 Non-Interest Expense 398 398 398 398 398 398 398 398 398 398 398 398 4,776 Taxes 0 0 0 0 0 0 0 0 0 0 0 0 0 Net Income 156 159 149 150 146 132 127 109 104 92 72 68 1,465
PERFORMANCE RATIOS (%)
Equity to Assets 7.67 7.76 7.84 7.93 8.00 8.06 8.13 8.19 8.22 8.27 8.30 8.31 8.06 Efficiency Ratio 71.51 71.15 72.43 72.27 72.86 74.76 75.42 78.07 78.93 80.75 84.21 84.95 76.17 Loans to Deposits Ratio 75.72 75.72 75.74 75.79 75.72 75.58 75.68 75.71 75.62 75.76 75.70 75.69 75.70 Earning Assets to Assets Ratio 96.76 96.77 96.77 96.77 96.78 96.78 96.78 96.78 96.79 96.78 96.79 96.79 96.78
YIELDS (%)
Loans 6.25 6.14 6.03 5.92 5.79 5.65 5.51 5.34 5.21 5.06 4.91 4.73 5.55 Investments 5.15 5.05 4.93 4.81 4.67 4.53 4.38 4.24 4.10 3.97 3.84 3.71 4.45 Fed Funds Sold 0.97 0.72 0.47 0.22 0.22 0.22 0.22 0.22 0.22 0.22 0.22 0.22 0.33 Earning Assets 5.45 5.34 5.23 5.11 4.98 4.85 4.72 4.57 4.44 4.32 4.18 4.03 4.77
COST OF FUNDS (%)
Deposits 0.80 0.74 0.68 0.62 0.55 0.52 0.50 0.50 0.49 0.48 0.47 0.45 0.57 Borrowings 4.84 4.83 4.82 4.81 4.79 4.77 4.76 4.74 4.73 4.71 4.69 4.68 4.77 Fed Funds Purchased 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Rate Related Liabilities 1.02 0.96 0.91 0.85 0.79 0.76 0.74 0.73 0.73 0.72 0.71 0.69 0.80
KEY BALANCE SHEET ITEMS ($000)
Total Assets 124,672 125,295 125,902 126,446 127,184 127,992 128,455 129,012 129,736 130,100 130,739 131,321 128,071 Earning Assets 120,639 121,245 121,835 122,362 123,084 123,875 124,321 124,861 125,568 125,916 126,538 127,103 123,946 Loans 80,513 80,833 81,168 81,502 81,843 82,173 82,506 82,838 83,177 83,510 83,839 84,182 82,340 Investments 29,214 29,334 29,453 29,497 29,617 29,735 29,855 29,973 30,093 30,212 30,330 30,450 29,814 Deposits 106,328 106,756 107,173 107,531 108,085 108,717 109,014 109,417 109,997 110,227 110,747 111,223 108,768 Fed Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 Fed Funds Sold 4,087 4,225 4,334 4,453 4,687 5,001 4,966 5,028 5,247 5,114 5,261 5,334 4,812 Equity 9,565 9,722 9,876 10,026 10,174 10,313 10,442 10,561 10,667 10,765 10,847 10,917 10,323
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 19 of 117
Monthly Projections
As of March 31, 2003
Yield on Earning Assets and Cost of Funds -300 Ramp Rate Forecast
0
1
2
3
4
5
6
7
Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
Perc
ent
Loans Deposits Investments Fed Funds Purchased Fed Funds Sold
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 20 of 117
Comparison of Net Interest Margin
Monthly Projections
As of March 31, 2003
Scenerio Comparisons of Net Interest Margin
2.0
2.5
3.0
3.5
4.0
4.5
5.0
Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
Perc
ent
Flat Most Likely +300 Ramp -300 Ramp
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 21 of 117
Loan and Deposit Balance Flat
Monthly Projections
As of March 31, 2003
Loan and Deposit Balance Flat Rate Forecast
0
20000
40000
60000
80000
100000
120000
Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
$000
Loans Deposits
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 22 of 117
Income Statement Flat
Monthly Projections
As of March 31, 2003
Income Statement
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Total
INTEREST INCOME ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 25 26 25 25 25 24 24 23 24 24 22 24 291 Commercial Variable Prime 24 25 24 25 26 25 26 25 26 26 25 27 305 Commercial Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Variable Fed Funds 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Adj Qtrly Prime 0 1 1 1 1 1 1 1 1 1 1 1 8 Commercial Adj 1/1 Prime 1 1 1 1 1 1 1 1 1 1 1 1 8 Commercial Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Adj 2/2 UST 0 0 0 0 0 0 0 0 0 0 0 0 1 Commercial Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Adj 5/5 Prime 8 8 8 8 8 7 8 7 8 8 7 8 91 Commercial Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial 58 60 58 60 60 58 60 58 60 59 55 59 705 ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 50 52 50 52 52 51 52 51 53 52 49 52 617 Commercial RE Variable Prime 44 45 44 46 46 45 46 45 47 47 44 47 546 Commercial RE Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Variable UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj Qtrly Prime 2 2 2 2 2 2 2 2 2 2 2 2 21 Commercial RE Adj Qtrly Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 1/1 Prime 13 14 13 14 13 12 13 12 13 13 12 13 154 Commercial RE Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 5/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 3/3 Prime 2 2 2 2 2 2 2 2 2 2 2 2 26 Commercial RE Adj 5/5 Prime 62 64 62 64 63 61 62 60 62 62 58 61 741 Commercial RE Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial Real Estate 173 179 173 179 178 172 178 172 178 178 166 177 2,105 ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 3 4 3 4 4 3 4 3 4 4 3 4 42 Construction Variable Prime 4 4 4 4 4 4 4 4 4 4 4 4 49 Construction Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Variable UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj Qtrly Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 1/1 Prime 4 5 4 5 5 5 5 5 5 5 4 5 56
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 23 of 117
Monthly Projections
As of March 31, 2003
Income Statement
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Total
Construction Adj 1/1 UST 2 2 2 2 2 2 2 2 2 2 1 1 20 Construction Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 5/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 5/5 Prime 3 3 3 3 3 3 3 3 3 3 3 3 33 Construction Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Construction 16 17 16 17 17 16 17 16 17 17 16 17 199 ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 0 0 0 0 0 0 0 0 0 0 0 0 1 Commercial TE Adj 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial Tax Exempt 0 0 0 0 0 0 0 0 0 0 0 0 1 ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 1 1 1 1 1 1 1 1 1 1 1 2 17 Agricultural Variable Prime 16 16 16 16 16 16 16 16 16 16 15 16 191 Agricultural Adj 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 4
Total Agricultural Loans 17 18 17 18 18 17 18 18 18 18 17 18 213 ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 57 57 57 57 58 58 58 58 58 58 58 59 693 Mortgage Variable Prime 12 12 12 12 12 12 12 12 12 12 12 12 141 Mortgage Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 1/1 UST 2 2 2 2 2 2 2 2 2 2 2 1 26 Mortgage ARM 3/1 UST 6 6 6 6 6 6 5 3 3 3 3 3 55 Mortgage ARM 3/3 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 3/3 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 5/1 UST 2 2 2 2 2 2 2 2 2 2 2 2 24 Mortgage ARM 5/5 Prime 7 8 8 8 8 8 8 8 8 8 8 8 90 Mortgage ARM 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 7/1 UST 8 8 8 8 8 8 8 8 8 8 8 8 92 Mortgage ARM 10/10 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mtg Loans for Sale 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Mortgage 94 94 94 94 95 95 94 92 93 93 93 92 1,123 ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 20 20 20 20 21 21 21 21 21 21 21 21 247 Consumer Variable Prime 0 0 0 0 0 0 0 0 0 0 0 0 4 Consumer Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj Semi-Annual UST 0 0 0 0 0 0 0 0 0 0 0 0 0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 24 of 117
Monthly Projections
As of March 31, 2003
Income Statement
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Total
Consumer Adj 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj 3/3 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj 5/5 Prime 1 1 1 1 1 1 1 1 1 1 1 1 7
Total Consumer 21 21 21 21 22 22 22 22 22 22 22 22 259 ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 7 7 7 7 7 7 7 7 7 6 6 6 81 Home Equity Variable Prime 29 29 29 29 30 30 30 30 30 30 30 30 357 Home Equity Adj Sem-Annually 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 5/5 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Home Equity 36 36 36 36 36 36 37 37 37 37 37 37 438 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 1 1 1 1 1 1 1 1 1 1 1 1 7 Other Loans Variable Prime 1 1 1 1 1 1 1 1 1 1 1 1 12 Credit Cards 0 0 0 0 0 0 0 0 0 0 0 0 0 Credit Cards Adustable Semi-Ann 0 0 0 0 0 0 0 0 0 0 0 0 0 Overdrafts 0 0 0 0 0 0 0 0 0 0 0 0 0 Unearned Disc. & Oth. 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Other Loans 2 2 2 2 2 2 2 2 2 2 2 2 19 ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Fees 0 0 0 0 0 0 0 0 0 0 0 0 0 Int Inc Adj. 0 0 0 0 0 0 0 0 0 0 0 0 0 Loan Loss Reserve 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Loans 419 428 419 428 428 418 426 416 425 425 407 424 5,062 ... ... ... ... ... ... ... ... ... ... ... ... ...
Investments ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 0 0 0 0 0 0 0 0 0 0 0 0 1 Agencies Callable 0 0 0 0 0 0 0 0 0 0 0 0 1 Agencies Stuctured 0 0 0 0 0 0 0 0 0 0 0 0 0 Agencies 0 0 0 0 0 0 0 0 0 0 0 0 0 Callable Certificates of Deposit 0 0 0 0 0 0 0 0 0 0 0 0 0 Certificates of Deposit 0 0 0 0 0 0 0 0 0 0 0 0 0 Structured CDs 0 0 0 0 0 0 0 0 0 0 0 0 0 FNMA FHLMC 6 MO ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0 FNMA FHLMC 1 YR ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0 GNMA ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 25 of 117
Monthly Projections
As of March 31, 2003
Income Statement
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Total
CMO Fixed 27 26 26 25 25 24 24 23 23 22 22 22 290 CMO Variable 0 0 0 0 0 0 0 0 0 0 0 0 0 MBS 80 79 78 77 76 75 74 73 72 71 70 69 892 Corporates 3 3 3 3 3 3 3 3 3 3 3 3 40 Municipals 16 16 16 16 16 16 16 16 16 16 16 16 189 Callable Municipals 0 0 0 0 0 0 0 0 0 0 0 0 0 Tax Exempt Municipals 0 0 0 0 0 0 0 0 0 0 0 0 0 Money Market Investments 0 0 0 0 0 0 0 0 0 0 0 0 0 Equity Securities 0 0 0 0 0 0 0 0 0 0 0 0 0 Other Investments 0 1 1 1 1 1 1 1 1 1 1 1 7
Total Investments 126 125 123 122 120 119 117 116 115 114 112 111 1,419 ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 2 0 0 0 0 0 0 0 0 0 0 0 2 F.F. Sold (Bal.) 2 4 4 5 5 5 5 5 6 6 5 6 58
Total Funds Sold 4 4 4 5 5 5 5 5 6 6 5 6 61 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Other Assets 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL INTEREST INCOME 549 557 547 555 553 542 549 537 545 544 524 541 6,542
... ... ... ... ... ... ... ... ... ... ... ... ... INTEREST EXPENSE ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 0 0 0 0 0 0 0 0 0 0 0 0 0 NOW 42 43 42 44 44 43 44 43 44 45 42 45 519 MMDA 0 0 0 0 0 0 0 0 0 0 0 0 0 MM IRA 0 0 0 0 0 0 0 0 0 0 0 0 0 Savings 5 5 5 5 5 5 5 5 5 5 5 5 58
Total Non Maturity Deposits 46 48 47 48 49 47 49 48 49 49 46 50 577 ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 18 19 19 22 22 21 22 22 23 23 21 23 255 CD's $100M+ 10 10 10 11 11 11 11 10 11 11 11 11 128 Variable IRA 0 0 0 0 0 0 0 0 0 0 0 0 0 IRA's < $100M 0 0 0 0 0 0 0 0 0 0 0 0 0 IRA's $100M+ 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Time Deposits 29 29 29 33 33 32 33 32 34 34 32 35 383
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 26 of 117
Monthly Projections
As of March 31, 2003
Income Statement
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Total
... ... ... ... ... ... ... ... ... ... ... ... ... Total Deposits 75 77 76 81 81 79 82 80 83 83 79 85 961
... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Floating 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Short Term 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Long Term 26 27 26 27 27 26 27 27 28 28 26 28 323 Other Borrowings 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Borrowings 26 27 26 27 27 26 27 27 28 28 26 28 323 ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 F.F. Purch. (Bal.) 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 0 0 0 0 0 0 0 0 0 0 0 0 0 Int Exp Adj. 0 0 0 0 0 0 0 0 0 0 0 0 0
TOTAL INTEREST EXPENSE 101 105 102 108 109 106 109 106 111 111 104 112 1,284 ... ... ... ... ... ... ... ... ... ... ... ... ... NET INTEREST INCOME 448 453 445 446 444 436 440 431 435 433 420 428 5,259 PROVISION FOR LOAN LOSS 3 3 3 3 3 3 3 3 3 3 3 3 30 OTHER INCOME ... ... ... ... ... ... ... ... ... ... ... ... ... Non Interest Income 108 108 108 108 108 108 108 108 108 108 108 108 1,300 Servicing Income ... ... ... ... ... ... ... ... ... ... ... ... ... Total Servicing Income 0 0 0 0 0 0 0 0 0 0 0 0 0
... ... ... ... ... ... ... ... ... ... ... ... ... Gain/Loss on Sale of Investments 0 0 0 0 0 0 0 0 0 0 0 0 0 Gain/Loss on Hedged Items 0 0 0 0 0 0 0 0 0 0 0 0 0 Gain/Loss on Derivatives 0 0 0 0 0 0 0 0 0 0 0 0 0
TOTAL OTHER INCOME 108 108 108 108 108 108 108 108 108 108 108 108 1,300 ... ... ... ... ... ... ... ... ... ... ... ... ... OTHER EXPENSE ... ... ... ... ... ... ... ... ... ... ... ... ... Non Interest Expense 398 398 398 398 398 398 398 398 398 398 398 398 4,776
TOTAL OTHER EXPENSE 398 398 398 398 398 398 398 398 398 398 398 398 4,776 ... ... ... ... ... ... ... ... ... ... ... ... ... PRETAX INCOME 155 160 153 154 152 144 148 139 143 141 128 136 1,752 LOCAL TAX #1 0 0 0 0 0 0 0 0 0 0 0 0 0 LOCAL TAX #2 0 0 0 0 0 0 0 0 0 0 0 0 0 REGIONAL TAX 0 0 0 0 0 0 0 0 0 0 0 0 0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 27 of 117
Monthly Projections
As of March 31, 2003
Income Statement
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Total
NATIONAL TAX 0 0 0 0 0 0 0 0 0 0 0 0 0 TOTAL TAX 0 0 0 0 0 0 0 0 0 0 0 0 0 ADJUSTMENT: LOCAL TAX 1 0 ... ... ... ... ... ... ... ... ... ... ... ... ADJUSTMENT: LOCAL TAX 2 0 ... ... ... ... ... ... ... ... ... ... ... ... ADJUSTMENT: REGIONAL TAX 0 ... ... ... ... ... ... ... ... ... ... ... ... ADJUSTMENT: NATIONAL TAX 0 ... ... ... ... ... ... ... ... ... ... ... ... NET INCOME 155 160 153 154 152 144 148 139 143 141 128 136 1,752 TAX ADJUSTMENTS 0 ... ... ... ... ... ... ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 28 of 117
Average Balance Sheet Flat
Monthly Projections
As of March 31, 2003
Average Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
ASSETS ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 3,908 3,907 3,927 3,939 3,960 3,975 3,988 4,006 4,022 4,037 4,054 4,071 3,983 Commercial Variable Prime 5,882 5,907 5,931 5,956 5,980 6,004 6,029 6,053 6,078 6,103 6,126 6,151 6,017 Commercial Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Variable Fed Funds 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Adj Qtrly Prime 139 140 140 141 141 142 143 143 144 144 145 146 142 Commercial Adj 1/1 Prime 131 132 132 133 133 134 134 135 135 136 136 137 134 Commercial Adj 1/1 UST 12 12 12 12 12 12 12 12 12 13 13 13 12 Commercial Adj 2/2 UST 13 13 13 13 13 13 13 13 13 13 13 13 13 Commercial Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Adj 5/5 Prime 1,182 1,187 1,191 1,196 1,201 1,206 1,211 1,216 1,221 1,226 1,231 1,236 1,209 Commercial Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial 11,266 11,297 11,347 11,390 11,441 11,487 11,531 11,579 11,626 11,671 11,718 11,766 11,510 ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 8,321 8,356 8,390 8,425 8,459 8,493 8,528 8,563 8,598 8,632 8,666 8,701 8,511 Commercial RE Variable Prime 9,960 10,002 10,043 10,085 10,126 10,167 10,209 10,250 10,292 10,333 10,374 10,416 10,188 Commercial RE Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Variable UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj Qtrly Prime 347 349 350 352 353 355 356 357 359 360 362 363 355 Commercial RE Adj Qtrly Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 1/1 Prime 2,820 2,832 2,843 2,855 2,867 2,878 2,890 2,902 2,914 2,925 2,937 2,949 2,884 Commercial RE Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 5/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 3/3 Prime 381 382 384 385 387 389 390 392 393 395 396 398 389 Commercial RE Adj 5/5 Prime 9,755 9,797 9,836 9,878 9,918 9,958 9,999 10,039 10,081 10,121 10,160 10,202 9,979 Commercial RE Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial Real Estate 31,584 31,717 31,846 31,980 32,111 32,240 32,373 32,503 32,636 32,767 32,895 33,030 32,307 ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 650 653 655 658 661 663 666 669 672 674 677 680 665 Construction Variable Prime 962 966 970 974 978 982 987 990 995 999 1,002 1,007 984 Construction Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Variable UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj Qtrly Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 1/1 Prime 1,032 1,036 1,041 1,045 1,049 1,054 1,058 1,062 1,066 1,071 1,075 1,079 1,056
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 29 of 117
Monthly Projections
As of March 31, 2003
Average Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
Construction Adj 1/1 UST 279 281 282 283 284 285 286 288 289 290 291 292 286 Construction Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 5/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 5/5 Prime 404 406 408 409 411 413 414 416 418 420 421 423 414 Construction Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Construction 3,328 3,342 3,356 3,370 3,384 3,397 3,411 3,425 3,439 3,453 3,466 3,480 3,404 ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 22 22 22 22 22 22 22 22 22 22 22 23 22 Commercial TE Adj 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial Tax Exempt 22 22 22 22 22 22 22 22 22 22 22 23 22 ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 290 291 293 294 296 297 298 299 300 301 304 305 297 Agricultural Variable Prime 4,107 4,124 4,141 4,158 4,176 4,192 4,210 4,226 4,244 4,261 4,277 4,295 4,201 Agricultural Adj 1/1 Prime 67 67 67 67 68 68 68 69 69 69 69 70 68
Total Agricultural Loans 4,464 4,483 4,501 4,520 4,540 4,558 4,575 4,594 4,613 4,631 4,650 4,669 4,566 ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 10,679 10,724 10,768 10,812 10,857 10,901 10,945 10,989 11,034 11,078 11,122 11,167 10,923 Mortgage Variable Prime 2,706 2,718 2,729 2,740 2,752 2,763 2,774 2,785 2,797 2,808 2,819 2,830 2,768 Mortgage Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 1/1 Prime 3 3 3 3 3 3 3 3 3 3 3 3 3 Mortgage ARM 1/1 UST 407 409 411 412 414 416 417 419 421 422 424 426 416 Mortgage ARM 3/1 UST 972 976 980 984 988 992 996 1,000 1,004 1,008 1,012 1,016 994 Mortgage ARM 3/3 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 3/3 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 5/1 UST 332 333 334 336 337 338 340 341 343 344 345 347 339 Mortgage ARM 5/5 Prime 1,278 1,283 1,288 1,294 1,299 1,304 1,310 1,315 1,320 1,325 1,331 1,336 1,307 Mortgage ARM 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 7/1 UST 1,230 1,235 1,240 1,245 1,250 1,255 1,260 1,266 1,271 1,276 1,281 1,286 1,258 Mortgage ARM 10/10 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mtg Loans for Sale 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Mortgage 17,607 17,680 17,753 17,826 17,899 17,972 18,046 18,118 18,192 18,265 18,337 18,411 18,009 ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 2,960 2,972 2,984 2,997 3,009 3,021 3,034 3,046 3,058 3,071 3,083 3,095 3,027 Consumer Variable Prime 106 106 107 107 107 108 108 109 109 110 110 110 108 Consumer Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj Semi-Annual UST 11 11 11 11 11 11 11 11 11 12 12 12 11
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 30 of 117
Monthly Projections
As of March 31, 2003
Average Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
Consumer Adj 1/1 Prime 7 7 7 7 7 7 7 7 7 7 7 7 7 Consumer Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj 3/3 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj 5/5 Prime 100 100 101 101 101 102 102 103 103 103 104 104 102
Total Consumer 3,183 3,197 3,210 3,223 3,236 3,249 3,263 3,276 3,289 3,302 3,315 3,329 3,256 ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 1,155 1,160 1,165 1,170 1,175 1,179 1,184 1,189 1,194 1,199 1,203 1,208 1,182 Home Equity Variable Prime 7,311 7,342 7,372 7,403 7,434 7,464 7,494 7,524 7,555 7,586 7,615 7,647 7,479 Home Equity Adj Sem-Annually 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 5/5 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Home Equity 8,467 8,503 8,537 8,573 8,608 8,643 8,679 8,713 8,749 8,784 8,818 8,855 8,661 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 91 91 92 92 93 93 93 94 94 95 95 95 93 Other Loans Variable Prime 178 178 179 180 180 181 182 183 183 184 185 186 182 Credit Cards 0 0 0 0 0 0 0 0 0 0 0 0 0 Credit Cards Adustable Semi-Ann 0 0 0 0 0 0 0 0 0 0 0 0 0 Overdrafts 0 0 0 0 0 0 0 0 0 0 0 0 0 Nonaccrual Loans 0 0 0 0 0 0 0 0 0 0 0 0 0 Charged Off Loans 0 0 0 0 0 0 0 0 0 0 0 0 0 Unearned Disc. & Oth. 1,091 1,095 1,100 1,104 1,109 1,113 1,118 1,122 1,127 1,131 1,136 1,141 1,116
Total Other Loans 1,359 1,365 1,371 1,376 1,382 1,388 1,393 1,399 1,404 1,410 1,416 1,421 1,390 ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Loss Reserve (767) (770) (774) (777) (780) (783) (786) (790) (793) (796) (799) (802) (785) Total Loans 80,512 80,834 81,168 81,503 81,843 82,173 82,507 82,839 83,178 83,511 83,839 84,183 82,341
... ... ... ... ... ... ... ... ... ... ... ... ... Investments ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 50 50 50 51 51 51 51 52 52 52 52 52 51 Agencies Callable 1,002 1,006 1,011 1,015 1,019 1,023 1,027 1,031 1,036 1,040 1,044 1,048 1,025 Agencies Stuctured 0 0 0 0 0 0 0 0 0 0 0 0 0 Agencies 0 0 0 0 0 0 0 0 0 0 0 0 0 Callable Certificates of Deposit 0 0 0 0 0 0 0 0 0 0 0 0 0 Certificates of Deposit 0 0 0 0 0 0 0 0 0 0 0 0 0 Structured CDs 0 0 0 0 0 0 0 0 0 0 0 0 0 FNMA FHLMC 6 MO ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0 FNMA FHLMC 1 YR ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0 GNMA ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 31 of 117
Monthly Projections
As of March 31, 2003
Average Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
CMO Fixed 6,045 6,071 6,095 6,121 6,146 6,171 6,196 6,221 6,247 6,272 6,296 6,322 6,183 CMO Variable 0 0 0 0 0 0 0 0 0 0 0 0 0 MBS 16,779 16,848 16,918 16,988 17,057 17,127 17,196 17,266 17,336 17,405 17,475 17,545 17,162 Corporates 515 517 519 521 523 525 528 530 532 534 536 538 526 Municipals 3,726 3,741 3,757 3,772 3,788 3,803 3,819 3,834 3,850 3,865 3,881 3,896 3,811 Callable Municipals 539 539 539 464 464 464 464 464 464 464 464 464 483 Tax Exempt Municipals 0 0 0 0 0 0 0 0 0 0 0 0 0 Money Market Investments 0 0 0 0 0 0 0 0 0 0 0 0 0 Equity Securities 0 0 0 0 0 0 0 0 0 0 0 0 0 Other Investments 559 561 564 566 568 571 573 575 578 580 582 585 572
Total Investments 29,214 29,334 29,453 29,497 29,617 29,735 29,855 29,973 30,093 30,212 30,330 30,450 29,814 ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 2,125 0 0 0 0 0 0 0 0 0 0 0 177 F.F. Sold (Bal.) 1,963 4,225 4,336 4,459 4,698 5,022 5,002 5,089 5,342 5,253 5,452 5,587 4,702
Total Funds Sold 4,088 4,225 4,336 4,459 4,698 5,022 5,002 5,089 5,342 5,253 5,452 5,587 4,879 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 6,824 6,852 6,881 6,909 6,937 6,966 6,994 7,023 7,051 7,079 7,108 7,136 6,980 Fixed Assets 3,016 3,028 3,041 3,053 3,066 3,078 3,091 3,104 3,116 3,129 3,141 3,154 3,085 Other Real Estate Owned 0 0 0 0 0 0 0 0 0 0 0 0 0 Other Non Earning Assets 1,017 1,022 1,026 1,030 1,034 1,039 1,043 1,047 1,051 1,056 1,060 1,064 1,041
Total Other Assets 10,857 10,902 10,947 10,993 11,038 11,083 11,128 11,173 11,218 11,263 11,309 11,354 11,105 ... ... ... ... ... ... ... ... ... ... ... ... ...
Accrued Interest Receivable 0 0 0 0 0 0 0 0 0 0 0 0 0 Unrealized G/L on Securities 0 0 0 0 0 0 0 0 0 0 0 0 0
TOTAL ASSETS 124,672 125,295 125,904 126,452 127,196 128,012 128,492 129,074 129,832 130,239 130,930 131,574 128,139 ... ... ... ... ... ... ... ... ... ... ... ... ... LIABILITIES ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 31,860 31,992 32,125 32,258 32,390 32,523 32,656 32,789 32,921 33,054 33,187 33,319 32,590 NOW 44,206 44,390 44,575 44,759 44,943 45,127 45,311 45,495 45,679 45,864 46,048 46,232 45,219 MMDA 0 0 0 0 0 0 0 0 0 0 0 0 0 MM IRA 0 0 0 0 0 0 0 0 0 0 0 0 0 Savings 11,334 11,381 11,429 11,476 11,523 11,570 11,617 11,665 11,712 11,759 11,806 11,854 11,594
Total Non Maturity Deposits 87,400 87,764 88,128 88,492 88,856 89,221 89,584 89,949 90,313 90,677 91,042 91,405 89,402 ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 11,707 11,747 11,784 11,854 11,896 11,952 11,992 12,055 12,193 12,142 12,181 12,258 11,980
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 32 of 117
Monthly Projections
As of March 31, 2003
Average Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
CD's $100M+ 6,336 6,357 6,369 6,289 6,433 6,641 6,531 6,503 6,578 6,491 6,602 6,634 6,480 Variable IRA 0 0 0 0 0 0 0 0 0 0 0 0 0 IRA's < $100M 0 0 0 0 0 0 0 0 0 0 0 0 0 IRA's $100M+ 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Time Deposits 18,043 18,104 18,153 18,143 18,329 18,593 18,523 18,557 18,771 18,632 18,784 18,893 18,460 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Deposit Amounts 885 888 892 896 899 903 907 910 914 918 922 925 905 Total Deposits 106,328 106,756 107,173 107,531 108,085 108,717 109,014 109,417 109,997 110,227 110,747 111,223 108,768
... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Floating 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Short Term 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Long Term 6,584 6,611 6,638 6,666 6,693 6,721 6,748 6,775 6,803 6,830 6,857 6,885 6,734 Other Borrowings 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Borrowings 6,584 6,611 6,638 6,666 6,693 6,721 6,748 6,775 6,803 6,830 6,857 6,885 6,734 ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 F.F. Purch. (Bal.) 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 2,196 2,205 2,214 2,223 2,232 2,241 2,250 2,260 2,269 2,278 2,287 2,296 2,246 Accrued Interest Payable 0 0 0 0 0 0 0 0 0 0 0 0 0
TOTAL LIABILITIES 115,107 115,572 116,025 116,420 117,010 117,679 118,013 118,451 119,069 119,335 119,891 120,403 117,748 ... ... ... ... ... ... ... ... ... ... ... ... ... EQUITY ... ... ... ... ... ... ... ... ... ... ... ... ... Common Stock 500 500 500 500 500 500 500 500 500 500 500 500 500 Surplus 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 Securities Gains/Losses 0 0 0 0 0 0 0 0 0 0 0 0 0 Retained Earnings 7,565 7,722 7,879 8,032 8,185 8,333 8,479 8,622 8,763 8,905 9,039 9,171 8,391 Other Comprehensive Income ... ... ... ... ... ... ... ... ... ... ... ... ... Unrealized G/L on Sec (Equity) 0 0 0 0 0 0 0 0 0 0 0 0 0 Adjustment for Securities Sold 0 0 0 0 0 0 0 0 0 0 0 0 0 G/L on Derivatives (Equity) 0 0 0 0 0 0 0 0 0 0 0 0 0 Adjustment for Derivatives Sold 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Other Comprehensive Income 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EQUITY 9,565 9,722 9,879 10,032 10,185 10,333 10,479 10,622 10,763 10,905 11,039 11,171 10,391
... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 33 of 117
Monthly Projections
As of March 31, 2003
Average Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
TOTAL LIABS & EQUITY 124,672 125,295 125,904 126,452 127,196 128,012 128,492 129,074 129,832 130,239 130,930 131,574 128,139 OFF BALANCE SHEET ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL OFF BALANCE SHEET 0 0 0 0 0 0 0 0 0 0 0 0 0
... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EARNING ASSETS 120,638 121,245 121,837 122,369 123,095 123,895 124,358 124,923 125,664 126,055 126,729 127,357 124,014 TOTAL INT BEARING LIABS 114,222 114,684 115,133 115,524 116,111 116,776 117,106 117,541 118,155 118,417 118,970 119,478 116,843
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 34 of 117
Ending Balance Sheet Flat
Monthly Projections
As of March 31, 2003
Ending Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
ASSETS ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 3,902 3,918 3,934 3,951 3,967 3,983 3,999 4,015 4,032 4,048 4,064 4,080 ... Commercial Variable Prime 5,894 5,919 5,943 5,968 5,992 6,017 6,041 6,066 6,090 6,115 6,139 6,164 ... Commercial Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial Variable Fed Funds 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial Adj Qtrly Prime 140 140 141 141 142 143 143 144 144 145 145 146 ... Commercial Adj 1/1 Prime 131 132 132 133 133 134 134 135 136 136 137 137 ... Commercial Adj 1/1 UST 12 12 12 12 12 12 12 12 12 13 13 13 ... Commercial Adj 2/2 UST 13 13 13 13 13 13 13 13 13 13 13 13 ... Commercial Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial Adj 5/5 Prime 1,185 1,190 1,195 1,200 1,205 1,210 1,214 1,219 1,224 1,229 1,234 1,239 ... Commercial Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Commercial 11,277 11,324 11,371 11,417 11,464 11,511 11,558 11,605 11,651 11,698 11,745 11,792 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 8,333 8,367 8,402 8,437 8,471 8,506 8,540 8,575 8,610 8,644 8,679 8,713 ... Commercial RE Variable Prime 9,979 10,020 10,061 10,103 10,144 10,186 10,227 10,268 10,310 10,351 10,393 10,434 ... Commercial RE Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial RE Variable UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial RE Adj Qtrly Prime 348 350 351 353 354 356 357 359 360 361 363 364 ... Commercial RE Adj Qtrly Libor 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial RE Adj 1/1 Prime 2,824 2,836 2,848 2,860 2,871 2,883 2,895 2,906 2,918 2,930 2,942 2,953 ... Commercial RE Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial RE Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial RE Adj 5/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Commercial RE Adj 3/3 Prime 382 383 385 386 388 390 391 393 394 396 397 399 ... Commercial RE Adj 5/5 Prime 9,777 9,818 9,858 9,899 9,939 9,980 10,021 10,061 10,102 10,142 10,183 10,223 ... Commercial RE Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Commercial Real Estate 31,643 31,774 31,906 32,037 32,168 32,300 32,431 32,562 32,694 32,825 32,956 33,087 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 650 653 655 658 661 663 666 669 672 674 677 680 ... Construction Variable Prime 965 969 973 977 981 985 989 993 997 1,001 1,005 1,009 ... Construction Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 ... Construction Variable UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Construction Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Construction Adj Qtrly Libor 0 0 0 0 0 0 0 0 0 0 0 0 ... Construction Adj 1/1 Prime 1,034 1,038 1,043 1,047 1,051 1,056 1,060 1,064 1,069 1,073 1,077 1,081 ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 35 of 117
Monthly Projections
As of March 31, 2003
Ending Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
Construction Adj 1/1 UST 279 281 282 283 284 285 286 288 289 290 291 292 ... Construction Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Construction Adj 5/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Construction Adj 5/5 Prime 406 407 409 411 412 414 416 418 419 421 423 424 ... Construction Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Construction 3,334 3,348 3,362 3,375 3,389 3,403 3,417 3,431 3,445 3,458 3,472 3,486 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 22 22 22 22 22 22 22 22 22 22 22 23 ... Commercial TE Adj 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Commercial Tax Exempt 22 22 22 22 22 22 22 22 22 22 22 23 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 292 293 294 295 297 298 299 300 301 303 304 305 ... Agricultural Variable Prime 4,117 4,134 4,151 4,168 4,185 4,202 4,219 4,236 4,253 4,270 4,287 4,304 ... Agricultural Adj 1/1 Prime 67 67 67 68 68 68 69 69 69 69 70 70 ...
Total Agricultural Loans 4,475 4,494 4,512 4,531 4,549 4,568 4,587 4,605 4,624 4,642 4,661 4,679 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 10,685 10,729 10,773 10,818 10,862 10,906 10,951 10,995 11,039 11,084 11,128 11,172 ... Mortgage Variable Prime 2,710 2,721 2,732 2,744 2,755 2,766 2,777 2,789 2,800 2,811 2,822 2,834 ... Mortgage Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Mortgage ARM 1/1 Prime 3 3 3 3 3 3 3 3 3 3 3 3 ... Mortgage ARM 1/1 UST 407 409 411 412 414 416 417 419 421 422 424 426 ... Mortgage ARM 3/1 UST 974 978 982 986 991 995 999 1,003 1,007 1,011 1,015 1,019 ... Mortgage ARM 3/3 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Mortgage ARM 3/3 UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Mortgage ARM 5/1 UST 332 333 334 336 337 338 340 341 343 344 345 347 ... Mortgage ARM 5/5 Prime 1,279 1,284 1,289 1,295 1,300 1,305 1,311 1,316 1,321 1,326 1,332 1,337 ... Mortgage ARM 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Mortgage ARM 7/1 UST 1,230 1,235 1,240 1,245 1,250 1,255 1,260 1,266 1,271 1,276 1,281 1,286 ... Mortgage ARM 10/10 UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Mtg Loans for Sale 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Mortgage 17,619 17,692 17,765 17,838 17,912 17,985 18,058 18,131 18,204 18,277 18,350 18,423 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 2,966 2,978 2,990 3,003 3,015 3,027 3,040 3,052 3,064 3,076 3,089 3,101 ... Consumer Variable Prime 106 106 107 107 108 108 108 109 109 110 110 111 ... Consumer Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Consumer Adj Semi-Annual UST 11 11 11 11 11 11 11 11 12 12 12 12 ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 36 of 117
Monthly Projections
As of March 31, 2003
Ending Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
Consumer Adj 1/1 Prime 7 7 7 7 7 7 7 7 7 7 7 7 ... Consumer Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 ... Consumer Adj 3/3 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Consumer Adj 5/5 Prime 100 100 101 101 102 102 102 103 103 104 104 105 ...
Total Consumer 3,190 3,203 3,216 3,229 3,243 3,256 3,269 3,282 3,295 3,309 3,322 3,335 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 1,158 1,163 1,168 1,172 1,177 1,182 1,187 1,192 1,196 1,201 1,206 1,211 ... Home Equity Variable Prime 7,329 7,359 7,390 7,420 7,450 7,481 7,511 7,542 7,572 7,602 7,633 7,663 ... Home Equity Adj Sem-Annually 0 0 0 0 0 0 0 0 0 0 0 0 ... Home Equity ARM 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Home Equity ARM 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ... Home Equity ARM 5/5 Prime 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Home Equity 8,487 8,522 8,557 8,592 8,628 8,663 8,698 8,733 8,768 8,804 8,839 8,874 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 91 91 92 92 93 93 93 94 94 95 95 95 ... Other Loans Variable Prime 178 178 179 180 180 181 182 183 183 184 185 186 ... Credit Cards 0 0 0 0 0 0 0 0 0 0 0 0 ... Credit Cards Adustable Semi-Ann 0 0 0 0 0 0 0 0 0 0 0 0 ... Overdrafts 0 0 0 0 0 0 0 0 0 0 0 0 ... Nonaccrual Loans 0 0 0 0 0 0 0 0 0 0 0 0 ... Charged Off Loans 0 0 0 0 0 0 0 0 0 0 0 0 ... Unearned Disc. & Oth. 1,093 1,097 1,102 1,107 1,111 1,116 1,120 1,125 1,129 1,134 1,138 1,143 ...
Total Other Loans 1,362 1,367 1,373 1,378 1,384 1,390 1,395 1,401 1,407 1,412 1,418 1,424 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Loss Reserve (769) (772) (775) (778) (782) (785) (788) (791) (794) (798) (801) (804) ... Total Loans 80,639 80,974 81,308 81,643 81,977 82,312 82,647 82,981 83,316 83,650 83,985 84,320 ...
... ... ... ... ... ... ... ... ... ... ... ... ... Investments ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 50 50 51 51 51 51 51 52 52 52 52 52 ... Agencies Callable 1,004 1,008 1,013 1,017 1,021 1,025 1,029 1,033 1,038 1,042 1,046 1,050 ... Agencies Stuctured 0 0 0 0 0 0 0 0 0 0 0 0 ... Agencies 0 0 0 0 0 0 0 0 0 0 0 0 ... Callable Certificates of Deposit 0 0 0 0 0 0 0 0 0 0 0 0 ... Certificates of Deposit 0 0 0 0 0 0 0 0 0 0 0 0 ... Structured CDs 0 0 0 0 0 0 0 0 0 0 0 0 ... FNMA FHLMC 6 MO ARMs 0 0 0 0 0 0 0 0 0 0 0 0 ... FNMA FHLMC 1 YR ARMs 0 0 0 0 0 0 0 0 0 0 0 0 ... GNMA ARMs 0 0 0 0 0 0 0 0 0 0 0 0 ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 37 of 117
Monthly Projections
As of March 31, 2003
Ending Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
CMO Fixed 6,062 6,088 6,113 6,138 6,163 6,188 6,213 6,238 6,264 6,289 6,314 6,339 ... CMO Variable 0 0 0 0 0 0 0 0 0 0 0 0 ... MBS 16,780 16,849 16,919 16,989 17,058 17,128 17,197 17,267 17,337 17,406 17,476 17,546 ... Corporates 516 518 520 522 524 526 529 531 533 535 537 539 ... Municipals 3,733 3,749 3,764 3,780 3,795 3,811 3,826 3,842 3,857 3,873 3,888 3,904 ... Callable Municipals 539 539 539 464 464 464 464 464 464 464 464 464 ... Tax Exempt Municipals 0 0 0 0 0 0 0 0 0 0 0 0 ... Money Market Investments 0 0 0 0 0 0 0 0 0 0 0 0 ... Equity Securities 0 0 0 0 0 0 0 0 0 0 0 0 ... Other Investments 560 563 565 567 569 572 574 576 579 581 583 586 ...
Total Investments 29,245 29,364 29,483 29,527 29,647 29,766 29,885 30,004 30,123 30,242 30,361 30,480 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 0 0 0 0 0 0 0 0 0 0 0 0 ... F.F. Sold (Bal.) 4,385 4,525 4,658 4,868 5,001 5,125 5,253 5,372 5,495 5,616 5,725 5,841 ...
Total Funds Sold 4,385 4,525 4,658 4,868 5,001 5,125 5,253 5,372 5,495 5,616 5,725 5,841 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 6,838 6,867 6,895 6,923 6,952 6,980 7,008 7,037 7,065 7,094 7,122 7,150 ... Fixed Assets 3,022 3,035 3,047 3,060 3,072 3,085 3,097 3,110 3,122 3,135 3,147 3,160 ... Other Real Estate Owned 0 0 0 0 0 0 0 0 0 0 0 0 ... Other Non Earning Assets 1,020 1,024 1,028 1,032 1,036 1,041 1,045 1,049 1,053 1,058 1,062 1,066 ...
Total Other Assets 10,880 10,925 10,970 11,015 11,060 11,105 11,151 11,196 11,241 11,286 11,331 11,376 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Accrued Interest Receivable 0 0 0 0 0 0 0 0 0 0 0 0 ... Unrealized G/L on Securities 0 0 0 0 0 0 0 0 0 0 0 0 ...
TOTAL ASSETS 125,149 125,788 126,420 127,054 127,685 128,308 128,935 129,553 130,175 130,795 131,402 132,017 ... ... ... ... ... ... ... ... ... ... ... ... ... ... LIABILITIES ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 31,988 32,121 32,253 32,386 32,519 32,652 32,784 32,917 33,050 33,182 33,315 33,448 ... NOW 44,384 44,568 44,753 44,937 45,121 45,305 45,489 45,673 45,858 46,042 46,226 46,410 ... MMDA 0 0 0 0 0 0 0 0 0 0 0 0 ... MM IRA 0 0 0 0 0 0 0 0 0 0 0 0 ... Savings 11,380 11,427 11,474 11,521 11,569 11,616 11,663 11,710 11,758 11,805 11,852 11,899 ...
Total Non Maturity Deposits 87,752 88,116 88,480 88,844 89,208 89,573 89,937 90,301 90,665 91,029 91,393 91,757 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 11,728 11,777 11,826 11,874 11,923 11,972 12,020 12,069 12,118 12,166 12,215 12,264 ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 38 of 117
Monthly Projections
As of March 31, 2003
Ending Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
CD's $100M+ 6,342 6,368 6,394 6,421 6,447 6,473 6,500 6,526 6,552 6,579 6,605 6,631 ... Variable IRA 0 0 0 0 0 0 0 0 0 0 0 0 ... IRA's < $100M 0 0 0 0 0 0 0 0 0 0 0 0 ... IRA's $100M+ 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Time Deposits 18,070 18,145 18,220 18,295 18,370 18,445 18,520 18,595 18,670 18,745 18,820 18,895 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Deposit Amounts 887 890 894 898 901 905 909 912 916 920 923 927 ... Total Deposits 106,709 107,152 107,594 108,037 108,480 108,923 109,365 109,808 110,251 110,694 111,137 111,579 ...
... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 0 0 0 0 0 0 0 0 0 0 0 0 ... FHLB Floating 0 0 0 0 0 0 0 0 0 0 0 0 ... FHLB Short Term 0 0 0 0 0 0 0 0 0 0 0 0 ... FHLB Long Term 6,597 6,625 6,652 6,680 6,707 6,734 6,762 6,789 6,816 6,844 6,871 6,899 ... Other Borrowings 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Borrowings 6,597 6,625 6,652 6,680 6,707 6,734 6,762 6,789 6,816 6,844 6,871 6,899 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 ... F.F. Purch. (Bal.) 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 2,200 2,209 2,218 2,228 2,237 2,246 2,255 2,264 2,273 2,282 2,291 2,301 ... Accrued Interest Payable 0 0 0 0 0 0 0 0 0 0 0 0 ...
TOTAL LIABILITIES 115,506 115,986 116,465 116,944 117,423 117,903 118,382 118,861 119,341 119,820 120,299 120,778 ... ... ... ... ... ... ... ... ... ... ... ... ... ... EQUITY ... ... ... ... ... ... ... ... ... ... ... ... ... Common Stock 500 500 500 500 500 500 500 500 500 500 500 500 ... Surplus 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 1,500 ... Securities Gains/Losses 0 0 0 0 0 0 0 0 0 0 0 0 ... Retained Earnings 7,642 7,803 7,955 8,109 8,261 8,406 8,553 8,692 8,834 8,975 9,103 9,239 ... Other Comprehensive Income ... ... ... ... ... ... ... ... ... ... ... ... ... Unrealized G/L on Sec (Equity) 0 0 0 0 0 0 0 0 0 0 0 0 ... Adjustment for Securities Sold 0 0 0 0 0 0 0 0 0 0 0 0 ... G/L on Derivatives (Equity) 0 0 0 0 0 0 0 0 0 0 0 0 ... Adjustment for Derivatives Sold 0 0 0 0 0 0 0 0 0 0 0 0 ...
Total Other Comprehensive Income 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EQUITY 9,642 9,803 9,955 10,109 10,261 10,406 10,553 10,692 10,834 10,975 11,103 11,239 ...
... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 39 of 117
Monthly Projections
As of March 31, 2003
Ending Balance Sheet
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
TOTAL LIABS & EQUITY 125,149 125,788 126,420 127,054 127,685 128,308 128,935 129,553 130,175 130,795 131,402 132,017 ... OFF BALANCE SHEET ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL OFF BALANCE SHEET 0 0 0 0 0 0 0 0 0 0 0 0 ...
... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EARNING ASSETS 121,107 121,730 122,345 122,962 123,576 124,183 124,793 125,394 125,999 126,602 127,193 127,791 ... TOTAL INT BEARING LIABS 114,620 115,095 115,571 116,047 116,522 116,998 117,473 117,949 118,425 118,900 119,376 119,851 ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 40 of 117
Average Yield Report Flat
Monthly Projections
As of March 31, 2003
Average Yield Report
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
ASSETS ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 7.81 7.75 7.62 7.52 7.40 7.30 7.22 7.13 7.05 6.97 6.90 6.83 7.30 Commercial Variable Prime 4.99 4.99 5.01 5.03 5.05 5.06 5.07 5.09 5.09 5.11 5.12 5.13 5.07 Commercial Variable Libor 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial Variable Fed Funds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial Adj Qtrly Prime 4.15 6.21 6.16 6.11 6.06 6.02 5.97 5.92 5.88 5.83 5.79 5.75 5.84 Commercial Adj 1/1 Prime 6.73 6.69 6.66 6.30 6.14 6.12 6.10 6.09 6.07 6.05 6.03 6.01 6.26 Commercial Adj 1/1 UST 3.48 3.47 3.45 3.44 3.42 2.98 2.86 2.85 2.84 2.83 2.81 2.38 3.07 Commercial Adj 2/2 UST 4.28 4.29 4.29 4.30 4.31 4.32 4.33 4.34 4.34 4.35 4.36 4.37 4.33 Commercial Adj 5/1 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial Adj 5/5 Prime 7.84 7.78 7.71 7.65 7.59 7.53 7.47 7.41 7.36 7.30 7.25 7.20 7.52 Commercial Adj 5/5 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ...
Total Commercial 6.27 6.27 6.23 6.19 6.15 6.12 6.09 6.06 6.03 6.00 5.97 5.95 6.12 ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 7.35 7.34 7.32 7.29 7.27 7.25 7.23 7.21 7.19 7.16 7.14 7.09 7.25 Commercial RE Variable Prime 5.38 5.35 5.35 5.35 5.35 5.35 5.35 5.35 5.35 5.35 5.35 5.35 5.36 Commercial RE Variable Libor 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial RE Variable UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial RE Adj Qtrly Prime 5.99 5.97 5.94 5.92 5.89 5.85 5.82 5.80 5.78 5.75 5.73 5.69 5.85 Commercial RE Adj Qtrly Libor 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial RE Adj 1/1 Prime 5.70 5.69 5.67 5.65 5.35 5.17 5.17 5.15 5.13 5.13 5.13 5.04 5.34 Commercial RE Adj 1/1 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial RE Adj 5/1 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial RE Adj 5/1 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Commercial RE Adj 3/3 Prime 6.74 6.70 6.67 6.63 6.60 6.57 6.53 6.50 6.46 6.43 6.39 6.36 6.56 Commercial RE Adj 5/5 Prime 7.74 7.69 7.64 7.59 7.51 7.43 7.36 7.29 7.25 7.20 7.16 7.12 7.43 Commercial RE Adj 5/5 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ...
Total Commercial Real Estate 6.68 6.65 6.63 6.60 6.54 6.50 6.47 6.44 6.42 6.40 6.38 6.34 6.52 ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 6.44 6.42 6.40 6.38 6.36 6.34 6.32 6.30 6.28 6.27 6.25 6.23 6.35 Construction Variable Prime 4.95 4.95 4.95 4.95 4.95 4.94 4.94 4.94 4.93 4.93 4.93 4.93 4.95 Construction Variable Libor 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Construction Variable UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Construction Adj Qtrly Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Construction Adj Qtrly Libor 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Construction Adj 1/1 Prime 5.25 5.25 5.25 5.25 5.25 5.25 5.25 5.25 5.25 5.25 5.25 5.25 5.26
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 41 of 117
Monthly Projections
As of March 31, 2003
Average Yield Report
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
Construction Adj 1/1 UST 7.67 7.60 7.54 7.47 7.41 7.35 7.29 6.38 6.34 6.30 5.46 5.00 6.82 Construction Adj 5/1 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Construction Adj 5/1 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Construction Adj 5/5 Prime 8.49 8.40 8.32 8.24 8.17 8.09 8.02 7.95 7.88 7.81 7.74 7.67 8.08 Construction Adj 5/5 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ...
Total Construction 5.99 5.97 5.95 5.93 5.91 5.90 5.88 5.79 5.77 5.75 5.67 5.62 5.86 ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 6.20 5.83 5.00 4.87 4.69 4.06 4.01 3.87 3.27 3.24 3.14 2.57 4.23 Commercial TE Adj 1/1 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ...
Total Commercial Tax Exempt 6.20 5.83 5.00 4.87 4.69 4.06 4.01 3.87 3.27 3.24 3.14 2.57 4.23 ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 5.89 5.87 5.86 5.85 5.81 5.79 5.80 5.79 5.78 5.77 5.73 5.92 5.83 Agricultural Variable Prime 4.62 4.62 4.60 4.58 4.57 4.56 4.55 4.54 4.51 4.48 4.48 4.47 4.56 Agricultural Adj 1/1 Prime 6.70 6.67 6.65 6.57 6.49 6.14 6.13 6.11 6.10 6.05 6.05 6.03 6.32
Total Agricultural Loans 4.73 4.73 4.71 4.69 4.68 4.66 4.65 4.65 4.62 4.59 4.58 4.59 4.67 ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 6.39 6.39 6.38 6.37 6.36 6.35 6.34 6.33 6.32 6.31 6.30 6.29 6.35 Mortgage Variable Prime 5.14 5.12 5.12 5.12 5.12 5.12 5.12 5.10 5.09 5.09 5.09 5.09 5.11 Mortgage Adj Qtrly Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Mortgage ARM 1/1 Prime 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 Mortgage ARM 1/1 UST 6.97 6.94 6.39 6.37 6.34 6.32 6.29 6.27 6.25 6.22 6.15 4.15 6.21 Mortgage ARM 3/1 UST 7.24 7.20 7.16 7.12 7.08 7.04 5.74 3.62 3.63 3.64 3.65 3.63 5.54 Mortgage ARM 3/3 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Mortgage ARM 3/3 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Mortgage ARM 5/1 UST 7.60 7.56 7.53 7.49 7.46 7.43 7.40 7.36 7.33 7.30 6.14 6.12 7.22 Mortgage ARM 5/5 Prime 7.04 7.02 7.00 6.98 6.96 6.93 6.91 6.89 6.84 6.81 6.80 6.78 6.91 Mortgage ARM 5/5 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Mortgage ARM 7/1 UST 7.57 7.53 7.49 7.45 7.41 7.37 7.33 7.29 7.25 7.22 7.18 7.14 7.35 Mortgage ARM 10/10 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Mtg Loans for Sale 5.90 5.90 5.90 5.90 5.90 5.90 5.90 5.90 5.90 5.90 5.90 5.90 ...
Total Mortgage 6.41 6.40 6.37 6.36 6.35 6.33 6.25 6.12 6.10 6.09 6.06 6.00 6.24 ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 8.21 8.21 8.22 8.21 8.19 8.17 8.15 8.14 8.12 8.10 8.09 8.07 8.16 Consumer Variable Prime 3.88 3.89 3.89 3.90 3.90 3.90 3.91 3.91 3.91 3.92 3.92 3.92 3.90 Consumer Adj Qtrly Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Consumer Adj Semi-Annual UST 3.23 3.17 3.11 3.04 2.98 2.83 1.97 1.94 1.91 1.88 1.85 1.82 2.47
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 42 of 117
Monthly Projections
As of March 31, 2003
Average Yield Report
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
Consumer Adj 1/1 Prime 5.78 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 5.75 Consumer Adj 1/1 UST 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Consumer Adj 3/3 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Consumer Adj 5/5 Prime 7.03 7.01 6.99 6.97 6.95 6.93 6.91 6.89 6.87 6.85 6.84 6.82 6.92
Total Consumer 8.01 8.00 8.02 8.00 7.99 7.97 7.94 7.93 7.91 7.90 7.88 7.87 7.95 ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 7.65 7.45 7.31 7.17 7.04 6.92 6.79 6.68 6.56 6.45 6.34 6.23 6.88 Home Equity Variable Prime 4.77 4.77 4.77 4.77 4.77 4.77 4.77 4.77 4.77 4.77 4.77 4.77 4.77 Home Equity Adj Sem-Annually 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Home Equity ARM 1/1 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Home Equity ARM 5/1 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Home Equity ARM 5/5 Prime 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ...
Total Home Equity 5.16 5.14 5.12 5.10 5.08 5.07 5.05 5.03 5.02 5.00 4.99 4.97 5.06 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 7.95 7.95 7.95 7.95 7.95 7.95 7.95 7.95 7.95 7.95 7.95 7.95 7.95 Other Loans Variable Prime 6.52 6.52 6.53 6.53 6.54 6.54 6.54 6.55 6.55 6.56 6.56 6.57 6.56 Credit Cards 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 ... Credit Cards Adustable Semi-Ann 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Overdrafts 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 ... Unearned Disc. & Oth. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total Other Loans 1.38 1.38 1.39 1.39 1.39 1.39 1.39 1.39 1.39 1.39 1.39 1.39 1.39 ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Loss Reserve 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Total Loans 6.30 6.28 6.25 6.23 6.20 6.16 6.13 6.08 6.06 6.04 6.01 5.98 6.15
... ... ... ... ... ... ... ... ... ... ... ... ... Investments ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 0.90 1.93 1.93 1.93 1.93 1.93 1.93 1.93 1.93 1.93 1.93 1.93 1.85 Agencies Callable 0.01 0.02 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.10 0.11 0.06 Agencies Stuctured 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Agencies 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Callable Certificates of Deposit 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Certificates of Deposit 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Structured CDs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... FNMA FHLMC 6 MO ARMs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... FNMA FHLMC 1 YR ARMs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... GNMA ARMs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... CMO Fixed 5.35 5.21 5.08 4.96 4.84 4.72 4.61 4.50 4.40 4.29 4.20 4.10 4.68 CMO Variable 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 43 of 117
Monthly Projections
As of March 31, 2003
Average Yield Report
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
MBS 5.71 5.61 5.51 5.41 5.32 5.23 5.14 5.06 4.98 4.90 4.82 4.74 5.20 Corporates 7.61 7.59 7.57 7.54 7.52 7.50 7.47 7.45 7.43 7.41 7.39 7.36 7.61 Municipals 5.00 4.99 4.99 4.98 4.97 4.96 4.95 4.94 4.93 4.93 4.92 4.91 4.96 Callable Municipals 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Tax Exempt Municipals 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... Money Market Investments 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 ... Equity Securities 4.14 4.14 4.14 4.14 4.14 4.14 4.14 4.14 4.14 4.14 4.14 4.14 ... Other Investments 0.64 1.27 1.27 1.27 1.27 1.27 1.27 1.27 1.27 1.27 1.27 1.27 1.22
Total Investments 5.17 5.10 5.01 4.94 4.87 4.79 4.72 4.64 4.57 4.51 4.44 4.38 4.76 ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 F.F. Sold (Bal.) 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.24
Total Funds Sold 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.24 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total Other Assets 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL ASSETS 5.32 5.28 5.25 5.21 5.16 5.12 5.08 5.03 4.99 4.97 4.93 4.89 5.11
... ... ... ... ... ... ... ... ... ... ... ... ... LIABILITIES ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 NOW 1.15 1.15 1.15 1.15 1.15 1.15 1.15 1.15 1.15 1.15 1.15 1.15 1.15 MMDA 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 ... MM IRA 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 ... Savings 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50
Total Non Maturity Deposits 0.64 0.64 0.64 0.64 0.64 0.64 0.64 0.64 0.64 0.64 0.64 0.64 0.65 ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 1.89 1.91 1.97 2.18 2.16 2.15 2.16 2.18 2.19 2.21 2.23 2.26 2.13 CD's $100M+ 2.00 1.91 1.88 1.98 2.00 2.00 1.95 1.94 1.95 1.99 2.02 2.03 1.98 Variable IRA 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... IRA's < $100M 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... IRA's $100M+ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ...
Total Time Deposits 1.93 1.91 1.94 2.11 2.10 2.10 2.09 2.10 2.11 2.13 2.15 2.18 2.08 ... ... ... ... ... ... ... ... ... ... ... ... ...
Total Deposits 0.86 0.85 0.86 0.89 0.89 0.89 0.88 0.89 0.89 0.89 0.90 0.90 0.88
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 44 of 117
Monthly Projections
As of March 31, 2003
Average Yield Report
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 1.35 1.35 1.35 1.35 1.35 1.35 1.35 1.35 1.35 1.35 1.35 1.35 ... FHLB Floating 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 ... FHLB Short Term 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... FHLB Long Term 4.84 4.83 4.82 4.81 4.80 4.79 4.78 4.77 4.76 4.75 4.74 4.73 4.80 Other Borrowings 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ...
Total Borrowings 4.84 4.83 4.82 4.81 4.80 4.79 4.78 4.77 4.76 4.75 4.74 4.73 4.80 ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 ... F.F. Purch. (Bal.) 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 1.28 ...
Total Funds Purchased 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 TOTAL LIABILITIES 1.07 1.07 1.07 1.09 1.09 1.09 1.09 1.09 1.09 1.10 1.10 1.10 1.09
... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EARNING ASSETS 5.49 5.46 5.42 5.39 5.34 5.29 5.25 5.19 5.16 5.13 5.09 5.05 5.28 TOTAL INT BEARING LIABS 1.08 1.07 1.08 1.10 1.10 1.10 1.10 1.10 1.10 1.10 1.11 1.11 1.10
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 45 of 117
Economic Value Flat
Monthly Projections As of March 31, 2003
Economic Value Flat Rate Forcast Economic Value Book Value Gain/Loss
Assets ... ... ...Loans ... ... ...Commercial ... ... ...Commercial Fixed 4,026 3,886 140Commercial Variable Prime 5,869 5,870 (1)Commercial Variable Libor 0 0 0Commercial Variable Fed Funds 0 0 0Commercial Adj Qtrly Prime 139 139 0Commercial Adj 1/1 Prime 131 131 1Commercial Adj 1/1 UST 6 12 (6)Commercial Adj 2/2 UST 13 13 0Commercial Adj 5/1 Prime 0 0 0Commercial Adj 5/5 Prime 1,244 1,180 64Commercial Adj 5/5 UST 0 0 0
Total Commercial 11,429 11,230 199 ... ... ...
Commercial Real Estate ... ... ...Commercial RE Fixed 8,522 8,298 223Commercial RE Variable Prime 9,937 9,937 0Commercial RE Variable Libor 0 0 0Commercial RE Variable UST 0 0 0Commercial RE Adj Qtrly Prime 347 347 0Commercial RE Adj Qtrly Libor 0 0 0Commercial RE Adj 1/1 Prime 2,819 2,813 6Commercial RE Adj 1/1 UST 0 0 0Commercial RE Adj 5/1 Prime 0 0 0Commercial RE Adj 5/1 UST 0 0 0Commercial RE Adj 3/3 Prime 401 380 21Commercial RE Adj 5/5 Prime 10,258 9,737 521Commercial RE Adj 5/5 UST 0 0 0
Total Commercial Real Estate 32,284 31,512 772 ... ... ...
Construction ... ... ...Construction Fixed 635 647 (12)Construction Variable Prime 961 961 0Construction Variable Libor 0 0 0Construction Variable UST 0 0 0Construction Adj Qtrly Prime 0 0 0Construction Adj Qtrly Libor 0 0 0Construction Adj 1/1 Prime 1,030 1,030 0Construction Adj 1/1 UST 285 278 7Construction Adj 5/1 Prime 0 0 0Construction Adj 5/1 UST 0 0 0Construction Adj 5/5 Prime 435 404 31Construction Adj 5/5 UST 0 0 0
Total Construction 3,345 3,320 25 ... ... ...
Commercial Tax Exempt ... ... ...Commercial TE Fixed 22 22 1Commercial TE Adj 1/1 Prime 0 0 0
Total Commercial Tax Exempt 22 22 1 ... ... ...
Agricultural Loans ... ... ...Agricultural Fixed 293 291 2
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 46 of 117
Monthly Projections As of March 31, 2003
Economic Value Flat Rate Forcast Economic Value Book Value Gain/Loss
Agricultural Variable Prime 4,100 4,099 0Agricultural Adj 1/1 Prime 67 67 0
Total Agricultural Loans 4,459 4,457 3 ... ... ...
Mortgage ... ... ...Mortgage Fixed 10,782 10,640 142Mortgage Variable Prime 2,699 2,699 0Mortgage Adj Qtrly Prime 0 0 0Mortgage ARM 1/1 Prime 3 3 0Mortgage ARM 1/1 UST 415 405 9Mortgage ARM 3/1 UST 987 970 16Mortgage ARM 3/3 Prime 0 0 0Mortgage ARM 3/3 UST 0 0 0Mortgage ARM 5/1 UST 344 330 14Mortgage ARM 5/5 Prime 1,314 1,273 40Mortgage ARM 5/5 UST 0 0 0Mortgage ARM 7/1 UST 1,313 1,225 89Mortgage ARM 10/10 UST 0 0 0Mtg Loans for Sale 0 0 0
Total Mortgage 17,857 17,546 311 ... ... ...
Consumer ... ... ...Consumer Fixed 2,962 2,953 8Consumer Variable Prime 105 105 0Consumer Adj Qtrly Prime 0 0 0Consumer Adj Semi-Annual UST 11 11 0Consumer Adj 1/1 Prime 7 7 0Consumer Adj 1/1 UST 0 0 0Consumer Adj 3/3 Prime 0 0 0Consumer Adj 5/5 Prime 103 100 3
Total Consumer 3,188 3,176 12 ... ... ...
Home Equity ... ... ...Home Equity Fixed 1,280 1,153 127Home Equity Variable Prime 7,298 7,298 0Home Equity Adj Sem-Annually 0 0 0Home Equity ARM 1/1 Prime 0 0 0Home Equity ARM 5/1 Prime 0 0 0Home Equity ARM 5/5 Prime 0 0 0
Total Home Equity 8,578 8,451 126 ... ... ...
Other Loans ... ... ...Other Fixed Loans 91 91 0Other Loans Variable Prime 177 177 0Credit Cards 0 0 0Credit Cards Adustable Semi-Ann 0 0 0Overdrafts 0 0 0Nonaccrual Loans 0 0 0Charged Off Loans 0 0 0Unearned Disc. & Oth. 1,088 1,088 0
Total Other Loans 1,356 1,356 0 ... ... ...
Loan Loss Reserve (766) (766) 0Total Loans 81,753 80,304 1,449
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 47 of 117
Monthly Projections As of March 31, 2003
Economic Value Flat Rate Forcast Economic Value Book Value Gain/Loss
... ... ...Investments ... ... ...US Treasuries 50 50 0Agencies Callable 968 1,000 (32)Agencies Stuctured 0 0 0Agencies 0 0 0Callable Certificates of Deposit 0 0 0Certificates of Deposit 0 0 0Structured CDs 0 0 0FNMA FHLMC 6 MO ARMs 0 0 0FNMA FHLMC 1 YR ARMs 0 0 0GNMA ARMs 0 0 0CMO Fixed 6,283 6,037 246CMO Variable 0 0 0MBS 17,663 16,710 953Corporates 551 514 37Municipals 4,174 3,718 456Callable Municipals 460 539 (79)Tax Exempt Municipals 0 0 0Money Market Investments 0 0 0Equity Securities 0 0 0Other Investments 558 558 0
Total Investments 30,706 29,126 1,580 ... ... ...
Funds Sold ... ... ...Fed Funds Sold 4,249 4,249 0F.F. Sold (Bal.) 0 0 0
Total Funds Sold 4,249 4,249 0 ... ... ...
Other Assets ... ... ...Cash and Due 6,810 6,810 0Fixed Assets 3,010 3,010 0Other Real Estate Owned 0 0 0Other Non Earning Assets 1,015 1,015 0
Total Other Assets 10,835 10,835 0 ... ... ...
Accrued Interest Receivable 0 0 0Unrealized G/L on Securities 0 0 0
Total Assets 127,542 124,514 3,028 ... ... ...Liabilities ... ... ...Deposits ... ... ...Non Maturity Deposits ... ... ...Demand 31,855 31,855 0NOW 44,200 44,200 0MMDA 0 0 0MM IRA 0 0 0Savings 11,333 11,333 0
Total Non Maturity Deposits 87,388 87,388 0 ... ... ...
Time Deposits ... ... ...CD's < $100M 11,726 11,680 46CD's $100M+ 6,337 6,316 22Variable IRA 0 0 0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 48 of 117
Monthly Projections As of March 31, 2003
Economic Value Flat Rate Forcast Economic Value Book Value Gain/Loss
IRA's < $100M 0 0 0IRA's $100M+ 0 0 0
Total Time Deposits 18,063 17,995 68 ... ... ...
Other Deposit Amounts 883 883 0Total Deposits 106,334 106,266 68
... ... ...Borrowings ... ... ...Repo's 0 0 0FHLB Floating 0 0 0FHLB Short Term 0 0 0FHLB Long Term 7,038 6,570 468Other Borrowings 0 0 0
Total Borrowings 7,038 6,570 468 ... ... ...
Funds Purchased ... ... ...Fed Funds Purchased 0 0 0F.F. Purch. (Bal.) 0 0 0
Total Funds Purchased 0 0 0 ... ... ...
Other Liabilities 2,191 2,191 0Accrued Interest Payable 0 0 0
Total Liabilities 115,563 115,027 536 ... ... ...Equity ... ... ...Common Stock 500 500 0Surplus 1,500 1,500 0Securities Gains/Losses 0 0 0Retained Earnings 0 7,487 (7,487)Other Comprehensive Income ... ... ...Unrealized G/L on Sec (Equity) 0 0 0Adjustment for Securities Sold 0 0 0G/L on Derivatives (Equity) 0 0 0Adjustment for Derivatives Sold 0 0 0
Total Other Comprehensive Income 0 0 0 ... ... ...Total Equity 11,979 9,487 2,492
... ... ...TOTAL LIABS & EQUITY ... 124,514 ...Off Balance Sheet ... ... ...Total Off Balance Sheet 0 0 0
... ... ...TOTAL EARNING ASSETS 0 120,489 (120,489)TOTAL INT BEARING LIABS 0 114,144 (114,144)
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 49 of 117
Duration Flat
Monthly Projections As of March 31, 2003
Duration Flat Rate Forcast Macaulay Duration Modified Duration
Assets ... ...Loans ... ...Commercial ... ...Commercial Fixed 1.48 1.40Commercial Variable Prime 0.04 0.04Commercial Variable Libor 0.00 0.00Commercial Variable Fed Funds 0.00 0.00Commercial Adj Qtrly Prime 0.08 0.07Commercial Adj 1/1 Prime 0.26 0.25Commercial Adj 1/1 UST 0.66 0.66Commercial Adj 2/2 UST 0.70 0.67Commercial Adj 5/1 Prime 0.00 0.00Commercial Adj 5/5 Prime 2.30 2.19Commercial Adj 5/5 UST 0.00 0.00
Total Commercial 0.80 0.00 ... ...
Commercial Real Estate ... ...Commercial RE Fixed 2.90 2.72Commercial RE Variable Prime 0.04 0.04Commercial RE Variable Libor 0.00 0.00Commercial RE Variable UST 0.00 0.00Commercial RE Adj Qtrly Prime 0.07 0.06Commercial RE Adj Qtrly Libor 0.00 0.00Commercial RE Adj 1/1 Prime 0.63 0.60Commercial RE Adj 1/1 UST 0.00 0.00Commercial RE Adj 5/1 Prime 0.00 0.00Commercial RE Adj 5/1 UST 0.00 0.00Commercial RE Adj 3/3 Prime 2.19 2.10Commercial RE Adj 5/5 Prime 2.15 2.05Commercial RE Adj 5/5 UST 0.00 0.00
Total Commercial Real Estate 1.55 0.00 ... ...
Construction ... ...Construction Fixed 4.73 4.40Construction Variable Prime 0.04 0.04Construction Variable Libor 0.00 0.00Construction Variable UST 0.00 0.00Construction Adj Qtrly Prime 0.00 0.00Construction Adj Qtrly Libor 0.00 0.00Construction Adj 1/1 Prime 0.92 0.87
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 50 of 117
Monthly Projections As of March 31, 2003
Duration Flat Rate Forcast Macaulay Duration Modified Duration
Construction Adj 1/1 UST 0.70 0.66Construction Adj 5/1 Prime 0.00 0.00Construction Adj 5/1 UST 0.00 0.00Construction Adj 5/5 Prime 2.30 2.18Construction Adj 5/5 UST 0.00 0.00
Total Construction 1.55 0.00 ... ...
Commercial Tax Exempt ... ...Commercial TE Fixed 0.56 0.55Commercial TE Adj 1/1 Prime 0.00 0.00
Total Commercial Tax Exempt 0.56 0.00 ... ...
Agricultural Loans ... ...Agricultural Fixed 2.27 2.13Agricultural Variable Prime 0.05 0.04Agricultural Adj 1/1 Prime 0.38 0.36
Total Agricultural Loans 0.20 0.00 ... ...
Mortgage ... ...Mortgage Fixed 3.36 3.18Mortgage Variable Prime 0.03 0.02Mortgage Adj Qtrly Prime 0.00 0.00Mortgage ARM 1/1 Prime 0.08 0.08Mortgage ARM 1/1 UST 0.73 0.69Mortgage ARM 3/1 UST 0.54 0.51Mortgage ARM 3/3 Prime 0.00 0.00Mortgage ARM 3/3 UST 0.00 0.00Mortgage ARM 5/1 UST 1.28 1.20Mortgage ARM 5/5 Prime 2.74 2.59Mortgage ARM 5/5 UST 0.00 0.00Mortgage ARM 7/1 UST 2.71 2.53Mortgage ARM 10/10 UST 0.00 0.00Mtg Loans for Sale 0.00 0.00
Total Mortgage 2.51 0.00 ... ...
Consumer ... ...Consumer Fixed 1.06 0.98Consumer Variable Prime 0.02 0.02Consumer Adj Qtrly Prime 0.00 0.00Consumer Adj Semi-Annual UST 0.46 0.45
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 51 of 117
Monthly Projections As of March 31, 2003
Duration Flat Rate Forcast Macaulay Duration Modified Duration
Consumer Adj 1/1 Prime 0.01 0.01Consumer Adj 1/1 UST 0.00 0.00Consumer Adj 3/3 Prime 0.00 0.00Consumer Adj 5/5 Prime 2.48 2.34
Total Consumer 1.07 0.00 ... ...
Home Equity ... ...Home Equity Fixed 1.92 1.88Home Equity Variable Prime 0.05 0.05Home Equity Adj Sem-Annually 0.00 0.00Home Equity ARM 1/1 Prime 0.00 0.00Home Equity ARM 5/1 Prime 0.00 0.00Home Equity ARM 5/5 Prime 0.00 0.00
Total Home Equity 0.33 0.00 ... ...
Other Loans ... ...Other Fixed Loans 0.00 0.00Other Loans Variable Prime 0.00 0.00Credit Cards 0.00 0.00Credit Cards Adustable Semi-Ann 0.00 0.00Overdrafts 0.00 0.00Nonaccrual Loans 8.00 8.00Charged Off Loans 8.00 8.00Unearned Disc. & Oth. 8.00 8.00
Total Other Loans 6.42 0.00 ... ...
Loan Loss Reserve 8.00 8.00Total Loans 1.45 0.00
... ...Investments ... ...US Treasuries 0.04 0.04Agencies Callable 1.78 1.75Agencies Stuctured 0.00 0.00Agencies 0.00 0.00Callable Certificates of Deposit 0.00 0.00Certificates of Deposit 0.00 0.00Structured CDs 0.00 0.00FNMA FHLMC 6 MO ARMs 0.00 0.00FNMA FHLMC 1 YR ARMs 0.00 0.00GNMA ARMs 0.00 0.00
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 52 of 117
Monthly Projections As of March 31, 2003
Duration Flat Rate Forcast Macaulay Duration Modified Duration
CMO Fixed 1.23 1.21CMO Variable 0.00 0.00MBS 1.84 1.79Corporates 1.16 1.14Municipals 7.95 7.67Callable Municipals 4.45 4.31Tax Exempt Municipals 0.00 0.00Money Market Investments 0.00 0.00Equity Securities 0.00 0.00Other Investments 0.04 0.04
Total Investments 2.54 0.00 ... ...
Funds Sold ... ...Fed Funds Sold 0.00 0.00F.F. Sold (Bal.) 0.00 0.00
Total Funds Sold 0.00 0.00 ... ...
Other Assets ... ...Cash and Due 8.00 8.00Fixed Assets 8.00 8.00Other Real Estate Owned 8.00 8.00Other Non Earning Assets 8.00 8.00
Total Other Assets 8.00 0.00 ... ...
Accrued Interest Receivable ... ...Unrealized G/L on Securities 8.00 8.00
Total Assets 2.22 0.00 ... ...Liabilities ... ...Deposits ... ...Non Maturity Deposits ... ...Demand 1.43 1.43NOW 0.54 0.53MMDA 0.00 0.00MM IRA 0.00 0.00Savings 1.08 1.08
Total Non Maturity Deposits 0.93 0.00 ... ...
Time Deposits ... ...CD's < $100M 0.60 0.59
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 53 of 117
Monthly Projections As of March 31, 2003
Duration Flat Rate Forcast Macaulay Duration Modified Duration
CD's $100M+ 0.70 0.69Variable IRA 0.00 0.00IRA's < $100M 0.00 0.00IRA's $100M+ 0.00 0.00
Total Time Deposits 0.63 0.00 ... ...
Other Deposit Amounts 8.00 8.00Total Deposits 0.94 0.00
... ...Borrowings ... ...Repo's 0.00 0.00FHLB Floating 0.00 0.00FHLB Short Term 0.00 0.00FHLB Long Term 3.85 3.73Other Borrowings 8.00 8.00
Total Borrowings 3.85 0.00 ... ...
Funds Purchased ... ...Fed Funds Purchased 0.00 0.00F.F. Purch. (Bal.) 0.00 0.00
Total Funds Purchased 0.00 0.00 ... ...
Other Liabilities 8.00 8.00Accrued Interest Payable ... ...
Total Liabilities 1.25 0.00 ... ...Equity ... ...Common Stock 8.00 8.00Surplus 8.00 8.00Securities Gains/Losses 8.00 8.00Retained Earnings 0.00 0.00Other Comprehensive Income ... ...Unrealized G/L on Sec (Equity) 8.00 8.00Adjustment for Securities Sold 8.00 8.00G/L on Derivatives (Equity) 8.00 8.00Adjustment for Derivatives Sold 8.00 8.00
Total Other Comprehensive Income 0.00 0.00 ... ...Total Equity 11.55 0.00
... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 54 of 117
Monthly Projections As of March 31, 2003
Duration Flat Rate Forcast Macaulay Duration Modified Duration
TOTAL LIABS & EQUITY ... ...Off Balance Sheet ... ...Total Off Balance Sheet 0.00 0.00
... ...TOTAL EARNING ASSETS 0.00 0.00TOTAL INT BEARING LIABS 0.00 0.00
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 55 of 117
New Production Flat
Monthly Projections
As of March 31, 2003
New Production
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
ASSETS ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 322 173 158 142 245 144 130 114 121 121 109 106 157 Commercial Variable Prime 320 85 644 740 221 113 808 211 166 580 235 314 370 Commercial Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Variable Fed Funds 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Adj Qtrly Prime 2 3 3 3 3 3 3 3 3 3 3 3 3 Commercial Adj 1/1 Prime 3 3 3 3 3 3 3 3 3 3 3 3 3 Commercial Adj 1/1 UST 0 0 0 0 0 3 0 0 0 0 0 3 1 Commercial Adj 2/2 UST 1 1 1 1 1 1 1 1 1 1 1 1 1 Commercial Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial Adj 5/5 Prime 27 27 27 27 26 26 26 26 26 26 26 26 26 Commercial Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial 674 292 835 916 499 293 972 358 320 734 377 457 561 ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 402 185 175 188 205 190 155 156 186 272 214 368 225 Commercial RE Variable Prime 158 116 120 157 131 123 463 131 136 134 136 140 162 Commercial RE Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Variable UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj Qtrly Prime 5 5 5 5 9 6 6 6 6 6 9 6 6 Commercial RE Adj Qtrly Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 1/1 Prime 50 50 50 50 50 48 49 49 49 49 49 50 49 Commercial RE Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 5/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Commercial RE Adj 3/3 Prime 5 5 5 6 6 6 6 6 6 6 6 6 6 Commercial RE Adj 5/5 Prime 197 198 195 197 194 192 193 190 192 189 190 193 193 Commercial RE Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial Real Estate 817 561 551 602 595 564 872 537 575 657 605 764 642 ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 10 10 10 10 9 9 9 9 9 9 9 9 9 Construction Variable Prime 9 10 10 10 12 12 12 14 14 14 14 14 12 Construction Variable Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Variable UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj Qtrly Libor 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 1/1 Prime 7 7 8 8 8 9 9 9 9 9 9 9 8
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Monthly Projections
As of March 31, 2003
New Production
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
Construction Adj 1/1 UST 6 6 6 6 6 6 6 6 5 5 5 4 5 Construction Adj 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 5/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Construction Adj 5/5 Prime 10 10 10 10 10 10 10 10 10 10 10 10 10 Construction Adj 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Construction 41 42 43 43 45 46 46 48 47 47 47 47 45 ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 1 5 1 0 4 0 0 4 0 0 4 0 2 Commercial TE Adj 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Commercial Tax Exempt 1 5 1 0 4 0 0 4 0 0 4 0 2 ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 4 4 4 4 10 11 4 4 4 4 10 99 13 Agricultural Variable Prime 56 56 698 297 115 449 71 72 1,467 86 163 93 302 Agricultural Adj 1/1 Prime 1 1 4 1 1 1 1 1 3 1 1 1 1
Total Agricultural Loans 61 61 705 302 127 461 75 76 1,474 90 173 193 317 ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 176 159 161 167 169 190 177 178 183 185 188 191 177 Mortgage Variable Prime 17 18 18 18 18 18 18 815 19 19 43 18 86 Mortgage Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 1/1 Prime 3 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 1/1 UST 4 4 4 4 4 4 4 4 4 4 4 4 4 Mortgage ARM 3/1 UST 13 14 13 13 13 13 13 13 13 13 13 14 13 Mortgage ARM 3/3 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 3/3 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 5/1 UST 6 3 3 3 3 3 3 3 3 3 3 3 4 Mortgage ARM 5/5 Prime 17 18 18 18 18 18 19 19 19 19 19 19 18 Mortgage ARM 5/5 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mortgage ARM 7/1 UST 15 15 15 15 15 15 15 15 15 15 15 15 15 Mortgage ARM 10/10 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Mtg Loans for Sale 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Mortgage 252 231 232 239 240 262 249 1,048 258 258 285 265 318 ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 240 192 172 179 164 162 152 154 169 151 154 160 171 Consumer Variable Prime 3 6 3 3 6 3 3 3 3 3 3 4 4 Consumer Adj Qtrly Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj Semi-Annual UST 0 0 0 0 0 0 0 0 0 0 0 0 0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 57 of 117
Monthly Projections
As of March 31, 2003
New Production
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
Consumer Adj 1/1 Prime 1 1 1 1 1 1 1 1 1 0 0 0 1 Consumer Adj 1/1 UST 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj 3/3 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Consumer Adj 5/5 Prime 2 2 2 2 2 2 2 2 2 2 2 2 2
Total Consumer 246 201 178 185 172 168 159 161 175 157 160 166 177 ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 64 40 40 39 39 38 38 37 37 37 36 36 40 Home Equity Variable Prime 33 34 34 35 35 36 37 38 38 39 40 41 37 Home Equity Adj Sem-Annually 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 1/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 5/1 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0 Home Equity ARM 5/5 Prime 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Home Equity 97 74 74 74 74 74 75 75 75 76 76 77 77 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 91 3 3 3 3 3 3 3 3 3 3 4 10 Other Loans Variable Prime 139 4 4 4 4 4 5 5 5 5 5 5 16 Credit Cards 0 0 0 0 0 0 0 0 0 0 0 0 0 Credit Cards Adustable Semi-Ann 0 0 0 0 0 0 0 0 0 0 0 0 0 Overdrafts 0 0 0 0 0 0 0 0 0 0 0 0 0 Nonaccrual Loans 0 0 0 0 0 0 0 0 0 0 0 0 0 Charged Off Loans 0 0 0 0 0 0 0 0 0 0 0 0 0 Unearned Disc. & Oth. 5 5 5 5 5 5 5 5 5 5 5 5 5
Total Other Loans 231 7 7 7 7 7 8 8 8 8 8 9 26 ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Loss Reserve (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) Total Loans 2,421 1,474 2,626 2,370 1,763 1,876 2,456 2,314 2,933 2,027 1,736 1,977 2,164
... ... ... ... ... ... ... ... ... ... ... ... ... Investments ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 50 0 0 0 0 0 0 0 0 0 0 0 4 Agencies Callable 4 4 4 4 4 4 4 4 4 4 4 4 4 Agencies Stuctured 0 0 0 0 0 0 0 0 0 0 0 0 0 Agencies 0 0 0 0 0 0 0 0 0 0 0 0 0 Callable Certificates of Deposit 0 0 0 0 0 0 0 0 0 0 0 0 0 Certificates of Deposit 0 0 0 0 0 0 0 0 0 0 0 0 0 Structured CDs 0 0 0 0 0 0 0 0 0 0 0 0 0 FNMA FHLMC 6 MO ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0 FNMA FHLMC 1 YR ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0 GNMA ARMs 0 0 0 0 0 0 0 0 0 0 0 0 0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 58 of 117
Monthly Projections
As of March 31, 2003
New Production
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
CMO Fixed 287 285 283 281 280 278 277 277 277 276 277 278 280 CMO Variable 0 0 0 0 0 0 0 0 0 0 0 0 0 MBS 566 565 563 562 562 563 563 565 567 569 572 576 566 Corporates 2 2 2 2 2 2 2 2 2 2 2 2 2 Municipals 15 15 15 15 15 15 15 15 15 15 15 15 15 Callable Municipals 0 0 0 0 0 0 0 0 0 0 0 0 0 Tax Exempt Municipals 0 0 0 0 0 0 0 0 0 0 0 0 0 Money Market Investments 0 0 0 0 0 0 0 0 0 0 0 0 0 Equity Securities 0 0 0 0 0 0 0 0 0 0 0 0 0 Other Investments 560 2 2 2 2 2 2 2 2 2 2 2 49
Total Investments 1,486 874 870 867 866 865 865 866 868 870 874 878 921 ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 0 0 0 0 0 0 0 0 0 0 0 0 0 F.F. Sold (Bal.) 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Funds Sold 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 28 28 28 28 28 28 28 28 28 28 28 28 28 Fixed Assets 13 13 13 13 13 13 13 13 13 13 13 13 13 Other Real Estate Owned 0 0 0 0 0 0 0 0 0 0 0 0 0 Other Non Earning Assets 4 4 4 4 4 4 4 4 4 4 4 4 4
Total Other Assets 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ...
Accrued Interest Receivable ... ... ... ... ... ... ... ... ... ... ... ... ... Unrealized G/L on Securities 0 0 0 0 0 0 0 0 0 0 0 0 0
TOTAL ASSETS 3,906 2,348 3,497 3,237 2,629 2,742 3,321 3,180 3,801 2,897 2,609 2,854 3,085 ... ... ... ... ... ... ... ... ... ... ... ... ... LIABILITIES ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 133 133 133 133 133 133 133 133 133 133 133 133 133 NOW 184 184 184 184 184 184 184 184 184 184 184 184 184 MMDA 0 0 0 0 0 0 0 0 0 0 0 0 0 MM IRA 0 0 0 0 0 0 0 0 0 0 0 0 0 Savings 47 47 47 47 47 47 47 47 47 47 47 47 47
Total Non Maturity Deposits 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 796 1,144 3,507 840 1,044 898 582 434 609 370 610 918 980
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 59 of 117
Monthly Projections
As of March 31, 2003
New Production
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
CD's $100M+ 1,438 229 832 458 710 397 839 285 412 1,620 761 343 694 Variable IRA 0 0 0 0 0 0 0 0 0 0 0 0 0 IRA's < $100M 0 0 0 0 0 0 0 0 0 0 0 0 0 IRA's $100M+ 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Time Deposits 2,234 1,373 4,339 1,298 1,755 1,295 1,421 719 1,021 1,990 1,371 1,262 1,673 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Deposit Amounts 4 4 4 4 4 4 4 4 4 4 4 4 4 Total Deposits 2,234 1,373 4,339 1,298 1,755 1,295 1,421 719 1,021 1,990 1,371 1,262 1,673
... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Floating 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Short Term 0 0 0 0 0 0 0 0 0 0 0 0 0 FHLB Long Term 27 27 27 27 27 27 27 27 27 27 27 27 27 Other Borrowings 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Borrowings 27 27 27 27 27 27 27 27 27 27 27 27 27 ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 F.F. Purch. (Bal.) 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Funds Purchased 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 9 9 9 9 9 9 9 9 9 9 9 9 9 Accrued Interest Payable ... ... ... ... ... ... ... ... ... ... ... ... ...
TOTAL LIABILITIES 2,262 1,401 4,366 1,325 1,782 1,322 1,448 747 1,049 2,018 1,398 1,289 1,701 ... ... ... ... ... ... ... ... ... ... ... ... ... EQUITY ... ... ... ... ... ... ... ... ... ... ... ... ... Common Stock 0 0 0 0 0 0 0 0 0 0 0 0 0 Surplus 0 0 0 0 0 0 0 0 0 0 0 0 0 Securities Gains/Losses 0 0 0 0 0 0 0 0 0 0 0 0 0 Retained Earnings 0 0 0 0 0 0 0 0 0 0 0 0 0 Other Comprehensive Income ... ... ... ... ... ... ... ... ... ... ... ... ... Unrealized G/L on Sec (Equity) 0 0 0 0 0 0 0 0 0 0 0 0 0 Adjustment for Securities Sold 0 0 0 0 0 0 0 0 0 0 0 0 0 G/L on Derivatives (Equity) 0 0 0 0 0 0 0 0 0 0 0 0 0 Adjustment for Derivatives Sold 0 0 0 0 0 0 0 0 0 0 0 0 0
Total Other Comprehensive Income 0 0 0 0 0 0 0 0 0 0 0 0 0 ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EQUITY 0 0 0 0 0 0 0 0 0 0 0 0 0
... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 60 of 117
Monthly Projections
As of March 31, 2003
New Production
Flat Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Average
TOTAL LIABS & EQUITY ... ... ... ... ... ... ... ... ... ... ... ... ... OFF BALANCE SHEET ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL OFF BALANCE SHEET 0 0 0 0 0 0 0 0 0 0 0 0 0
... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EARNING ASSETS 0 0 0 0 0 0 0 0 0 0 0 0 0 TOTAL INT BEARING LIABS 0 0 0 0 0 0 0 0 0 0 0 0 0
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 61 of 117
Forecast Comparisons Key Items Comparisons
Forecast Comparisons As of March 31, 2003
Key Items Comparisons
Apr-03 - Mar-04 Variance from Flat
-300 Ramp Flat +300 Ramp -300 Ramp +300 Ramp
PROFITABLIITY (%) Net Interest Margin 4.01 4.24 4.44 -0.23 0.20Return on Assets 1.14 1.37 1.56 -0.22 0.20Return on Equity 14.33 16.91 19.11 -2.58 2.20
INCOME STATEMENT ($000)
Interest Income 5,907.61 6,542.15 7,291.52 (634.53) 749.38Interest Expense 936.70 1,283.64 1,781.07 (346.93) 497.43Net Interest Income 4,970.91 5,258.51 5,510.45 (287.60) 251.94Provision Expense 30.00 30.00 30.00 0.00 0.00Non-Interest Income 1,299.60 1,299.60 1,299.60 0.00 0.00Non-Interest Expense 4,776.00 4,776.00 4,776.00 0.00 0.00Taxes 0.00 0.00 0.00 0.00 0.00Net Income 1,464.51 1,752.11 2,004.05 (287.60) 251.94
CAPITAL RATIOS (%)
Equity to Assets 8.06 8.11 8.16 -0.05 0.05Efficiency Ratio 76.17 72.83 70.13 3.34 -2.69 Loans to Deposits Ratio 75.70 75.70 75.70 0.00 0.00 Earning Assets to Assets Ratio 96.78 96.78 96.78 0.00 0.00
YIELDS (%)
Loans 5.55 6.15 6.86 -0.60 0.71Investments 4.45 4.76 5.02 -0.32 0.26Fed Funds Sold 0.33 1.24 2.99 -0.91 1.75Earning Assets 4.77 5.28 5.88 -0.51 0.60
COST OF FUNDS (%)
Deposits 0.57 0.88 1.34 -0.32 0.46Borrowings 4.77 4.80 4.83 -0.02 0.03Fed Funds Purchased ... ... ... ... ...Rate Related Liabilities 0.80 1.10 1.52 -0.30 0.43
KEY BALANCE SHEET ITEMS ($000)
Total Assets 128,070.97 128,139.28 128,210.63 (68.31) 71.35Earning Assets 123,945.52 124,013.83 124,085.18 (68.31) 71.35Loans 82,340.32 82,340.69 82,340.91 (0.37) 0.23Investments 29,813.63 29,813.63 29,813.63 0.00 0.00Deposits 108,767.87 108,767.87 108,767.87 0.00 0.00Fed Funds Purchased 0.00 0.00 0.00 0.00 0.00Fed Funds Sold 4,811.52 4,879.47 4,950.59 (67.94) 71.12Equity 10,323.03 10,391.34 10,462.69 (68.31) 71.35
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 62 of 117
Income Comparisons
Forecast Comparisons As of March 31, 2003
Income Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
Interest Income ... ... ... ... ... ... ...Loans ... ... ... ... ... ... ...Commercial ... ... ... ... ... ... ...Commercial Fixed 291 280 (11) -3.8 302 11 3.7Commercial Variable Prime 305 214 (91) -29.8 396 91 29.8Commercial Variable Libor 0 0 0 NA 0 0 NACommercial Variable Fed Funds 0 0 0 NA 0 0 NACommercial Adj Qtrly Prime 8 7 (2) -20.1 10 2 20.9Commercial Adj 1/1 Prime 8 7 (1) -12.4 9 1 12.2Commercial Adj 1/1 UST 0 0 0 -6.3 0 0 9.7Commercial Adj 2/2 UST 1 1 0 -8.3 1 0 10.3Commercial Adj 5/1 Prime 0 0 0 NA 0 0 NACommercial Adj 5/5 Prime 91 89 (2) -2.3 93 2 2.0Commercial Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Commercial 705 598 (107) -15.2 811 106 15.1 ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ...Commercial RE Fixed 617 600 (17) -2.7 630 13 2.0Commercial RE Variable Prime 546 391 (156) -28.5 702 156 28.5Commercial RE Variable Libor 0 0 0 NA 0 0 NACommercial RE Variable UST 0 0 0 NA 0 0 NACommercial RE Adj Qtrly Prime 21 20 (1) -3.6 24 3 14.9Commercial RE Adj Qtrly Libor 0 0 0 NA 0 0 NACommercial RE Adj 1/1 Prime 154 142 (12) -8.0 166 12 8.0Commercial RE Adj 1/1 UST 0 0 0 NA 0 0 NACommercial RE Adj 5/1 Prime 0 0 0 NA 0 0 NACommercial RE Adj 5/1 UST 0 0 0 NA 0 0 NACommercial RE Adj 3/3 Prime 26 25 0 -1.9 26 0 1.6Commercial RE Adj 5/5 Prime 741 722 (19) -2.6 757 16 2.2Commercial RE Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Commercial Real Estate 2,105 1,900 (205) -9.7 2,306 200 9.5 ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ...Construction Fixed 42 41 (1) -1.8 43 1 1.7Construction Variable Prime 49 34 (15) -30.1 64 15 30.6Construction Variable Libor 0 0 0 NA 0 0 NAConstruction Variable UST 0 0 0 NA 0 0 NAConstruction Adj Qtrly Prime 0 0 0 NA 0 0 NAConstruction Adj Qtrly Libor 0 0 0 NA 0 0 NAConstruction Adj 1/1 Prime 56 53 (2) -3.7 57 2 3.3Construction Adj 1/1 UST 20 19 (1) -3.9 21 2 7.7Construction Adj 5/1 Prime 0 0 0 NA 0 0 NAConstruction Adj 5/1 UST 0 0 0 NA 0 0 NAConstruction Adj 5/5 Prime 33 33 (1) -2.2 34 1 2.2Construction Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Construction 199 180 (19) -9.5 219 20 9.9 ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ...Commercial TE Fixed 1 1 0 -10.2 1 0 11.5Commercial TE Adj 1/1 Prime 0 0 0 NA 0 0 NA
Total Commercial Tax Exempt 1 1 0 -10.2 1 0 11.5 ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ...Agricultural Fixed 17 17 0 -2.8 18 1 2.9
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 63 of 117
Forecast Comparisons As of March 31, 2003
Income Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
Agricultural Variable Prime 191 128 (63) -32.9 255 63 33.0Agricultural Adj 1/1 Prime 4 4 (1) -12.2 5 1 12.1
Total Agricultural Loans 213 149 (64) -30.1 277 64 30.1 ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ...Mortgage Fixed 693 673 (20) -2.9 704 11 1.6Mortgage Variable Prime 141 98 (43) -30.6 183 41 29.1Mortgage Adj Qtrly Prime 0 0 0 NA 0 0 NAMortgage ARM 1/1 Prime 0 0 0 -4.5 0 0 4.5Mortgage ARM 1/1 UST 26 25 (1) -4.5 28 2 6.4Mortgage ARM 3/1 UST 55 51 (4) -7.9 63 8 13.9Mortgage ARM 3/3 Prime 0 0 0 NA 0 0 NAMortgage ARM 3/3 UST 0 0 0 NA 0 0 NAMortgage ARM 5/1 UST 24 24 (1) -2.4 25 1 3.3Mortgage ARM 5/5 Prime 90 88 (2) -2.7 92 1 1.6Mortgage ARM 5/5 UST 0 0 0 NA 0 0 NAMortgage ARM 7/1 UST 92 91 (2) -1.7 94 1 1.2Mortgage ARM 10/10 UST 0 0 0 NA 0 0 NAMtg Loans for Sale 0 0 0 NA 0 0 NA
Total Mortgage 1,123 1,049 (74) -6.5 1,188 65 5.8 ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ...Consumer Fixed 247 237 (10) -4.0 257 10 4.0Consumer Variable Prime 4 3 (2) -40.4 6 2 40.4Consumer Adj Qtrly Prime 0 0 0 NA 0 0 NAConsumer Adj Semi-Annual UST 0 0 0 -19.4 0 0 33.7Consumer Adj 1/1 Prime 0 0 0 -13.9 0 0 13.9Consumer Adj 1/1 UST 0 0 0 NA 0 0 NAConsumer Adj 3/3 Prime 0 0 0 NA 0 0 NAConsumer Adj 5/5 Prime 7 7 0 -2.4 7 0 1.5
Total Consumer 259 247 (12) -4.5 271 12 4.6 ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ...Home Equity Fixed 81 79 (3) -3.2 84 3 3.4Home Equity Variable Prime 357 347 (10) -2.7 469 112 31.4Home Equity Adj Sem-Annually 0 0 0 NA 0 0 NAHome Equity ARM 1/1 Prime 0 0 0 NA 0 0 NAHome Equity ARM 5/1 Prime 0 0 0 NA 0 0 NAHome Equity ARM 5/5 Prime 0 0 0 NA 0 0 NA
Total Home Equity 438 426 (12) -2.8 553 115 26.2 ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ...Other Fixed Loans 7 7 0 -5.1 8 0 5.5Other Loans Variable Prime 12 9 (3) -25.0 15 3 25.0Credit Cards 0 0 0 NA 0 0 NACredit Cards Adustable Semi-Ann 0 0 0 NA 0 0 NAOverdrafts 0 0 0 NA 0 0 NAUnearned Disc. & Oth. 0 0 0 NA 0 0 NA
Total Other Loans 19 16 (3) -17.4 23 3 17.5 ... ... ... ... ... ... ...
Loan Fees 0 0 0 NA 0 0 NAInt Inc Adj. 0 0 0 NA 0 0 NALoan Loss Reserve 0 0 0 NA 0 0 NA
Total Loans 5,062 4,566 (496) -9.8 5,648 586 11.6
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 64 of 117
Forecast Comparisons As of March 31, 2003
Income Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
... ... ... ... ... ... ...Investments ... ... ... ... ... ... ...US Treasuries 1 1 0 -14.0 1 0 14.1Agencies Callable 1 0 0 -43.5 1 0 48.1Agencies Stuctured 0 0 0 NA 0 0 NAAgencies 0 0 0 NA 0 0 NACallable Certificates of Deposit 0 0 0 NA 0 0 NACertificates of Deposit 0 0 0 NA 0 0 NAStructured CDs 0 0 0 NA 0 0 NAFNMA FHLMC 6 MO ARMs 0 0 0 NA 0 0 NAFNMA FHLMC 1 YR ARMs 0 0 0 NA 0 0 NAGNMA ARMs 0 0 0 NA 0 0 NACMO Fixed 290 268 (21) -7.4 309 20 6.8CMO Variable 0 0 0 NA 0 0 NAMBS 892 826 (66) -7.4 938 45 5.1Corporates 40 40 0 -0.3 40 0 0.4Municipals 189 188 (1) -0.6 190 1 0.6Callable Municipals 0 0 0 NA 0 0 NATax Exempt Municipals 0 0 0 NA 0 0 NAMoney Market Investments 0 0 0 NA 0 0 NAEquity Securities 0 0 0 NA 0 0 NAOther Investments 7 2 (5) -72.3 16 9 133.3
Total Investments 1,419 1,325 (94) -6.6 1,495 76 5.4 ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ...Fed Funds Sold 2 2 0 -20.5 3 0 20.5F.F. Sold (Bal.) 58 14 (44) -75.5 145 87 149.0
Total Funds Sold 61 16 (44) -73.5 148 87 144.4 ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ...Cash and Due 0 0 0 NA 0 0 NA
Total Other Assets 0 0 0 NA 0 0 NA ... ... ... ... ... ... ...Total Interest Income 6,542 5,908 (635) -9.7 7,292 749 11.5
... ... ... ... ... ... ...Interest Expense ... ... ... ... ... ... ...Deposits ... ... ... ... ... ... ...Non Maturity Deposits ... ... ... ... ... ... ...Demand 0 0 0 NA 0 0 NANOW 519 277 (243) -46.7 890 371 71.4MMDA 0 0 0 NA 0 0 NAMM IRA 0 0 0 NA 0 0 NASavings 58 36 (22) -38.5 80 22 38.5
Total Non Maturity Deposits 577 312 (265) -45.9 970 393 68.1 ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ...CD's < $100M 255 199 (56) -21.9 320 65 25.3CD's $100M+ 128 103 (25) -19.2 166 38 29.8Variable IRA 0 0 0 NA 0 0 NAIRA's < $100M 0 0 0 NA 0 0 NAIRA's $100M+ 0 0 0 NA 0 0 NA
Total Time Deposits 383 303 (80) -21.0 486 103 26.8 ... ... ... ... ... ... ...
Total Deposits 961 615 (345) -35.9 1,456 496 51.6
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 65 of 117
Forecast Comparisons As of March 31, 2003
Income Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
... ... ... ... ... ... ...Borrowings ... ... ... ... ... ... ...Repo's 0 0 0 NA 0 0 NAFHLB Floating 0 0 0 NA 0 0 NAFHLB Short Term 0 0 0 NA 0 0 NAFHLB Long Term 323 321 (2) -0.5 325 2 0.6Other Borrowings 0 0 0 NA 0 0 NA
Total Borrowings 323 321 (2) -0.5 325 2 0.6 ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ...Fed Funds Purchased 0 0 0 NA 0 0 NAF.F. Purch. (Bal.) 0 0 0 NA 0 0 NA
Total Funds Purchased 0 0 0 NA 0 0 NA ... ... ... ... ... ... ...
Other Liabilities 0 0 0 NA 0 0 NAInt Exp Adj. 0 0 0 NA 0 0 NA
Total Interest Expense 1,284 937 (347) -27.0 1,781 497 38.8 ... ... ... ... ... ... ...NET INTEREST INCOME 5,259 4,971 (288) -5.5 5,510 252 4.8PROVISION FOR LOAN LOSS 30 30 0 0.0 30 0 0.0Other Income ... ... ... ... ... ... ...Non Interest Income 1,300 1,300 0 0.0 1,300 0 0.0Total Servicing Income 0 0 0 NA 0 0 NAGain/Loss on Sale of Investments 0 0 0 NA 0 0 NAGain/Loss on Hedged Items 0 0 0 NA 0 0 NAGain/Loss on Derivatives 0 0 0 NA 0 0 NA
Total Other Income 1,300 1,300 0 0.0 1,300 0 0.0 ... ... ... ... ... ... ...Other Expense ... ... ... ... ... ... ...Non Interest Expense 4,776 4,776 0 0.0 4,776 0 0.0
Total Other Expense 4,776 4,776 0 0.0 4,776 0 0.0 ... ... ... ... ... ... ...PRETAX INCOME 1,752 1,465 (288) -16.4 2,004 252 14.4LOCAL TAX #1 0 0 0 NA 0 0 NALOCAL TAX #2 0 0 0 NA 0 0 NAREGIONAL TAX 0 0 0 NA 0 0 NANATIONAL TAX 0 0 0 NA 0 0 NATOTAL TAX 0 0 0 NA 0 0 NAADJUSTMENT: LOCAL TAX 1 ... ... ... ... ... ... ...ADJUSTMENT: LOCAL TAX 2 ... ... ... ... ... ... ...ADJUSTMENT: REGIONAL TAX ... ... ... ... ... ... ...ADJUSTMENT: NATIONAL TAX ... ... ... ... ... ... ...NET INCOME 1,752 1,465 (288) -16.4 2,004 252 14.4TAX ADJUSTMENTS ... ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 66 of 117
Average Balance Comparisons
Forecast Comparisons As of March 31, 2003
Average Balance Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
Assets ... ... ... ... ... ... ...Loans ... ... ... ... ... ... ...Commercial ... ... ... ... ... ... ...Commercial Fixed 3,983 3,983 0 0.0 3,983 0 0.0Commercial Variable Prime 6,017 6,017 0 0.0 6,017 0 0.0Commercial Variable Libor 0 0 0 NA 0 0 NACommercial Variable Fed Funds 0 0 0 NA 0 0 NACommercial Adj Qtrly Prime 142 142 0 0.0 142 0 0.0Commercial Adj 1/1 Prime 134 134 0 0.0 134 0 0.0Commercial Adj 1/1 UST 12 12 0 0.0 12 0 0.0Commercial Adj 2/2 UST 13 13 0 0.0 13 0 0.0Commercial Adj 5/1 Prime 0 0 0 NA 0 0 NACommercial Adj 5/5 Prime 1,209 1,209 0 0.0 1,209 0 0.0Commercial Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Commercial 11,510 11,510 0 0.0 11,510 0 0.0 ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ...Commercial RE Fixed 8,511 8,511 0 0.0 8,511 0 0.0Commercial RE Variable Prime 10,188 10,188 0 0.0 10,188 0 0.0Commercial RE Variable Libor 0 0 0 NA 0 0 NACommercial RE Variable UST 0 0 0 NA 0 0 NACommercial RE Adj Qtrly Prime 355 355 0 0.0 355 0 0.0Commercial RE Adj Qtrly Libor 0 0 0 NA 0 0 NACommercial RE Adj 1/1 Prime 2,884 2,884 0 0.0 2,884 0 0.0Commercial RE Adj 1/1 UST 0 0 0 NA 0 0 NACommercial RE Adj 5/1 Prime 0 0 0 NA 0 0 NACommercial RE Adj 5/1 UST 0 0 0 NA 0 0 NACommercial RE Adj 3/3 Prime 389 389 0 0.0 389 0 0.0Commercial RE Adj 5/5 Prime 9,979 9,979 0 0.0 9,979 0 0.0Commercial RE Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Commercial Real Estate 32,307 32,307 0 0.0 32,307 0 0.0 ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ...Construction Fixed 665 665 0 0.0 665 0 0.0Construction Variable Prime 984 984 0 0.0 984 0 0.0Construction Variable Libor 0 0 0 NA 0 0 NAConstruction Variable UST 0 0 0 NA 0 0 NAConstruction Adj Qtrly Prime 0 0 0 NA 0 0 NAConstruction Adj Qtrly Libor 0 0 0 NA 0 0 NAConstruction Adj 1/1 Prime 1,056 1,056 0 0.0 1,056 0 0.0Construction Adj 1/1 UST 286 286 0 0.0 286 0 0.0Construction Adj 5/1 Prime 0 0 0 NA 0 0 NAConstruction Adj 5/1 UST 0 0 0 NA 0 0 NAConstruction Adj 5/5 Prime 414 414 0 0.0 414 0 0.0Construction Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Construction 3,404 3,404 0 0.0 3,404 0 0.0 ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ...Commercial TE Fixed 22 22 0 0.0 22 0 0.0Commercial TE Adj 1/1 Prime 0 0 0 NA 0 0 NA
Total Commercial Tax Exempt 22 22 0 0.0 22 0 0.0 ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ...Agricultural Fixed 297 297 0 0.0 297 0 0.0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 67 of 117
Forecast Comparisons As of March 31, 2003
Average Balance Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
Agricultural Variable Prime 4,201 4,201 0 0.0 4,201 0 0.0Agricultural Adj 1/1 Prime 68 68 0 0.0 68 0 0.0
Total Agricultural Loans 4,566 4,566 0 0.0 4,566 0 0.0 ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ...Mortgage Fixed 10,923 10,923 0 0.0 10,923 0 0.0Mortgage Variable Prime 2,768 2,768 0 0.0 2,768 0 0.0Mortgage Adj Qtrly Prime 0 0 0 NA 0 0 NAMortgage ARM 1/1 Prime 3 3 0 0.0 3 0 0.0Mortgage ARM 1/1 UST 416 416 0 0.0 416 0 0.0Mortgage ARM 3/1 UST 994 994 0 0.0 994 0 0.0Mortgage ARM 3/3 Prime 0 0 0 NA 0 0 NAMortgage ARM 3/3 UST 0 0 0 NA 0 0 NAMortgage ARM 5/1 UST 339 339 0 0.0 339 0 0.0Mortgage ARM 5/5 Prime 1,307 1,307 0 0.0 1,307 0 0.0Mortgage ARM 5/5 UST 0 0 0 NA 0 0 NAMortgage ARM 7/1 UST 1,258 1,258 0 0.0 1,258 0 0.0Mortgage ARM 10/10 UST 0 0 0 NA 0 0 NAMtg Loans for Sale 0 0 0 NA 0 0 NA
Total Mortgage 18,009 18,009 0 0.0 18,009 0 0.0 ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ...Consumer Fixed 3,027 3,027 0 0.0 3,027 0 0.0Consumer Variable Prime 108 108 0 0.0 108 0 0.0Consumer Adj Qtrly Prime 0 0 0 NA 0 0 NAConsumer Adj Semi-Annual UST 11 11 0 0.0 11 0 0.0Consumer Adj 1/1 Prime 7 7 0 0.0 7 0 0.0Consumer Adj 1/1 UST 0 0 0 NA 0 0 NAConsumer Adj 3/3 Prime 0 0 0 NA 0 0 NAConsumer Adj 5/5 Prime 102 102 0 0.0 102 0 0.0
Total Consumer 3,256 3,256 0 0.0 3,256 0 0.0 ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ...Home Equity Fixed 1,182 1,182 0 0.0 1,182 0 0.0Home Equity Variable Prime 7,479 7,479 0 0.0 7,479 0 0.0Home Equity Adj Sem-Annually 0 0 0 NA 0 0 NAHome Equity ARM 1/1 Prime 0 0 0 NA 0 0 NAHome Equity ARM 5/1 Prime 0 0 0 NA 0 0 NAHome Equity ARM 5/5 Prime 0 0 0 NA 0 0 NA
Total Home Equity 8,661 8,661 0 0.0 8,661 0 0.0 ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ...Other Fixed Loans 93 93 0 0.0 93 0 0.0Other Loans Variable Prime 182 182 0 0.0 182 0 0.0Credit Cards 0 0 0 NA 0 0 NACredit Cards Adustable Semi-Ann 0 0 0 NA 0 0 NAOverdrafts 0 0 0 NA 0 0 NANonaccrual Loans 0 0 0 NA 0 0 NACharged Off Loans 0 0 0 NA 0 0 NAUnearned Disc. & Oth. 1,116 1,116 0 0.0 1,116 0 0.0
Total Other Loans 1,390 1,390 0 0.0 1,390 0 0.0 ... ... ... ... ... ... ...
Loan Loss Reserve (785) (785) 0 0.0 (785) 0 0.0Total Loans 82,341 82,340 0 0.0 82,341 0 0.0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 68 of 117
Forecast Comparisons As of March 31, 2003
Average Balance Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
... ... ... ... ... ... ...Investments ... ... ... ... ... ... ...US Treasuries 51 51 0 0.0 51 0 0.0Agencies Callable 1,025 1,025 0 0.0 1,025 0 0.0Agencies Stuctured 0 0 0 NA 0 0 NAAgencies 0 0 0 NA 0 0 NACallable Certificates of Deposit 0 0 0 NA 0 0 NACertificates of Deposit 0 0 0 NA 0 0 NAStructured CDs 0 0 0 NA 0 0 NAFNMA FHLMC 6 MO ARMs 0 0 0 NA 0 0 NAFNMA FHLMC 1 YR ARMs 0 0 0 NA 0 0 NAGNMA ARMs 0 0 0 NA 0 0 NACMO Fixed 6,183 6,183 0 0.0 6,183 0 0.0CMO Variable 0 0 0 NA 0 0 NAMBS 17,162 17,162 0 0.0 17,162 0 0.0Corporates 526 526 0 0.0 526 0 0.0Municipals 3,811 3,811 0 0.0 3,811 0 0.0Callable Municipals 483 483 0 0.0 483 0 0.0Tax Exempt Municipals 0 0 0 NA 0 0 NAMoney Market Investments 0 0 0 NA 0 0 NAEquity Securities 0 0 0 NA 0 0 NAOther Investments 572 572 0 0.0 572 0 0.0
Total Investments 29,814 29,814 0 0.0 29,814 0 0.0 ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ...Fed Funds Sold 177 177 0 0.0 177 0 0.0F.F. Sold (Bal.) 4,702 4,634 (68) -1.4 4,774 71 1.5
Total Funds Sold 4,879 4,812 (68) -1.4 4,951 71 1.5 ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ...Cash and Due 6,980 6,980 0 0.0 6,980 0 0.0Fixed Assets 3,085 3,085 0 0.0 3,085 0 0.0Other Real Estate Owned 0 0 0 NA 0 0 NAOther Non Earning Assets 1,041 1,041 0 0.0 1,041 0 0.0
Total Other Assets 11,105 11,105 0 0.0 11,105 0 0.0 ... ... ... ... ... ... ...
Accrued Interest Receivable 0 0 0 NA 0 0 NAUnrealized G/L on Securities 0 0 0 NA 0 0 NA
Total Assets 128,139 128,071 (68) -0.1 128,211 71 0.1 ... ... ... ... ... ... ...Liabilities ... ... ... ... ... ... ...Deposits ... ... ... ... ... ... ...Non Maturity Deposits ... ... ... ... ... ... ...Demand 32,590 32,590 0 0.0 32,590 0 0.0NOW 45,219 45,219 0 0.0 45,219 0 0.0MMDA 0 0 0 NA 0 0 NAMM IRA 0 0 0 NA 0 0 NASavings 11,594 11,594 0 0.0 11,594 0 0.0
Total Non Maturity Deposits 89,402 89,402 0 0.0 89,402 0 0.0 ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ...CD's < $100M 11,980 11,980 0 0.0 11,980 0 0.0CD's $100M+ 6,480 6,480 0 0.0 6,480 0 0.0Variable IRA 0 0 0 NA 0 0 NA
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 69 of 117
Forecast Comparisons As of March 31, 2003
Average Balance Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
IRA's < $100M 0 0 0 NA 0 0 NAIRA's $100M+ 0 0 0 NA 0 0 NA
Total Time Deposits 18,460 18,460 0 0.0 18,460 0 0.0 ... ... ... ... ... ... ...
Other Deposit Amounts 905 905 0 0.0 905 0 0.0Total Deposits 108,768 108,768 0 0.0 108,768 0 0.0
... ... ... ... ... ... ...Borrowings ... ... ... ... ... ... ...Repo's 0 0 0 NA 0 0 NAFHLB Floating 0 0 0 NA 0 0 NAFHLB Short Term 0 0 0 NA 0 0 NAFHLB Long Term 6,734 6,734 0 0.0 6,734 0 0.0Other Borrowings 0 0 0 NA 0 0 NA
Total Borrowings 6,734 6,734 0 0.0 6,734 0 0.0 ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ...Fed Funds Purchased 0 0 0 NA 0 0 NAF.F. Purch. (Bal.) 0 0 0 NA 0 0 NA
Total Funds Purchased 0 0 0 NA 0 0 NA ... ... ... ... ... ... ...
Other Liabilities 2,246 2,246 0 0.0 2,246 0 0.0Accrued Interest Payable 0 0 0 NA 0 0 NA
Total Liabilities 117,748 117,748 0 0.0 117,748 0 0.0 ... ... ... ... ... ... ...Equity ... ... ... ... ... ... ...Common Stock 500 500 0 0.0 500 0 0.0Surplus 1,500 1,500 0 0.0 1,500 0 0.0Securities Gains/Losses 0 0 0 NA 0 0 NARetained Earnings 8,391 8,323 (68) -0.8 8,463 71 0.9Other Comprehensive Income ... ... ... ... ... ... ...Unrealized G/L on Sec (Equity) 0 0 0 NA 0 0 NAAdjustment for Securities Sold 0 0 0 NA 0 0 NAG/L on Derivatives (Equity) 0 0 0 NA 0 0 NAAdjustment for Derivatives Sold 0 0 0 NA 0 0 NA
Total Other Comprehensive Income 0 0 0 NA 0 0 NA ... ... ... ... ... ... ...Total Equity 10,391 10,323 (68) -0.7 10,463 71 0.7
... ... ... ... ... ... ...TOTAL LIABS & EQUITY 128,139 128,071 (68) -0.1 128,211 71 0.1Total Off Balance Sheet 0 0 0 NA 0 0 NATOTAL EARNING ASSETS 124,014 123,946 (68) -0.1 124,085 71 0.1TOTAL INT BEARING LIABS 116,843 116,843 0 0.0 116,843 0 0.0
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 70 of 117
Ending Balance Comparisons
Forecast Comparisons As of March 31, 2003
Ending Balance Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
Assets ... ... ... ... ... ... ...Loans ... ... ... ... ... ... ...Commercial ... ... ... ... ... ... ...Commercial Fixed 4,080 4,080 0 0.0 4,080 0 0.0Commercial Variable Prime 6,164 6,164 0 0.0 6,164 0 0.0Commercial Variable Libor 0 0 0 NA 0 0 NACommercial Variable Fed Funds 0 0 0 NA 0 0 NACommercial Adj Qtrly Prime 146 146 0 0.0 146 0 0.0Commercial Adj 1/1 Prime 137 137 0 0.0 137 0 0.0Commercial Adj 1/1 UST 13 13 0 0.0 13 0 0.0Commercial Adj 2/2 UST 13 13 0 0.0 13 0 0.0Commercial Adj 5/1 Prime 0 0 0 NA 0 0 NACommercial Adj 5/5 Prime 1,239 1,239 0 0.0 1,239 0 0.0Commercial Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Commercial 11,792 11,792 0 0.0 11,792 0 0.0 ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ...Commercial RE Fixed 8,713 8,713 0 0.0 8,713 0 0.0Commercial RE Variable Prime 10,434 10,434 0 0.0 10,434 0 0.0Commercial RE Variable Libor 0 0 0 NA 0 0 NACommercial RE Variable UST 0 0 0 NA 0 0 NACommercial RE Adj Qtrly Prime 364 364 0 0.0 364 0 0.0Commercial RE Adj Qtrly Libor 0 0 0 NA 0 0 NACommercial RE Adj 1/1 Prime 2,953 2,953 0 0.0 2,953 0 0.0Commercial RE Adj 1/1 UST 0 0 0 NA 0 0 NACommercial RE Adj 5/1 Prime 0 0 0 NA 0 0 NACommercial RE Adj 5/1 UST 0 0 0 NA 0 0 NACommercial RE Adj 3/3 Prime 399 399 0 0.0 399 0 0.0Commercial RE Adj 5/5 Prime 10,223 10,223 0 0.0 10,223 0 0.0Commercial RE Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Commercial Real Estate 33,087 33,087 0 0.0 33,087 0 0.0 ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ...Construction Fixed 680 680 0 0.0 680 0 0.0Construction Variable Prime 1,009 1,009 0 0.0 1,009 0 0.0Construction Variable Libor 0 0 0 NA 0 0 NAConstruction Variable UST 0 0 0 NA 0 0 NAConstruction Adj Qtrly Prime 0 0 0 NA 0 0 NAConstruction Adj Qtrly Libor 0 0 0 NA 0 0 NAConstruction Adj 1/1 Prime 1,081 1,081 0 0.0 1,081 0 0.0Construction Adj 1/1 UST 292 292 0 0.0 292 0 0.0Construction Adj 5/1 Prime 0 0 0 NA 0 0 NAConstruction Adj 5/1 UST 0 0 0 NA 0 0 NAConstruction Adj 5/5 Prime 424 424 0 0.0 424 0 0.0Construction Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Construction 3,486 3,486 0 0.0 3,486 0 0.0 ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ...Commercial TE Fixed 23 23 0 0.0 23 0 0.0Commercial TE Adj 1/1 Prime 0 0 0 NA 0 0 NA
Total Commercial Tax Exempt 23 23 0 0.0 23 0 0.0 ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ...Agricultural Fixed 305 305 0 0.0 305 0 0.0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 71 of 117
Forecast Comparisons As of March 31, 2003
Ending Balance Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
Agricultural Variable Prime 4,304 4,304 0 0.0 4,304 0 0.0Agricultural Adj 1/1 Prime 70 70 0 0.0 70 0 0.0
Total Agricultural Loans 4,679 4,679 0 0.0 4,679 0 0.0 ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ...Mortgage Fixed 11,172 11,172 0 0.0 11,172 0 0.0Mortgage Variable Prime 2,834 2,834 0 0.0 2,834 0 0.0Mortgage Adj Qtrly Prime 0 0 0 NA 0 0 NAMortgage ARM 1/1 Prime 3 3 0 0.0 3 0 0.0Mortgage ARM 1/1 UST 426 426 0 0.0 426 0 0.0Mortgage ARM 3/1 UST 1,019 1,019 0 0.0 1,019 0 0.0Mortgage ARM 3/3 Prime 0 0 0 NA 0 0 NAMortgage ARM 3/3 UST 0 0 0 NA 0 0 NAMortgage ARM 5/1 UST 347 347 0 0.0 347 0 0.0Mortgage ARM 5/5 Prime 1,337 1,337 0 0.0 1,337 0 0.0Mortgage ARM 5/5 UST 0 0 0 NA 0 0 NAMortgage ARM 7/1 UST 1,286 1,286 0 0.0 1,286 0 0.0Mortgage ARM 10/10 UST 0 0 0 NA 0 0 NAMtg Loans for Sale 0 0 0 NA 0 0 NA
Total Mortgage 18,423 18,423 0 0.0 18,423 0 0.0 ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ...Consumer Fixed 3,101 3,101 0 0.0 3,101 0 0.0Consumer Variable Prime 111 111 0 0.0 111 0 0.0Consumer Adj Qtrly Prime 0 0 0 NA 0 0 NAConsumer Adj Semi-Annual UST 12 12 0 0.0 12 0 0.0Consumer Adj 1/1 Prime 7 7 0 0.0 7 0 0.0Consumer Adj 1/1 UST 0 0 0 NA 0 0 NAConsumer Adj 3/3 Prime 0 0 0 NA 0 0 NAConsumer Adj 5/5 Prime 105 105 0 0.0 105 0 0.0
Total Consumer 3,335 3,335 0 0.0 3,335 0 0.0 ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ...Home Equity Fixed 1,211 1,211 0 0.0 1,211 0 0.0Home Equity Variable Prime 7,663 7,663 0 0.0 7,663 0 0.0Home Equity Adj Sem-Annually 0 0 0 NA 0 0 NAHome Equity ARM 1/1 Prime 0 0 0 NA 0 0 NAHome Equity ARM 5/1 Prime 0 0 0 NA 0 0 NAHome Equity ARM 5/5 Prime 0 0 0 NA 0 0 NA
Total Home Equity 8,874 8,874 0 0.0 8,874 0 0.0 ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ...Other Fixed Loans 95 95 0 0.0 95 0 0.0Other Loans Variable Prime 186 186 0 0.0 186 0 0.0Credit Cards 0 0 0 NA 0 0 NACredit Cards Adustable Semi-Ann 0 0 0 NA 0 0 NAOverdrafts 0 0 0 NA 0 0 NANonaccrual Loans 0 0 0 NA 0 0 NACharged Off Loans 0 0 0 NA 0 0 NAUnearned Disc. & Oth. 1,143 1,143 0 0.0 1,143 0 0.0
Total Other Loans 1,424 1,424 0 0.0 1,424 0 0.0 ... ... ... ... ... ... ...
Loan Loss Reserve (804) (804) 0 0.0 (804) 0 0.0Total Loans 84,320 84,320 0 0.0 84,320 0 0.0
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 72 of 117
Forecast Comparisons As of March 31, 2003
Ending Balance Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
... ... ... ... ... ... ...Investments ... ... ... ... ... ... ...US Treasuries 52 52 0 0.0 52 0 0.0Agencies Callable 1,050 1,050 0 0.0 1,050 0 0.0Agencies Stuctured 0 0 0 NA 0 0 NAAgencies 0 0 0 NA 0 0 NACallable Certificates of Deposit 0 0 0 NA 0 0 NACertificates of Deposit 0 0 0 NA 0 0 NAStructured CDs 0 0 0 NA 0 0 NAFNMA FHLMC 6 MO ARMs 0 0 0 NA 0 0 NAFNMA FHLMC 1 YR ARMs 0 0 0 NA 0 0 NAGNMA ARMs 0 0 0 NA 0 0 NACMO Fixed 6,339 6,339 0 0.0 6,339 0 0.0CMO Variable 0 0 0 NA 0 0 NAMBS 17,546 17,546 0 0.0 17,546 0 0.0Corporates 539 539 0 0.0 539 0 0.0Municipals 3,904 3,904 0 0.0 3,904 0 0.0Callable Municipals 464 464 0 0.0 464 0 0.0Tax Exempt Municipals 0 0 0 NA 0 0 NAMoney Market Investments 0 0 0 NA 0 0 NAEquity Securities 0 0 0 NA 0 0 NAOther Investments 586 586 0 0.0 586 0 0.0
Total Investments 30,480 30,480 0 0.0 30,480 0 0.0 ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ...Fed Funds Sold 0 0 0 NA 0 0 NAF.F. Sold (Bal.) 5,841 5,554 (288) -4.9 6,093 252 4.3
Total Funds Sold 5,841 5,554 (288) -4.9 6,093 252 4.3 ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ...Cash and Due 7,150 7,150 0 0.0 7,150 0 0.0Fixed Assets 3,160 3,160 0 0.0 3,160 0 0.0Other Real Estate Owned 0 0 0 NA 0 0 NAOther Non Earning Assets 1,066 1,066 0 0.0 1,066 0 0.0
Total Other Assets 11,376 11,376 0 0.0 11,376 0 0.0 ... ... ... ... ... ... ...
Accrued Interest Receivable 0 0 0 NA 0 0 NAUnrealized G/L on Securities 0 0 0 NA 0 0 NA
Total Assets 132,017 131,730 (288) -0.2 132,269 252 0.2 ... ... ... ... ... ... ...Liabilities ... ... ... ... ... ... ...Deposits ... ... ... ... ... ... ...Non Maturity Deposits ... ... ... ... ... ... ...Demand 33,448 33,448 0 0.0 33,448 0 0.0NOW 46,410 46,410 0 0.0 46,410 0 0.0MMDA 0 0 0 NA 0 0 NAMM IRA 0 0 0 NA 0 0 NASavings 11,899 11,899 0 0.0 11,899 0 0.0
Total Non Maturity Deposits 91,757 91,757 0 0.0 91,757 0 0.0 ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ...CD's < $100M 12,264 12,264 0 0.0 12,264 0 0.0CD's $100M+ 6,631 6,631 0 0.0 6,631 0 0.0Variable IRA 0 0 0 NA 0 0 NA
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 73 of 117
Forecast Comparisons As of March 31, 2003
Ending Balance Comparisons Apr-03 - Mar-04 Flat -300 Ramp $ Diff % Diff +300 Ramp $ Diff % Diff
IRA's < $100M 0 0 0 NA 0 0 NAIRA's $100M+ 0 0 0 NA 0 0 NA
Total Time Deposits 18,895 18,895 0 0.0 18,895 0 0.0 ... ... ... ... ... ... ...
Other Deposit Amounts 927 927 0 0.0 927 0 0.0Total Deposits 111,579 111,579 0 0.0 111,579 0 0.0
... ... ... ... ... ... ...Borrowings ... ... ... ... ... ... ...Repo's 0 0 0 NA 0 0 NAFHLB Floating 0 0 0 NA 0 0 NAFHLB Short Term 0 0 0 NA 0 0 NAFHLB Long Term 6,899 6,899 0 0.0 6,899 0 0.0Other Borrowings 0 0 0 NA 0 0 NA
Total Borrowings 6,899 6,899 0 0.0 6,899 0 0.0 ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ...Fed Funds Purchased 0 0 0 NA 0 0 NAF.F. Purch. (Bal.) 0 0 0 NA 0 0 NA
Total Funds Purchased 0 0 0 NA 0 0 NA ... ... ... ... ... ... ...
Other Liabilities 2,301 2,301 0 0.0 2,301 0 0.0Accrued Interest Payable 0 0 0 NA 0 0 NA
Total Liabilities 120,778 120,778 0 0.0 120,778 0 0.0 ... ... ... ... ... ... ...Equity ... ... ... ... ... ... ...Common Stock 500 500 0 0.0 500 0 0.0Surplus 1,500 1,500 0 0.0 1,500 0 0.0Securities Gains/Losses 0 0 0 NA 0 0 NARetained Earnings 9,239 8,951 (288) -3.1 9,491 252 2.7Other Comprehensive Income ... ... ... ... ... ... ...Unrealized G/L on Sec (Equity) 0 0 0 NA 0 0 NAAdjustment for Securities Sold 0 0 0 NA 0 0 NAG/L on Derivatives (Equity) 0 0 0 NA 0 0 NAAdjustment for Derivatives Sold 0 0 0 NA 0 0 NA
Total Other Comprehensive Income 0 0 0 NA 0 0 NA ... ... ... ... ... ... ...Total Equity 11,239 10,951 (288) -2.6 11,491 252 2.2
... ... ... ... ... ... ...TOTAL LIABS & EQUITY 132,017 131,730 (287) -0.2 132,269 252 0.2Total Off Balance Sheet 0 0 0 NA 0 0 NATOTAL EARNING ASSETS 127,791 127,504 (288) -0.2 128,043 252 0.2TOTAL INT BEARING LIABS 119,851 119,851 0 0.0 119,851 0 0.0
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 74 of 117
Average Yield
Forecast Comparisons As of March 31, 2003
Average Yield Apr-03 - Mar-04 Flat -300 Ramp Difference +300 Ramp Difference
Assets ... ... ... ... ...Loans ... ... ... ... ...Commercial ... ... ... ... ...Commercial Fixed 7.30 7.02 -0.28 7.57 0.27Commercial Variable Prime 5.07 3.56 -1.51 6.59 1.51Commercial Variable Libor ... ... ... ... ...Commercial Variable Fed Funds ... ... ... ... ...Commercial Adj Qtrly Prime 5.84 4.66 -1.17 7.06 1.22Commercial Adj 1/1 Prime 6.26 5.48 -0.78 7.02 0.77Commercial Adj 1/1 UST 3.07 2.88 -0.19 3.37 0.30Commercial Adj 2/2 UST 4.33 3.97 -0.36 4.78 0.45Commercial Adj 5/1 Prime ... ... ... ... ...Commercial Adj 5/5 Prime 7.52 7.35 -0.17 7.67 0.15Commercial Adj 5/5 UST ... ... ... ... ...
Total Commercial 6.12 5.19 -0.93 7.05 0.93 ... ... ... ... ...
Commercial Real Estate ... ... ... ... ...Commercial RE Fixed 7.25 7.05 -0.20 7.40 0.15Commercial RE Variable Prime 5.36 3.84 -1.53 6.89 1.53Commercial RE Variable Libor ... ... ... ... ...Commercial RE Variable UST ... ... ... ... ...Commercial RE Adj Qtrly Prime 5.85 5.64 -0.21 6.73 0.87Commercial RE Adj Qtrly Libor ... ... ... ... ...Commercial RE Adj 1/1 Prime 5.34 4.91 -0.43 5.77 0.43Commercial RE Adj 1/1 UST ... ... ... ... ...Commercial RE Adj 5/1 Prime ... ... ... ... ...Commercial RE Adj 5/1 UST ... ... ... ... ...Commercial RE Adj 3/3 Prime 6.56 6.44 -0.12 6.67 0.11Commercial RE Adj 5/5 Prime 7.43 7.23 -0.19 7.59 0.16Commercial RE Adj 5/5 UST ... ... ... ... ...
Total Commercial Real Estate 6.52 5.88 -0.64 7.14 0.62 ... ... ... ... ...
Construction ... ... ... ... ...Construction Fixed 6.35 6.23 -0.11 6.45 0.11Construction Variable Prime 4.95 3.46 -1.49 6.46 1.51Construction Variable Libor ... ... ... ... ...Construction Variable UST ... ... ... ... ...Construction Adj Qtrly Prime ... ... ... ... ...Construction Adj Qtrly Libor ... ... ... ... ...Construction Adj 1/1 Prime 5.26 5.07 -0.19 5.43 0.17Construction Adj 1/1 UST 6.82 6.56 -0.26 7.35 0.53Construction Adj 5/1 Prime ... ... ... ... ...Construction Adj 5/1 UST ... ... ... ... ...Construction Adj 5/5 Prime 8.08 7.90 -0.18 8.26 0.18Construction Adj 5/5 UST ... ... ... ... ...
Total Construction 5.86 5.30 -0.56 6.43 0.58 ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ...Commercial TE Fixed 4.23 3.79 -0.43 4.71 0.49Commercial TE Adj 1/1 Prime ... ... ... ... ...
Total Commercial Tax Exempt 4.23 3.79 -0.43 4.71 0.49 ... ... ... ... ...
Agricultural Loans ... ... ... ... ...Agricultural Fixed 5.83 5.67 -0.16 6.00 0.17
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 75 of 117
Forecast Comparisons As of March 31, 2003
Average Yield Apr-03 - Mar-04 Flat -300 Ramp Difference +300 Ramp Difference
Agricultural Variable Prime 4.56 3.06 -1.50 6.06 1.50Agricultural Adj 1/1 Prime 6.32 5.55 -0.77 7.08 0.76
Total Agricultural Loans 4.67 3.26 -1.40 6.07 1.40 ... ... ... ... ...
Mortgage ... ... ... ... ...Mortgage Fixed 6.35 6.16 -0.19 6.45 0.10Mortgage Variable Prime 5.11 3.55 -1.56 6.60 1.49Mortgage Adj Qtrly Prime ... ... ... ... ...Mortgage ARM 1/1 Prime 5.75 5.49 -0.26 6.01 0.26Mortgage ARM 1/1 UST 6.21 5.93 -0.28 6.61 0.40Mortgage ARM 3/1 UST 5.54 5.10 -0.44 6.31 0.77Mortgage ARM 3/3 Prime ... ... ... ... ...Mortgage ARM 3/3 UST ... ... ... ... ...Mortgage ARM 5/1 UST 7.22 7.05 -0.17 7.46 0.24Mortgage ARM 5/5 Prime 6.91 6.73 -0.18 7.02 0.11Mortgage ARM 5/5 UST ... ... ... ... ...Mortgage ARM 7/1 UST 7.35 7.23 -0.12 7.44 0.09Mortgage ARM 10/10 UST ... ... ... ... ...Mtg Loans for Sale ... ... ... ... ...
Total Mortgage 6.24 5.83 -0.41 6.60 0.36 ... ... ... ... ...
Consumer ... ... ... ... ...Consumer Fixed 8.16 7.83 -0.32 8.48 0.33Consumer Variable Prime 3.90 2.33 -1.58 5.48 1.58Consumer Adj Qtrly Prime ... ... ... ... ...Consumer Adj Semi-Annual UST 2.47 1.99 -0.48 3.30 0.83Consumer Adj 1/1 Prime 5.75 4.95 -0.80 6.55 0.80Consumer Adj 1/1 UST ... ... ... ... ...Consumer Adj 3/3 Prime ... ... ... ... ...Consumer Adj 5/5 Prime 6.92 6.76 -0.16 7.02 0.10
Total Consumer 7.95 7.59 -0.36 8.32 0.36 ... ... ... ... ...
Home Equity ... ... ... ... ...Home Equity Fixed 6.88 6.66 -0.22 7.11 0.24Home Equity Variable Prime 4.77 4.64 -0.13 6.27 1.50Home Equity Adj Sem-Annually ... ... ... ... ...Home Equity ARM 1/1 Prime ... ... ... ... ...Home Equity ARM 5/1 Prime ... ... ... ... ...Home Equity ARM 5/5 Prime ... ... ... ... ...
Total Home Equity 5.06 4.92 -0.14 6.39 1.33 ... ... ... ... ...
Other Loans ... ... ... ... ...Other Fixed Loans 7.95 7.54 -0.41 8.38 0.43Other Loans Variable Prime 6.56 4.92 -1.64 8.19 1.64Credit Cards ... ... ... ... ...Credit Cards Adustable Semi-Ann ... ... ... ... ...Overdrafts ... ... ... ... ...Unearned Disc. & Oth. 0.00 0.00 0.00 0.00 0.00
Total Other Loans 1.39 1.15 -0.24 1.63 0.24 ... ... ... ... ...
Loan Loss Reserve 0.00 0.00 0.00 0.00 0.00Total Loans 6.15 5.55 -0.60 6.86 0.71
... ... ... ... ...Investments ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 76 of 117
Forecast Comparisons As of March 31, 2003
Average Yield Apr-03 - Mar-04 Flat -300 Ramp Difference +300 Ramp Difference
US Treasuries 1.85 1.59 -0.26 2.11 0.26Agencies Callable 0.06 0.03 -0.03 0.09 0.03Agencies Stuctured ... ... ... ... ...Agencies ... ... ... ... ...Callable Certificates of Deposit ... ... ... ... ...Certificates of Deposit ... ... ... ... ...Structured CDs ... ... ... ... ...FNMA FHLMC 6 MO ARMs ... ... ... ... ...FNMA FHLMC 1 YR ARMs ... ... ... ... ...GNMA ARMs ... ... ... ... ...CMO Fixed 4.68 4.34 -0.35 5.00 0.32CMO Variable ... ... ... ... ...MBS 5.20 4.81 -0.38 5.46 0.26Corporates 7.61 7.59 -0.02 7.64 0.03Municipals 4.96 4.93 -0.03 4.98 0.03Callable Municipals 0.00 0.00 0.00 0.00 0.00Tax Exempt Municipals ... ... ... ... ...Money Market Investments ... ... ... ... ...Equity Securities ... ... ... ... ...Other Investments 1.22 0.34 -0.88 2.85 1.63
Total Investments 4.76 4.45 -0.32 5.02 0.26 ... ... ... ... ...
Funds Sold ... ... ... ... ...Fed Funds Sold 1.22 0.97 -0.25 1.47 0.25F.F. Sold (Bal.) 1.24 0.31 -0.93 3.04 1.80
Total Funds Sold 1.24 0.33 -0.91 2.99 1.75 ... ... ... ... ...
Other Assets ... ... ... ... ...Cash and Due 0.00 0.00 0.00 0.00 0.00
Total Other Assets 0.00 0.00 0.00 0.00 0.00 ... ... ... ... ...Total Assets 5.11 4.61 -0.49 5.69 0.58
... ... ... ... ...Liabilities ... ... ... ... ...Deposits ... ... ... ... ...Non Maturity Deposits ... ... ... ... ...Demand 0.00 0.00 0.00 0.00 0.00NOW 1.15 0.61 -0.54 1.97 0.82MMDA ... ... ... ... ...MM IRA ... ... ... ... ...Savings 0.50 0.31 -0.19 0.69 0.19
Total Non Maturity Deposits 0.65 0.35 -0.30 1.09 0.44 ... ... ... ... ...
Time Deposits ... ... ... ... ...CD's < $100M 2.13 1.66 -0.47 2.67 0.54CD's $100M+ 1.98 1.60 -0.38 2.56 0.59Variable IRA ... ... ... ... ...IRA's < $100M ... ... ... ... ...IRA's $100M+ ... ... ... ... ...
Total Time Deposits 2.08 1.64 -0.44 2.63 0.56 ... ... ... ... ...
Total Deposits 0.88 0.57 -0.32 1.34 0.46 ... ... ... ... ...
Borrowings ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 77 of 117
Forecast Comparisons As of March 31, 2003
Average Yield Apr-03 - Mar-04 Flat -300 Ramp Difference +300 Ramp Difference
Repo's ... ... ... ... ...FHLB Floating ... ... ... ... ...FHLB Short Term ... ... ... ... ...FHLB Long Term 4.80 4.77 -0.02 4.83 0.03Other Borrowings ... ... ... ... ...
Total Borrowings 4.80 4.77 -0.02 4.83 0.03 ... ... ... ... ...
Funds Purchased ... ... ... ... ...Fed Funds Purchased ... ... ... ... ...F.F. Purch. (Bal.) ... ... ... ... ...
Total Funds Purchased ... ... ... ... ... ... ... ... ... ...
Other Liabilities 0.00 0.00 0.00 0.00 0.00Total Liabilities 1.09 0.80 -0.29 1.51 0.42
... ... ... ... ...TOTAL EARNING ASSETS 0.00 0.00 0.00 0.00 0.00TOTAL INT BEARING LIABS 0.00 0.00 0.00 0.00 0.00
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08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 78 of 117
Economic Value Comparisons
Forecast Comparisons As of March 31, 2003
Economic Value Comparisons Apr-03 - Mar-04 Flat -200 Shock $ Diff % Diff +200 Shock $ Diff % Diff
Assets ... ... ... ... ... ... ...Loans ... ... ... ... ... ... ...Commercial ... ... ... ... ... ... ...Commercial Fixed 4,026 4,105 78 1.9 3,913 (113) -2.8Commercial Variable Prime 5,869 5,874 5 0.1 5,864 (5) -0.1Commercial Variable Libor 0 0 0 NA 0 0 NACommercial Variable Fed Funds 0 0 0 NA 0 0 NACommercial Adj Qtrly Prime 139 139 0 0.2 139 0 -0.2Commercial Adj 1/1 Prime 131 132 1 0.5 130 (1) -0.5Commercial Adj 1/1 UST 6 7 0 4.9 6 0 -1.3Commercial Adj 2/2 UST 13 13 0 0.6 12 0 -1.3Commercial Adj 5/1 Prime 0 0 0 NA 0 0 NACommercial Adj 5/5 Prime 1,244 1,296 52 4.2 1,189 (55) -4.4Commercial Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Commercial 11,429 11,566 137 1.2 11,255 (174) -1.5 ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ...Commercial RE Fixed 8,522 8,934 412 4.8 7,906 (616) -7.2Commercial RE Variable Prime 9,937 9,944 7 0.1 9,930 (7) -0.1Commercial RE Variable Libor 0 0 0 NA 0 0 NACommercial RE Variable UST 0 0 0 NA 0 0 NACommercial RE Adj Qtrly Prime 347 348 0 0.1 347 0 -0.1Commercial RE Adj Qtrly Libor 0 0 0 NA 0 0 NACommercial RE Adj 1/1 Prime 2,819 2,854 35 1.2 2,783 (35) -1.3Commercial RE Adj 1/1 UST 0 0 0 NA 0 0 NACommercial RE Adj 5/1 Prime 0 0 0 NA 0 0 NACommercial RE Adj 5/1 UST 0 0 0 NA 0 0 NACommercial RE Adj 3/3 Prime 401 417 16 4.0 384 (17) -4.2Commercial RE Adj 5/5 Prime 10,258 10,635 377 3.7 9,838 (420) -4.1Commercial RE Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Commercial Real Estate 32,284 33,132 848 2.6 31,188 (1,096) -3.4 ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ...Construction Fixed 635 697 62 9.8 534 (101) -15.9Construction Variable Prime 961 961 1 0.1 960 (1) -0.1Construction Variable Libor 0 0 0 NA 0 0 NAConstruction Variable UST 0 0 0 NA 0 0 NAConstruction Adj Qtrly Prime 0 0 0 NA 0 0 NAConstruction Adj Qtrly Libor 0 0 0 NA 0 0 NAConstruction Adj 1/1 Prime 1,030 1,049 19 1.8 1,011 (19) -1.8Construction Adj 1/1 UST 285 287 2 0.6 281 (4) -1.3Construction Adj 5/1 Prime 0 0 0 NA 0 0 NAConstruction Adj 5/1 UST 0 0 0 NA 0 0 NAConstruction Adj 5/5 Prime 435 453 18 4.2 417 (18) -4.2Construction Adj 5/5 UST 0 0 0 NA 0 0 NA
Total Construction 3,345 3,447 101 3.0 3,203 (142) -4.2 ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ...Commercial TE Fixed 22 22 0 0.6 22 0 -1.1Commercial TE Adj 1/1 Prime 0 0 0 NA 0 0 NA
Total Commercial Tax Exempt 22 22 0 0.6 22 0 -1.1 ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ...Agricultural Fixed 293 303 11 3.7 277 (15) -5.2
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 79 of 117
Forecast Comparisons As of March 31, 2003
Economic Value Comparisons Apr-03 - Mar-04 Flat -200 Shock $ Diff % Diff +200 Shock $ Diff % Diff
Agricultural Variable Prime 4,100 4,104 4 0.1 4,096 (4) -0.1Agricultural Adj 1/1 Prime 67 67 1 0.8 66 (1) -0.8
Total Agricultural Loans 4,459 4,474 15 0.3 4,440 (19) -0.4 ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ...Mortgage Fixed 10,782 11,240 458 4.2 9,920 (862) -8.0Mortgage Variable Prime 2,699 2,700 1 0.0 2,697 (1) 0.0Mortgage Adj Qtrly Prime 0 0 0 NA 0 0 NAMortgage ARM 1/1 Prime 3 3 0 0.2 3 0 -0.2Mortgage ARM 1/1 UST 415 417 2 0.5 409 (6) -1.4Mortgage ARM 3/1 UST 987 991 4 0.4 976 (10) -1.0Mortgage ARM 3/3 Prime 0 0 0 NA 0 0 NAMortgage ARM 3/3 UST 0 0 0 NA 0 0 NAMortgage ARM 5/1 UST 344 348 4 1.2 336 (8) -2.5Mortgage ARM 5/5 Prime 1,314 1,366 52 3.9 1,245 (69) -5.2Mortgage ARM 5/5 UST 0 0 0 NA 0 0 NAMortgage ARM 7/1 UST 1,313 1,359 45 3.5 1,246 (67) -5.1Mortgage ARM 10/10 UST 0 0 0 NA 0 0 NAMtg Loans for Sale 0 0 0 NA 0 0 NA
Total Mortgage 17,857 18,424 567 3.2 16,833 (1,024) -5.7 ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ...Consumer Fixed 2,962 3,011 49 1.7 2,894 (68) -2.3Consumer Variable Prime 105 105 0 0.0 105 0 0.0Consumer Adj Qtrly Prime 0 0 0 NA 0 0 NAConsumer Adj Semi-Annual UST 11 11 0 0.4 11 0 -0.9Consumer Adj 1/1 Prime 7 7 0 0.0 7 0 0.0Consumer Adj 1/1 UST 0 0 0 NA 0 0 NAConsumer Adj 3/3 Prime 0 0 0 NA 0 0 NAConsumer Adj 5/5 Prime 103 107 4 4.1 98 (5) -4.8
Total Consumer 3,188 3,242 54 1.7 3,115 (73) -2.3 ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ...Home Equity Fixed 1,280 1,320 40 3.2 1,238 (41) -3.2Home Equity Variable Prime 7,298 7,305 7 0.1 7,291 (7) -0.1Home Equity Adj Sem-Annually 0 0 0 NA 0 0 NAHome Equity ARM 1/1 Prime 0 0 0 NA 0 0 NAHome Equity ARM 5/1 Prime 0 0 0 NA 0 0 NAHome Equity ARM 5/5 Prime 0 0 0 NA 0 0 NA
Total Home Equity 8,578 8,625 47 0.6 8,529 (48) -0.6 ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ...Other Fixed Loans 91 91 0 0.0 91 0 0.0Other Loans Variable Prime 177 177 0 0.0 177 0 0.0Credit Cards 0 0 0 NA 0 0 NACredit Cards Adustable Semi-Ann 0 0 0 NA 0 0 NAOverdrafts 0 0 0 NA 0 0 NANonaccrual Loans 0 0 0 NA 0 0 NACharged Off Loans 0 0 0 NA 0 0 NAUnearned Disc. & Oth. 1,088 1,088 0 0.0 1,088 0 0.0
Total Other Loans 1,356 1,356 0 0.0 1,356 0 0.0 ... ... ... ... ... ... ...
Loan Loss Reserve (766) (766) 0 0.0 (766) 0 0.0Total Loans 81,753 83,522 1,769 2.2 79,175 (2,578) -3.2
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 80 of 117
Forecast Comparisons As of March 31, 2003
Economic Value Comparisons Apr-03 - Mar-04 Flat -200 Shock $ Diff % Diff +200 Shock $ Diff % Diff
... ... ... ... ... ... ...Investments ... ... ... ... ... ... ...US Treasuries 50 50 0 0.0 50 0 -0.1Agencies Callable 968 989 21 2.2 934 (33) -3.5Agencies Stuctured 0 0 0 NA 0 0 NAAgencies 0 0 0 NA 0 0 NACallable Certificates of Deposit 0 0 0 NA 0 0 NACertificates of Deposit 0 0 0 NA 0 0 NAStructured CDs 0 0 0 NA 0 0 NAFNMA FHLMC 6 MO ARMs 0 0 0 NA 0 0 NAFNMA FHLMC 1 YR ARMs 0 0 0 NA 0 0 NAGNMA ARMs 0 0 0 NA 0 0 NACMO Fixed 6,283 6,325 42 0.7 6,143 (140) -2.2CMO Variable 0 0 0 NA 0 0 NAMBS 17,663 17,875 212 1.2 16,894 (769) -4.4Corporates 551 557 6 1.2 538 (12) -2.3Municipals 4,174 4,916 742 17.8 3,568 (606) -14.5Callable Municipals 460 502 42 9.1 422 (38) -8.3Tax Exempt Municipals 0 0 0 NA 0 0 NAMoney Market Investments 0 0 0 NA 0 0 NAEquity Securities 0 0 0 NA 0 0 NAOther Investments 558 558 0 0.0 557 0 -0.1
Total Investments 30,706 31,772 1,066 3.5 29,107 (1,599) -5.2 ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ...Fed Funds Sold 4,249 4,249 0 0.0 4,249 0 0.0F.F. Sold (Bal.) 0 0 0 NA 0 0 NA
Total Funds Sold 4,249 4,249 0 0.0 4,249 0 0.0 ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ...Cash and Due 6,810 6,810 0 0.0 6,810 0 0.0Fixed Assets 3,010 3,010 0 0.0 3,010 0 0.0Other Real Estate Owned 0 0 0 NA 0 0 NAOther Non Earning Assets 1,015 1,015 0 0.0 1,015 0 0.0
Total Other Assets 10,835 10,835 0 0.0 10,835 0 0.0 ... ... ... ... ... ... ...
Accrued Interest Receivable 0 0 0 NA 0 0 NAUnrealized G/L on Securities 0 0 0 NA 0 0 NA
Total Assets 127,542 130,378 2,835 2.2 123,366 (4,177) -3.3 ... ... ... ... ... ... ...Liabilities ... ... ... ... ... ... ...Deposits ... ... ... ... ... ... ...Non Maturity Deposits ... ... ... ... ... ... ...Demand 31,855 31,855 0 0.0 31,855 0 0.0NOW 44,200 44,200 0 0.0 44,200 0 0.0MMDA 0 0 0 NA 0 0 NAMM IRA 0 0 0 NA 0 0 NASavings 11,333 11,333 0 0.0 11,333 0 0.0
Total Non Maturity Deposits 87,388 87,388 0 0.0 87,388 0 0.0 ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ...CD's < $100M 11,726 11,812 86 0.7 11,590 (136) -1.2CD's $100M+ 6,337 6,394 56 0.9 6,251 (86) -1.4Variable IRA 0 0 0 NA 0 0 NA
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 81 of 117
Forecast Comparisons As of March 31, 2003
Economic Value Comparisons Apr-03 - Mar-04 Flat -200 Shock $ Diff % Diff +200 Shock $ Diff % Diff
IRA's < $100M 0 0 0 NA 0 0 NAIRA's $100M+ 0 0 0 NA 0 0 NA
Total Time Deposits 18,063 18,206 143 0.8 17,841 (222) -1.2 ... ... ... ... ... ... ...
Other Deposit Amounts 883 883 0 0.0 883 0 0.0Total Deposits 106,334 106,476 143 0.1 106,111 (222) -0.2
... ... ... ... ... ... ...Borrowings ... ... ... ... ... ... ...Repo's 0 0 0 NA 0 0 NAFHLB Floating 0 0 0 NA 0 0 NAFHLB Short Term 0 0 0 NA 0 0 NAFHLB Long Term 7,038 7,577 539 7.7 6,522 (517) -7.3Other Borrowings 0 0 0 NA 0 0 NA
Total Borrowings 7,038 7,577 539 7.7 6,522 (517) -7.3 ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ...Fed Funds Purchased 0 0 0 NA 0 0 NAF.F. Purch. (Bal.) 0 0 0 NA 0 0 NA
Total Funds Purchased 0 0 0 NA 0 0 NA ... ... ... ... ... ... ...
Other Liabilities 2,191 2,191 0 0.0 2,191 0 0.0Accrued Interest Payable 0 0 0 NA 0 0 NA
Total Liabilities 115,563 116,244 681 0.6 114,824 (739) -0.6 ... ... ... ... ... ... ...Equity ... ... ... ... ... ... ...Common Stock 500 500 0 0.0 500 0 0.0Surplus 1,500 1,500 0 0.0 1,500 0 0.0Securities Gains/Losses 0 0 0 NA 0 0 NARetained Earnings 0 0 0 NA 0 0 NAOther Comprehensive Income ... ... ... ... ... ... ...Unrealized G/L on Sec (Equity) 0 0 0 NA 0 0 NAAdjustment for Securities Sold 0 0 0 NA 0 0 NAG/L on Derivatives (Equity) 0 0 0 NA 0 0 NAAdjustment for Derivatives Sold 0 0 0 NA 0 0 NA
Total Other Comprehensive Income 0 0 0 NA 0 0 NA ... ... ... ... ... ... ...Total Equity 11,979 14,133 2,154 18.0 8,542 (3,438) -28.7
... ... ... ... ... ... ...TOTAL LIABS & EQUITY ... ... ... ... ... ... ...Total Off Balance Sheet 0 0 0 NA 0 0 NATOTAL EARNING ASSETS 0 0 0 NA 0 0 NATOTAL INT BEARING LIABS 0 0 0 NA 0 0 NA
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 82 of 117
Modified Duration Comparisons
Forecast Comparisons As of March 31, 2003
Modified Duration Comparisons Apr-03 - Mar-04 Flat -200 Shock Diff % Diff +200 Shock Diff % Diff
Assets ... ... ... ... ... ... ...Loans ... ... ... ... ... ... ...Commercial ... ... ... ... ... ... ...Commercial Fixed 1.40 1.36 -0.04 -3.1 1.44 0.04 3.0Commercial Variable Prime 0.04 0.04 0.00 1.9 0.04 0.00 -1.9Commercial Variable Libor 0.00 0.00 0.00 NA 0.00 0.00 NACommercial Variable Fed Funds 0.00 0.00 0.00 NA 0.00 0.00 NACommercial Adj Qtrly Prime 0.07 0.08 0.00 2.0 0.07 0.00 -1.9Commercial Adj 1/1 Prime 0.25 0.25 0.00 1.1 0.25 0.00 -0.7Commercial Adj 1/1 UST 0.66 0.65 -0.01 -1.1 0.64 -0.01 -2.1Commercial Adj 2/2 UST 0.67 0.65 -0.02 -2.9 0.65 -0.02 -2.4Commercial Adj 5/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NACommercial Adj 5/5 Prime 2.19 2.12 -0.07 -3.3 2.34 0.15 7.1Commercial Adj 5/5 UST 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Commercial 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ...Commercial RE Fixed 2.72 2.52 -0.20 -7.5 3.21 0.49 18.0Commercial RE Variable Prime 0.04 0.04 0.00 1.9 0.03 0.00 -1.9Commercial RE Variable Libor 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Variable UST 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj Qtrly Prime 0.06 0.07 0.00 2.0 0.06 0.00 -1.9Commercial RE Adj Qtrly Libor 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj 1/1 Prime 0.60 0.60 0.00 -0.3 0.60 0.00 -0.8Commercial RE Adj 1/1 UST 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj 5/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj 5/1 UST 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj 3/3 Prime 2.10 2.07 -0.04 -1.8 2.18 0.07 3.5Commercial RE Adj 5/5 Prime 2.05 1.96 -0.09 -4.4 2.16 0.12 5.6Commercial RE Adj 5/5 UST 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Commercial Real Estate 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ...Construction Fixed 4.40 4.16 -0.24 -5.4 5.45 1.06 24.0Construction Variable Prime 0.04 0.04 0.00 1.9 0.04 0.00 -1.9Construction Variable Libor 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Variable UST 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj Qtrly Prime 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj Qtrly Libor 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj 1/1 Prime 0.87 0.87 0.00 -0.2 0.86 -0.02 -1.9Construction Adj 1/1 UST 0.66 0.66 0.01 0.8 0.66 0.00 0.1Construction Adj 5/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj 5/1 UST 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj 5/5 Prime 2.18 2.16 -0.02 -0.8 2.31 0.13 5.8Construction Adj 5/5 UST 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Construction 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ...Commercial TE Fixed 0.55 0.56 0.01 1.3 0.55 0.00 -0.2Commercial TE Adj 1/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Commercial Tax Exempt 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ...Agricultural Fixed 2.13 2.01 -0.12 -5.8 2.26 0.13 5.9
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 83 of 117
Forecast Comparisons As of March 31, 2003
Modified Duration Comparisons Apr-03 - Mar-04 Flat -200 Shock Diff % Diff +200 Shock Diff % Diff
Agricultural Variable Prime 0.04 0.05 0.00 2.0 0.04 0.00 -1.9Agricultural Adj 1/1 Prime 0.36 0.37 0.00 1.0 0.36 0.00 -0.5
Total Agricultural Loans 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ...Mortgage Fixed 3.18 2.20 -0.98 -30.9 3.97 0.80 25.1Mortgage Variable Prime 0.02 0.02 0.00 1.9 0.02 0.00 -1.9Mortgage Adj Qtrly Prime 0.00 0.00 0.00 NA 0.00 0.00 NAMortgage ARM 1/1 Prime 0.08 0.08 0.00 1.9 0.07 0.00 -1.9Mortgage ARM 1/1 UST 0.69 0.67 -0.02 -2.6 0.67 -0.02 -2.4Mortgage ARM 3/1 UST 0.51 0.51 0.00 0.1 0.50 -0.01 -1.9Mortgage ARM 3/3 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAMortgage ARM 3/3 UST 0.00 0.00 0.00 NA 0.00 0.00 NAMortgage ARM 5/1 UST 1.20 1.17 -0.03 -2.7 1.17 -0.03 -2.7Mortgage ARM 5/5 Prime 2.59 2.17 -0.42 -16.4 2.54 -0.05 -2.0Mortgage ARM 5/5 UST 0.00 0.00 0.00 NA 0.00 0.00 NAMortgage ARM 7/1 UST 2.53 2.36 -0.17 -6.8 2.46 -0.08 -3.1Mortgage ARM 10/10 UST 0.00 0.00 0.00 NA 0.00 0.00 NAMtg Loans for Sale 0.00 0.00 0.00 0.0 0.00 0.00 0.0
Total Mortgage 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ...Consumer Fixed 0.98 0.92 -0.06 -6.2 1.05 0.07 6.8Consumer Variable Prime 0.02 0.02 0.00 2.0 0.02 0.00 -1.9Consumer Adj Qtrly Prime 0.00 0.00 0.00 NA 0.00 0.00 NAConsumer Adj Semi-Annual UST 0.45 0.45 0.01 1.3 0.44 -0.01 -2.0Consumer Adj 1/1 Prime 0.01 0.01 0.00 1.9 0.01 0.00 -1.9Consumer Adj 1/1 UST 0.00 0.00 0.00 NA 0.00 0.00 NAConsumer Adj 3/3 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAConsumer Adj 5/5 Prime 2.34 2.14 -0.20 -8.4 2.35 0.01 0.6
Total Consumer 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ...Home Equity Fixed 1.88 1.97 0.09 4.9 1.96 0.08 4.4Home Equity Variable Prime 0.05 0.05 0.00 1.9 0.04 0.00 -1.9Home Equity Adj Sem-Annually 0.00 0.00 0.00 NA 0.00 0.00 NAHome Equity ARM 1/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAHome Equity ARM 5/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAHome Equity ARM 5/5 Prime 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Home Equity 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ...Other Fixed Loans 0.00 0.00 0.00 NA 0.00 0.00 NAOther Loans Variable Prime 0.00 0.00 0.00 NA 0.00 0.00 NACredit Cards 0.00 0.00 0.00 0.0 0.00 0.00 0.0Credit Cards Adustable Semi-Ann 0.00 0.00 0.00 NA 0.00 0.00 NAOverdrafts 0.00 0.00 0.00 0.0 0.00 0.00 0.0Nonaccrual Loans 8.00 8.00 0.00 0.0 8.00 0.00 0.0Charged Off Loans 8.00 8.00 0.00 0.0 8.00 0.00 0.0Unearned Disc. & Oth. 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Other Loans 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Loan Loss Reserve 8.00 8.00 0.00 0.0 8.00 0.00 0.0Total Loans 0.00 0.00 0.00 NA 0.00 0.00 NA
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 84 of 117
Forecast Comparisons As of March 31, 2003
Modified Duration Comparisons Apr-03 - Mar-04 Flat -200 Shock Diff % Diff +200 Shock Diff % Diff
... ... ... ... ... ... ...Investments ... ... ... ... ... ... ...US Treasuries 0.04 0.04 0.00 0.9 0.04 0.00 -1.9Agencies Callable 1.75 1.77 0.02 1.2 1.71 -0.03 -1.9Agencies Stuctured 0.00 0.00 0.00 NA 0.00 0.00 NAAgencies 0.00 0.00 0.00 NA 0.00 0.00 NACallable Certificates of Deposit 0.00 0.00 0.00 NA 0.00 0.00 NACertificates of Deposit 0.00 0.00 0.00 NA 0.00 0.00 NAStructured CDs 0.00 0.00 0.00 NA 0.00 0.00 NAFNMA FHLMC 6 MO ARMs 0.00 0.00 0.00 NA 0.00 0.00 NAFNMA FHLMC 1 YR ARMs 0.00 0.00 0.00 NA 0.00 0.00 NAGNMA ARMs 0.00 0.00 0.00 NA 0.00 0.00 NACMO Fixed 1.21 1.02 -0.18 -15.1 1.42 0.22 18.0CMO Variable 0.00 0.00 0.00 NA 0.00 0.00 NAMBS 1.79 1.43 -0.36 -19.9 2.69 0.90 50.4Corporates 1.14 1.15 0.01 1.0 1.12 -0.02 -2.0Municipals 7.67 8.18 0.51 6.7 7.19 -0.49 -6.3Callable Municipals 4.31 4.62 0.31 7.2 4.02 -0.29 -6.6Tax Exempt Municipals 0.00 0.00 0.00 NA 0.00 0.00 NAMoney Market Investments 0.00 0.00 0.00 0.0 0.00 0.00 0.0Equity Securities 0.00 0.00 0.00 0.0 0.00 0.00 0.0Other Investments 0.04 0.04 0.00 1.0 0.04 0.00 -1.9
Total Investments 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ...Fed Funds Sold 0.00 0.00 0.00 0.0 0.00 0.00 0.0F.F. Sold (Bal.) 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Funds Sold 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ...Cash and Due 8.00 8.00 0.00 0.0 8.00 0.00 0.0Fixed Assets 8.00 8.00 0.00 0.0 8.00 0.00 0.0Other Real Estate Owned 8.00 8.00 0.00 0.0 8.00 0.00 0.0Other Non Earning Assets 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Other Assets 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Accrued Interest Receivable ... ... ... ... ... ... ...Unrealized G/L on Securities 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Assets 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...Liabilities ... ... ... ... ... ... ...Deposits ... ... ... ... ... ... ...Non Maturity Deposits ... ... ... ... ... ... ...Demand 1.43 8.00 6.57 459.9 8.00 6.57 459.9NOW 0.53 0.00 -0.53 -99.4 0.00 -0.53 -99.4MMDA 0.00 0.00 0.00 NA 0.00 0.00 NAMM IRA 0.00 0.00 0.00 0.0 0.00 0.00 0.0Savings 1.08 0.00 -1.07 -99.7 0.00 -1.07 -99.7
Total Non Maturity Deposits 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ...CD's < $100M 0.59 0.60 0.02 3.1 0.56 -0.02 -3.9CD's $100M+ 0.69 0.71 0.02 3.4 0.66 -0.03 -4.1Variable IRA 0.00 0.00 0.00 NA 0.00 0.00 NA
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 85 of 117
Forecast Comparisons As of March 31, 2003
Modified Duration Comparisons Apr-03 - Mar-04 Flat -200 Shock Diff % Diff +200 Shock Diff % Diff
IRA's < $100M 0.00 0.00 0.00 NA 0.00 0.00 NAIRA's $100M+ 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Time Deposits 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Other Deposit Amounts 8.00 8.00 0.00 0.0 8.00 0.00 0.0Total Deposits 0.00 0.00 0.00 NA 0.00 0.00 NA
... ... ... ... ... ... ...Borrowings ... ... ... ... ... ... ...Repo's 0.00 0.00 0.00 0.0 0.00 0.00 0.0FHLB Floating 0.00 0.00 0.00 0.0 0.00 0.00 0.0FHLB Short Term 0.00 0.00 0.00 NA 0.00 0.00 NAFHLB Long Term 3.73 3.86 0.13 3.5 3.61 -0.12 -3.2Other Borrowings 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Borrowings 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ...Fed Funds Purchased 0.00 0.00 0.00 0.0 0.00 0.00 0.0F.F. Purch. (Bal.) 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Funds Purchased 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Other Liabilities 8.00 8.00 0.00 0.0 8.00 0.00 0.0Accrued Interest Payable ... ... ... ... ... ... ...
Total Liabilities 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...Equity ... ... ... ... ... ... ...Common Stock 8.00 8.00 0.00 0.0 8.00 0.00 0.0Surplus 8.00 8.00 0.00 0.0 8.00 0.00 0.0Securities Gains/Losses 8.00 8.00 0.00 0.0 8.00 0.00 0.0Retained Earnings 0.00 0.00 0.00 NA 0.00 0.00 NAOther Comprehensive Income ... ... ... ... ... ... ...Unrealized G/L on Sec (Equity) 8.00 8.00 0.00 0.0 8.00 0.00 0.0Adjustment for Securities Sold 8.00 8.00 0.00 0.0 8.00 0.00 0.0G/L on Derivatives (Equity) 8.00 8.00 0.00 0.0 8.00 0.00 0.0Adjustment for Derivatives Sold 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Other Comprehensive Income 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...Total Equity 0.00 0.00 0.00 NA 0.00 0.00 NA
... ... ... ... ... ... ...TOTAL LIABS & EQUITY ... ... ... ... ... ... ...Total Off Balance Sheet 0.00 0.00 0.00 NA 0.00 0.00 NATOTAL EARNING ASSETS 0.00 0.00 0.00 NA 0.00 0.00 NATOTAL INT BEARING LIABS 0.00 0.00 0.00 NA 0.00 0.00 NA
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 86 of 117
Macaulay Comparisons
Forecast Comparisons As of March 31, 2003
Macaulay Comparisons Apr-03 - Mar-04 Flat -200 Shock Diff % Diff +200 Shock Diff % Diff
Assets ... ... ... ... ... ... ...Loans ... ... ... ... ... ... ...Commercial ... ... ... ... ... ... ...Commercial Fixed 1.48 1.41 -0.07 -4.5 1.55 0.07 5.0Commercial Variable Prime 0.04 0.04 0.00 0.0 0.04 0.00 0.0Commercial Variable Libor 0.00 0.00 0.00 NA 0.00 0.00 NACommercial Variable Fed Funds 0.00 0.00 0.00 NA 0.00 0.00 NACommercial Adj Qtrly Prime 0.08 0.08 0.00 0.0 0.08 0.00 0.0Commercial Adj 1/1 Prime 0.26 0.26 0.00 -0.9 0.27 0.00 1.2Commercial Adj 1/1 UST 0.66 0.65 -0.01 -2.2 0.66 0.00 -0.2Commercial Adj 2/2 UST 0.70 0.67 -0.03 -3.9 0.69 0.00 -0.5Commercial Adj 5/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NACommercial Adj 5/5 Prime 2.30 2.18 -0.12 -5.1 2.51 0.21 9.1Commercial Adj 5/5 UST 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Commercial 0.80 0.77 -0.03 -3.3 0.83 0.03 4.3 ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ...Commercial RE Fixed 2.90 2.63 -0.27 -9.3 3.50 0.60 20.6Commercial RE Variable Prime 0.04 0.04 0.00 0.0 0.04 0.00 0.0Commercial RE Variable Libor 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Variable UST 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj Qtrly Prime 0.07 0.07 0.00 0.0 0.07 0.00 0.0Commercial RE Adj Qtrly Libor 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj 1/1 Prime 0.63 0.62 -0.01 -2.2 0.64 0.01 1.1Commercial RE Adj 1/1 UST 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj 5/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj 5/1 UST 0.00 0.00 0.00 NA 0.00 0.00 NACommercial RE Adj 3/3 Prime 2.19 2.11 -0.08 -3.7 2.31 0.12 5.5Commercial RE Adj 5/5 Prime 2.15 2.02 -0.13 -6.2 2.32 0.16 7.6Commercial RE Adj 5/5 UST 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Commercial Real Estate 1.55 1.45 -0.10 -6.2 1.72 0.17 11.1 ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ...Construction Fixed 4.73 4.37 -0.36 -7.6 6.04 1.31 27.8Construction Variable Prime 0.04 0.04 0.00 0.0 0.04 0.00 0.0Construction Variable Libor 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Variable UST 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj Qtrly Prime 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj Qtrly Libor 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj 1/1 Prime 0.92 0.90 -0.02 -2.1 0.92 0.00 0.0Construction Adj 1/1 UST 0.70 0.69 -0.01 -1.2 0.72 0.02 2.4Construction Adj 5/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj 5/1 UST 0.00 0.00 0.00 NA 0.00 0.00 NAConstruction Adj 5/5 Prime 2.30 2.23 -0.06 -2.7 2.48 0.18 7.8Construction Adj 5/5 UST 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Construction 1.55 1.52 -0.03 -2.0 1.70 0.14 9.3 ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ...Commercial TE Fixed 0.56 0.56 0.00 0.3 0.57 0.01 1.8Commercial TE Adj 1/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Commercial Tax Exempt 0.56 0.56 0.00 0.3 0.57 0.01 1.8 ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ...Agricultural Fixed 2.27 2.09 -0.17 -7.6 2.45 0.18 8.2
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 87 of 117
Forecast Comparisons As of March 31, 2003
Macaulay Comparisons Apr-03 - Mar-04 Flat -200 Shock Diff % Diff +200 Shock Diff % Diff
Agricultural Variable Prime 0.05 0.05 0.00 0.0 0.05 0.00 0.0Agricultural Adj 1/1 Prime 0.38 0.38 0.00 -0.9 0.39 0.01 1.4
Total Agricultural Loans 0.20 0.19 -0.01 -3.5 0.20 0.00 2.4 ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ...Mortgage Fixed 3.36 2.28 -1.08 -32.2 4.29 0.92 27.4Mortgage Variable Prime 0.03 0.03 0.00 0.0 0.03 0.00 0.0Mortgage Adj Qtrly Prime 0.00 0.00 0.00 NA 0.00 0.00 NAMortgage ARM 1/1 Prime 0.08 0.08 0.00 0.0 0.08 0.00 0.0Mortgage ARM 1/1 UST 0.73 0.70 -0.03 -4.6 0.73 0.00 -0.2Mortgage ARM 3/1 UST 0.54 0.53 -0.01 -1.7 0.54 0.00 0.0Mortgage ARM 3/3 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAMortgage ARM 3/3 UST 0.00 0.00 0.00 NA 0.00 0.00 NAMortgage ARM 5/1 UST 1.28 1.22 -0.06 -4.7 1.28 -0.01 -0.6Mortgage ARM 5/5 Prime 2.74 2.25 -0.49 -17.9 2.74 0.00 -0.1Mortgage ARM 5/5 UST 0.00 0.00 0.00 NA 0.00 0.00 NAMortgage ARM 7/1 UST 2.71 2.47 -0.24 -8.7 2.68 -0.03 -1.1Mortgage ARM 10/10 UST 0.00 0.00 0.00 NA 0.00 0.00 NAMtg Loans for Sale 0.00 0.00 0.00 0.0 0.00 0.00 0.0
Total Mortgage 2.51 1.81 -0.69 -27.7 3.00 0.50 19.9 ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ...Consumer Fixed 1.06 0.98 -0.08 -7.7 1.15 0.09 8.7Consumer Variable Prime 0.02 0.02 0.00 0.0 0.02 0.00 0.0Consumer Adj Qtrly Prime 0.00 0.00 0.00 NA 0.00 0.00 NAConsumer Adj Semi-Annual UST 0.46 0.46 0.00 0.0 0.46 0.00 0.0Consumer Adj 1/1 Prime 0.01 0.01 0.00 0.0 0.01 0.00 0.0Consumer Adj 1/1 UST 0.00 0.00 0.00 NA 0.00 0.00 NAConsumer Adj 3/3 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAConsumer Adj 5/5 Prime 2.48 2.22 -0.25 -10.2 2.54 0.06 2.5
Total Consumer 1.07 0.98 -0.08 -7.7 1.15 0.09 8.1 ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ...Home Equity Fixed 1.92 1.98 0.06 3.2 2.05 0.13 6.6Home Equity Variable Prime 0.05 0.05 0.00 0.0 0.05 0.00 0.0Home Equity Adj Sem-Annually 0.00 0.00 0.00 NA 0.00 0.00 NAHome Equity ARM 1/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAHome Equity ARM 5/1 Prime 0.00 0.00 0.00 NA 0.00 0.00 NAHome Equity ARM 5/5 Prime 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Home Equity 0.33 0.34 0.02 5.1 0.34 0.01 3.3 ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ...Other Fixed Loans 0.00 0.00 0.00 NA 0.00 0.00 NAOther Loans Variable Prime 0.00 0.00 0.00 NA 0.00 0.00 NACredit Cards 0.00 0.00 0.00 0.0 0.00 0.00 0.0Credit Cards Adustable Semi-Ann 0.00 0.00 0.00 NA 0.00 0.00 NAOverdrafts 0.00 0.00 0.00 0.0 0.00 0.00 0.0Nonaccrual Loans 8.00 8.00 0.00 0.0 8.00 0.00 0.0Charged Off Loans 8.00 8.00 0.00 0.0 8.00 0.00 0.0Unearned Disc. & Oth. 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Other Loans 6.42 6.42 0.00 0.0 6.42 0.00 0.0 ... ... ... ... ... ... ...
Loan Loss Reserve 8.00 8.00 0.00 0.0 8.00 0.00 0.0Total Loans 1.45 1.26 -0.19 -13.2 1.63 0.18 12.2
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 88 of 117
Forecast Comparisons As of March 31, 2003
Macaulay Comparisons Apr-03 - Mar-04 Flat -200 Shock Diff % Diff +200 Shock Diff % Diff
... ... ... ... ... ... ...Investments ... ... ... ... ... ... ...US Treasuries 0.04 0.04 0.00 0.0 0.04 0.00 0.0Agencies Callable 1.78 1.78 0.00 0.0 1.78 0.00 0.0Agencies Stuctured 0.00 0.00 0.00 NA 0.00 0.00 NAAgencies 0.00 0.00 0.00 NA 0.00 0.00 NACallable Certificates of Deposit 0.00 0.00 0.00 NA 0.00 0.00 NACertificates of Deposit 0.00 0.00 0.00 NA 0.00 0.00 NAStructured CDs 0.00 0.00 0.00 NA 0.00 0.00 NAFNMA FHLMC 6 MO ARMs 0.00 0.00 0.00 NA 0.00 0.00 NAFNMA FHLMC 1 YR ARMs 0.00 0.00 0.00 NA 0.00 0.00 NAGNMA ARMs 0.00 0.00 0.00 NA 0.00 0.00 NACMO Fixed 1.23 1.03 -0.20 -16.2 1.48 0.25 20.5CMO Variable 0.00 0.00 0.00 NA 0.00 0.00 NAMBS 1.84 1.45 -0.39 -21.3 2.84 1.00 54.6Corporates 1.16 1.16 0.00 0.0 1.16 0.00 -0.1Municipals 7.95 8.32 0.36 4.6 7.60 -0.35 -4.5Callable Municipals 4.45 4.69 0.24 5.3 4.24 -0.22 -4.8Tax Exempt Municipals 0.00 0.00 0.00 NA 0.00 0.00 NAMoney Market Investments 0.00 0.00 0.00 0.0 0.00 0.00 0.0Equity Securities 0.00 0.00 0.00 0.0 0.00 0.00 0.0Other Investments 0.04 0.04 0.00 0.0 0.04 0.00 0.0
Total Investments 2.54 2.46 -0.08 -3.1 3.04 0.50 19.7 ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ...Fed Funds Sold 0.00 0.00 0.00 0.0 0.00 0.00 0.0F.F. Sold (Bal.) 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Funds Sold 0.00 0.00 0.00 0.0 0.00 0.00 0.0 ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ...Cash and Due 8.00 8.00 0.00 0.0 8.00 0.00 0.0Fixed Assets 8.00 8.00 0.00 0.0 8.00 0.00 0.0Other Real Estate Owned 8.00 8.00 0.00 0.0 8.00 0.00 0.0Other Non Earning Assets 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Other Assets 8.00 8.00 0.00 0.0 8.00 0.00 0.0 ... ... ... ... ... ... ...
Accrued Interest Receivable ... ... ... ... ... ... ...Unrealized G/L on Securities 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Assets 2.22 2.07 -0.15 -6.7 2.46 0.24 11.0 ... ... ... ... ... ... ...Liabilities ... ... ... ... ... ... ...Deposits ... ... ... ... ... ... ...Non Maturity Deposits ... ... ... ... ... ... ...Demand 1.43 8.00 6.57 459.9 8.00 6.57 459.9NOW 0.54 0.00 -0.54 -99.4 0.00 -0.54 -99.4MMDA 0.00 0.00 0.00 NA 0.00 0.00 NAMM IRA 0.00 0.00 0.00 0.0 0.00 0.00 0.0Savings 1.08 0.00 -1.08 -99.7 0.00 -1.08 -99.7
Total Non Maturity Deposits 0.93 2.92 1.98 212.2 2.92 1.98 212.2 ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ...CD's < $100M 0.60 0.61 0.01 1.9 0.59 -0.01 -2.0CD's $100M+ 0.70 0.72 0.02 2.2 0.69 -0.02 -2.2Variable IRA 0.00 0.00 0.00 NA 0.00 0.00 NA
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 89 of 117
Forecast Comparisons As of March 31, 2003
Macaulay Comparisons Apr-03 - Mar-04 Flat -200 Shock Diff % Diff +200 Shock Diff % Diff
IRA's < $100M 0.00 0.00 0.00 NA 0.00 0.00 NAIRA's $100M+ 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Time Deposits 0.63 0.65 0.01 2.0 0.62 -0.01 -2.1 ... ... ... ... ... ... ...
Other Deposit Amounts 8.00 8.00 0.00 0.0 8.00 0.00 0.0Total Deposits 0.94 2.57 1.63 173.0 2.57 1.63 173.2
... ... ... ... ... ... ...Borrowings ... ... ... ... ... ... ...Repo's 0.00 0.00 0.00 0.0 0.00 0.00 0.0FHLB Floating 0.00 0.00 0.00 0.0 0.00 0.00 0.0FHLB Short Term 0.00 0.00 0.00 NA 0.00 0.00 NAFHLB Long Term 3.85 3.90 0.06 1.5 3.80 -0.05 -1.3Other Borrowings 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Borrowings 3.85 3.90 0.06 1.5 3.80 -0.05 -1.3 ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ...Fed Funds Purchased 0.00 0.00 0.00 0.0 0.00 0.00 0.0F.F. Purch. (Bal.) 0.00 0.00 0.00 NA 0.00 0.00 NA
Total Funds Purchased 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...
Other Liabilities 8.00 8.00 0.00 0.0 8.00 0.00 0.0Accrued Interest Payable ... ... ... ... ... ... ...
Total Liabilities 1.25 2.76 1.51 120.4 2.75 1.49 119.2 ... ... ... ... ... ... ...Equity ... ... ... ... ... ... ...Common Stock 8.00 8.00 0.00 0.0 8.00 0.00 0.0Surplus 8.00 8.00 0.00 0.0 8.00 0.00 0.0Securities Gains/Losses 8.00 8.00 0.00 0.0 8.00 0.00 0.0Retained Earnings 0.00 0.00 0.00 NA 0.00 0.00 NAOther Comprehensive Income ... ... ... ... ... ... ...Unrealized G/L on Sec (Equity) 8.00 8.00 0.00 0.0 8.00 0.00 0.0Adjustment for Securities Sold 8.00 8.00 0.00 0.0 8.00 0.00 0.0G/L on Derivatives (Equity) 8.00 8.00 0.00 0.0 8.00 0.00 0.0Adjustment for Derivatives Sold 8.00 8.00 0.00 0.0 8.00 0.00 0.0
Total Other Comprehensive Income 0.00 0.00 0.00 NA 0.00 0.00 NA ... ... ... ... ... ... ...Total Equity 11.55 -3.61 -15.16 NA -1.35 -12.90 NA
... ... ... ... ... ... ...TOTAL LIABS & EQUITY ... ... ... ... ... ... ...Total Off Balance Sheet 0.00 0.00 0.00 NA 0.00 0.00 NATOTAL EARNING ASSETS 0.00 0.00 0.00 NA 0.00 0.00 NATOTAL INT BEARING LIABS 0.00 0.00 0.00 NA 0.00 0.00 NA
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 90 of 117
Gap Cash Flow Gap
Gap As of March 31, 2003
Cash Flow Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
ASSETS ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 0 0.00 305 5.58 156 8.34 141 8.38 478 7.77 307 8.45 275 8.40 833 8.31 Commercial Variable Prime 0 0.00 296 4.98 55 4.98 613 4.98 921 4.98 975 4.98 861 4.98 680 4.98 Commercial Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial Variable Fed Funds 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial Adj Qtrly Prime 0 0.00 1 4.00 3 6.25 3 6.25 8 6.25 7 6.25 7 6.25 24 6.25 Commercial Adj 1/1 Prime 0 0.00 3 6.75 3 6.75 3 6.75 7 6.43 6 6.25 6 6.25 23 6.25 Commercial Adj 1/1 UST 0 0.00 0 3.49 0 3.49 0 3.49 3 3.49 0 3.49 3 3.49 6 3.49 Commercial Adj 2/2 UST 0 0.00 1 4.27 1 4.27 1 4.27 2 4.27 2 4.27 2 4.27 4 4.27 Commercial Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial Adj 5/5 Prime 0 0.00 22 8.24 22 8.22 21 8.22 62 8.20 59 8.17 57 8.14 201 8.08 Commercial Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Commercial 0 0.00 628 5.39 239 7.50 780 5.69 1,480 6.03 1,357 5.92 1,210 5.91 1,771 6.92 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 0 0.00 368 5.07 144 7.98 130 7.56 428 7.53 312 7.59 635 7.91 1,469 7.85 Commercial RE Variable Prime 0 0.00 116 5.43 72 5.34 75 5.34 260 5.34 548 5.34 200 5.34 2,268 5.34 Commercial RE Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Variable UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj Qtrly Prime 0 0.00 4 6.00 4 6.00 4 6.00 15 6.00 11 6.00 14 6.00 44 6.00 Commercial RE Adj Qtrly Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj 1/1 Prime 0 0.00 38 5.81 38 5.80 37 5.80 108 5.63 103 5.32 100 5.28 587 5.00 Commercial RE Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj 5/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj 3/3 Prime 0 0.00 4 6.75 4 6.75 4 6.75 11 6.75 12 6.75 13 6.75 60 6.75 Commercial RE Adj 5/5 Prime 0 0.00 156 7.84 156 7.84 152 7.84 442 7.82 418 7.76 398 7.74 1,396 7.68 Commercial RE Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Commercial Real Estate 0 0.00 686 5.82 418 7.24 401 7.07 1,264 6.99 1,403 6.58 1,360 7.26 5,824 6.52 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 0 0.00 7 6.49 7 6.49 7 6.49 20 6.49 20 6.49 19 6.49 70 6.49 Construction Variable Prime 0 0.00 5 4.96 5 4.96 5 4.96 19 4.96 24 4.96 25 4.96 444 4.96 Construction Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Variable UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj Qtrly Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj 1/1 Prime 0 0.00 3 5.25 3 5.25 3 5.25 11 5.25 13 5.25 13 5.25 984 5.25
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 91 of 117
Gap As of March 31, 2003
Cash Flow Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Construction Adj 1/1 UST 0 0.00 5 7.74 5 7.74 5 7.74 13 7.74 12 7.62 9 7.13 21 5.48 Construction Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj 5/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj 5/5 Prime 0 0.00 9 8.50 9 8.50 8 8.50 24 8.50 23 8.50 22 8.50 76 8.50 Construction Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Construction 0 0.00 27 6.97 28 6.90 28 6.84 88 6.74 91 6.57 87 6.44 1,594 5.38 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 0 0.00 1 6.90 5 6.39 1 6.93 4 6.25 4 6.25 4 6.25 3 6.25 Commercial TE Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Commercial Tax Exempt 0 0.00 1 6.90 5 6.39 1 6.93 4 6.25 4 6.25 4 6.25 3 6.25 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 0 0.00 3 6.56 3 6.55 3 6.55 22 6.06 7 6.51 109 4.37 32 7.31 Agricultural Variable Prime 0 0.00 38 4.62 38 4.62 679 4.62 759 4.62 1,469 4.62 115 4.62 154 4.62 Agricultural Adj 1/1 Prime 0 0.00 1 6.70 1 6.70 3 6.70 2 6.57 4 6.25 1 6.25 10 6.25
Total Agricultural Loans 0 0.00 42 4.78 42 4.78 685 4.64 782 4.67 1,480 4.63 225 4.51 195 5.14 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 0 0.00 131 6.58 114 6.30 116 6.33 385 6.52 392 6.58 410 6.57 1,600 6.61 Mortgage Variable Prime 0 0.00 6 5.17 6 5.12 6 5.12 19 5.12 817 5.12 42 5.12 515 5.12 Mortgage Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 1/1 Prime 0 0.00 3 5.75 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 1/1 UST 0 0.00 2 7.00 3 7.00 2 7.00 7 6.47 7 6.47 7 6.45 28 4.17 Mortgage ARM 3/1 UST 0 0.00 9 7.26 9 7.26 9 7.26 28 7.26 27 4.80 27 3.56 104 3.49 Mortgage ARM 3/3 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 3/3 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 5/1 UST 0 0.00 5 7.66 2 7.66 2 7.66 6 7.66 6 7.66 6 7.22 22 6.17 Mortgage ARM 5/5 Prime 0 0.00 12 7.44 12 7.43 12 7.44 38 7.44 40 7.42 39 7.36 145 7.23 Mortgage ARM 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 7/1 UST 0 0.00 10 7.61 10 7.61 10 7.61 29 7.61 29 7.61 29 7.61 111 7.61 Mortgage ARM 10/10 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mtg Loans for Sale 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Mortgage 0 0.00 179 6.70 157 6.51 158 6.53 512 6.65 1,318 5.69 560 6.43 2,524 6.23 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 0 0.00 228 8.54 173 7.35 146 7.99 394 8.41 318 8.41 260 8.41 838 8.26 Consumer Variable Prime 0 0.00 3 3.88 5 3.88 3 3.88 10 3.88 7 3.88 7 3.88 47 3.88 Consumer Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Consumer Adj Semi-Annual UST 0 0.00 0 3.24 0 3.24 0 3.24 1 3.24 1 2.15 1 2.15 4 2.15
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 92 of 117
Gap As of March 31, 2003
Cash Flow Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Consumer Adj 1/1 Prime 0 0.00 1 6.25 1 5.75 1 5.75 2 5.75 2 5.75 0 5.75 0 0.00 Consumer Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Consumer Adj 3/3 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Consumer Adj 5/5 Prime 0 0.00 1 7.09 1 7.09 1 7.09 3 7.09 3 7.08 3 7.08 13 7.08
Total Consumer 0 0.00 233 8.46 180 7.24 151 7.88 411 8.26 332 8.26 272 8.25 902 7.99 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 0 0.00 60 8.03 35 7.72 34 7.72 97 7.72 91 7.72 84 7.72 279 7.72 Home Equity Variable Prime 0 0.00 2 4.77 2 4.77 2 4.77 7 4.77 7 4.77 7 4.77 30 4.77 Home Equity Adj Sem-Annually 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Home Equity ARM 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Home Equity ARM 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Home Equity ARM 5/5 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Home Equity 0 0.00 62 7.90 38 7.52 36 7.52 105 7.51 98 7.50 92 7.48 309 7.43 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 0 0.00 91 9.83 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Loans Variable Prime 0 0.00 139 6.15 1 6.15 1 6.15 4 6.15 5 6.15 5 6.15 22 6.15 Credit Cards 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Credit Cards Adustable Semi-Ann 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Overdrafts 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Nonaccrual Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Charged Off Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Unearned Disc. & Oth. 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Other Loans 0 0.00 229 7.60 1 6.15 1 6.15 4 6.15 5 6.15 5 6.15 22 6.15 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Loss Reserve 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Total Loans 0 0.00 2,087 6.31 1,108 7.10 2,242 5.87 4,652 6.37 6,087 5.87 3,813 6.60 13,144 6.48
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Investments ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 0 0.00 50 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Agencies Callable 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 1,000 0.00 Agencies Stuctured 0 0.00 0 ... ... ... ... ... ... ... ... ... ... ... ... ... Agencies 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Callable Certificates of Deposit 0 0.00 0 ... ... ... ... ... ... ... ... ... ... ... ... ... Certificates of Deposit 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Structured CDs 0 0.00 0 ... ... ... ... ... ... ... ... ... ... ... ... ... FNMA FHLMC 6 MO ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 FNMA FHLMC 1 YR ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 GNMA ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 93 of 117
Gap As of March 31, 2003
Cash Flow Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
CMO Fixed 0 0.00 262 5.39 255 5.39 248 5.39 703 5.39 646 5.39 595 5.39 1,946 5.39 CMO Variable 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 MBS 0 0.00 496 5.81 485 5.81 474 5.81 1,359 5.81 1,269 5.81 1,185 5.81 4,017 5.81 Corporates 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 514 7.63 Municipals 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Callable Municipals 0 0.00 0 0.00 0 0.00 0 0.00 75 0.00 0 0.00 0 0.00 0 0.00 Tax Exempt Municipals 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Money Market Investments 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Equity Securities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Investments 0 0.00 558 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Investments 0 0.00 1,366 3.14 740 5.66 722 5.66 2,137 5.47 1,915 5.67 1,780 5.67 7,476 5.05 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 4,249 1.25 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 F.F. Sold (Bal.) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Funds Sold 4,249 1.25 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Fixed Assets 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Real Estate Owned 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Non Earning Assets 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Other Assets 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Unrealized G/L on Securities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 TOTAL ASSETS 4,249 1.25 3,454 5.06 1,848 6.52 2,964 5.82 6,789 6.09 8,003 5.82 5,593 6.30 20,621 5.96
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... LIABILITIES ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 0 0.00 956 0.00 956 0.00 956 0.00 2,867 0.00 2,867 0.00 2,867 0.00 11,468 0.00 NOW 0 0.00 3,682 1.15 3,682 1.15 3,682 1.15 11,046 1.15 11,046 1.15 11,063 1.15 0 0.00 MMDA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 MM IRA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Savings 0 0.00 453 0.50 453 0.50 453 0.50 1,360 0.50 1,360 0.50 1,360 0.50 5,440 0.50
Total Non Maturity Deposits 0 0.00 5,091 0.87 5,091 0.87 5,091 0.87 15,272 0.87 15,272 0.87 15,290 0.87 16,908 0.16 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 0 0.00 748 1.87 1,096 1.72 3,459 1.17 2,637 2.27 935 1.61 1,474 1.66 737 2.96 CD's $100M+ 0 0.00 1,412 2.68 203 4.14 805 1.00 736 1.61 488 2.59 1,872 1.55 500 3.30
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 94 of 117
Gap As of March 31, 2003
Cash Flow Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Variable IRA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 IRA's < $100M 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 IRA's $100M+ 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Time Deposits 0 0.00 2,159 2.40 1,298 2.10 4,264 1.14 3,373 2.13 1,422 1.95 3,346 1.60 1,237 3.10 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Deposit Amounts 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Total Deposits 0 0.00 7,250 1.33 6,389 1.12 9,355 0.99 18,645 1.10 16,695 0.96 18,636 1.00 18,145 0.36
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 FHLB Floating 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 FHLB Short Term 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 FHLB Long Term 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Borrowings 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Borrowings 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 F.F. Purch. (Bal.) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Funds Purchased 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 TOTAL LIABILITIES 0 0.00 7,250 1.33 6,389 1.12 9,355 0.99 18,645 1.10 16,695 0.96 18,636 1.00 18,145 0.36
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... EQUITY ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Common Stock 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Surplus 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Securities Gains/Losses 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Retained Earnings 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 On-Bal FX Exposure 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Notional FX Exposure 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Comprehensive Income ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Unrealized G/L on Sec (Equity) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Adjustment for Securities Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 G/L on Derivatives (Equity) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Adjustment for Derivatives Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Other Comprehensive Income 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EQUITY 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 95 of 117
Gap As of March 31, 2003
Cash Flow Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
OFF BALANCE SHEET ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL OFF BALANCE SHEET 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 96 of 117
Gap As of March 31, 2003
Cash Flow Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
ASSETS ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 909 8.15 413 7.26 69 4.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Variable Prime 1,091 4.98 224 4.98 154 4.98 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Variable Fed Funds 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj Qtrly Prime 20 6.25 29 6.25 38 6.25 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 1/1 Prime 20 6.25 33 6.25 28 6.25 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 2/2 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 5/5 Prime 162 7.74 220 6.08 355 5.55 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Commercial 2,201 6.51 919 6.35 645 5.32 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 1,002 7.57 1,568 7.15 2,243 7.02 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Variable Prime 1,152 5.34 1,342 5.34 3,366 5.34 538 5.34 0 0.00 ... ... ... ... ... ... Commercial RE Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Variable UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj Qtrly Prime 38 6.00 61 6.00 155 6.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj Qtrly Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 1/1 Prime 287 5.02 487 4.97 945 4.86 82 4.69 0 0.00 ... ... ... ... ... ... Commercial RE Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 5/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 3/3 Prime 50 6.75 59 5.00 164 5.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 5/5 Prime 1,081 7.38 1,382 6.19 3,420 5.00 736 4.83 0 0.00 ... ... ... ... ... ... Commercial RE Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Commercial Real Estate 3,610 6.57 4,899 6.13 10,292 5.55 1,356 5.02 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 61 6.48 101 6.48 248 6.47 88 6.40 0 0.00 ... ... ... ... ... ... Construction Variable Prime 48 4.96 81 4.96 277 4.96 28 4.96 0 0.00 ... ... ... ... ... ... Construction Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Variable UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj Qtrly Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 97 of 117
Gap As of March 31, 2003
Cash Flow Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Construction Adj 1/1 UST 19 5.44 33 5.38 102 5.15 55 4.76 0 0.00 ... ... ... ... ... ... Construction Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 5/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 5/5 Prime 60 8.50 78 7.94 96 5.25 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Construction 188 6.63 293 6.32 723 5.54 171 5.63 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial TE Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Commercial Tax Exempt 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 27 7.28 40 7.21 46 6.25 0 0.00 0 0.00 ... ... ... ... ... ... Agricultural Variable Prime 365 4.62 201 4.62 231 4.62 51 4.62 0 0.00 ... ... ... ... ... ... Agricultural Adj 1/1 Prime 9 6.25 15 6.25 20 6.25 0 0.00 0 0.00 ... ... ... ... ... ...
Total Agricultural Loans 401 4.83 256 5.12 297 4.98 51 4.62 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 1,491 6.64 2,422 6.39 3,579 6.16 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage Variable Prime 644 5.12 212 5.12 127 5.12 304 5.12 0 0.00 ... ... ... ... ... ... Mortgage Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 1/1 UST 26 4.17 47 4.17 168 4.17 108 4.17 0 0.00 ... ... ... ... ... ... Mortgage ARM 3/1 UST 98 3.49 649 3.49 9 3.49 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 3/3 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 3/3 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 5/1 UST 21 4.20 38 4.20 136 4.17 87 4.17 0 0.00 ... ... ... ... ... ... Mortgage ARM 5/5 Prime 129 6.97 217 6.11 552 5.10 77 5.10 0 0.00 ... ... ... ... ... ... Mortgage ARM 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 7/1 UST 105 7.61 192 5.46 556 4.12 144 4.12 0 0.00 ... ... ... ... ... ... Mortgage ARM 10/10 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mtg Loans for Sale 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Mortgage 2,513 6.14 3,777 5.71 5,126 5.68 721 4.66 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 597 8.13 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Variable Prime 18 3.88 5 3.88 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj Semi-Annual UST 4 2.15 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 98 of 117
Gap As of March 31, 2003
Cash Flow Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Consumer Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj 3/3 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj 5/5 Prime 13 7.07 24 6.68 37 6.42 0 0.00 0 0.00 ... ... ... ... ... ...
Total Consumer 631 7.95 29 6.20 37 6.42 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 209 7.70 176 7.76 88 8.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity Variable Prime 30 4.77 60 4.77 7,149 4.77 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity Adj Sem-Annually 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity ARM 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity ARM 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity ARM 5/5 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Home Equity 239 7.33 236 7.00 7,237 4.81 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Other Loans Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Credit Cards 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Credit Cards Adustable Semi-Ann 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Overdrafts 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Nonaccrual Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Charged Off Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Unearned Disc. & Oth. 0 0.00 0 0.00 0 0.00 0 0.00 1,088 0.00 ... ... ... ... ... ...
Total Other Loans 0 0.00 0 0.00 0 0.00 0 0.00 1,088 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Loss Reserve 0 0.00 0 0.00 0 0.00 0 0.00 (766) 0.00 ... ... ... ... ... ... Total Loans 9,783 6.48 10,410 6.00 24,357 5.35 2,299 4.95 323 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Investments ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Agencies Callable 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Agencies Stuctured ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Agencies 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Callable Certificates of Deposit ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Certificates of Deposit 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Structured CDs ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... FNMA FHLMC 6 MO ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... FNMA FHLMC 1 YR ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... GNMA ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 99 of 117
Gap As of March 31, 2003
Cash Flow Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
CMO Fixed 1,383 5.39 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... CMO Variable 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... MBS 3,082 5.81 4,250 5.81 91 5.81 0 0.00 0 0.00 ... ... ... ... ... ... Corporates 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Municipals 0 0.00 731 4.91 2,745 5.04 243 5.00 0 0.00 ... ... ... ... ... ... Callable Municipals 250 0.00 0 0.00 214 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Tax Exempt Municipals 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Money Market Investments 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Equity Securities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Other Investments 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Investments 4,715 5.38 4,981 5.68 3,050 4.70 243 5.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... F.F. Sold (Bal.) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Funds Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 0 0.00 0 0.00 0 0.00 0 0.00 6,810 0.00 ... ... ... ... ... ... Fixed Assets 0 0.00 0 0.00 0 0.00 0 0.00 3,010 0.00 ... ... ... ... ... ... Other Real Estate Owned 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Other Non Earning Assets 0 0.00 0 0.00 0 0.00 0 0.00 1,015 0.00 ... ... ... ... ... ...
Total Other Assets 0 0.00 0 0.00 0 0.00 0 0.00 10,835 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Unrealized G/L on Securities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... TOTAL ASSETS 14,498 6.12 15,391 5.89 27,407 5.28 2,542 4.95 11,157 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... LIABILITIES ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 8,919 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... NOW 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... MMDA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... MM IRA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Savings 453 0.50 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Non Maturity Deposits 9,373 0.02 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 205 4.48 391 4.17 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... CD's $100M+ 0 0.00 300 4.06 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 100 of 117
Gap As of March 31, 2003
Cash Flow Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Variable IRA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... IRA's < $100M 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... IRA's $100M+ 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Time Deposits 205 4.48 691 4.12 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Deposit Amounts 0 0.00 0 0.00 0 0.00 0 0.00 883 0.00 ... ... ... ... ... ... Total Deposits 9,577 0.12 691 4.12 0 0.00 0 0.00 883 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... FHLB Floating 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... FHLB Short Term 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... FHLB Long Term 1,700 4.85 0 0.00 4,870 4.85 0 0.00 0 0.00 ... ... ... ... ... ... Other Borrowings 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Borrowings 1,700 4.85 0 0.00 4,870 4.85 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... F.F. Purch. (Bal.) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Funds Purchased 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 0 0.00 0 0.00 0 0.00 0 0.00 2,191 0.00 ... ... ... ... ... ... TOTAL LIABILITIES 11,277 0.83 691 4.12 4,870 4.85 0 0.00 3,074 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... EQUITY ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Common Stock 0 0.00 0 0.00 0 0.00 0 0.00 500 0.00 ... ... ... ... ... ... Surplus 0 0.00 0 0.00 0 0.00 0 0.00 1,500 0.00 ... ... ... ... ... ... Securities Gains/Losses 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Retained Earnings 0 0.00 0 0.00 0 0.00 0 0.00 7,487 0.00 ... ... ... ... ... ... On-Bal FX Exposure 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Notional FX Exposure 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Other Comprehensive Income ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Unrealized G/L on Sec (Equity) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Adjustment for Securities Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... G/L on Derivatives (Equity) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Adjustment for Derivatives Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Other Comprehensive Income 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EQUITY 0 0.00 0 0.00 0 0.00 0 0.00 9,487 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 101 of 117
Gap As of March 31, 2003
Cash Flow Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
OFF BALANCE SHEET ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL OFF BALANCE SHEET 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 102 of 117
Repricing Gap Flat
Gap As of March 31, 2003
Repricing Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
ASSETS ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 0 0.00 305 5.58 156 8.34 141 8.38 478 7.77 307 8.45 275 8.40 833 8.31 Commercial Variable Prime 0 0.00 5,870 4.98 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial Variable Fed Funds 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial Adj Qtrly Prime 0 0.00 139 4.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial Adj 1/1 Prime 0 0.00 3 6.75 3 6.75 3 6.75 123 6.75 0 0.00 0 0.00 0 0.00 Commercial Adj 1/1 UST 0 0.00 0 3.49 0 3.49 0 3.49 3 3.49 0 3.49 3 3.49 6 3.49 Commercial Adj 2/2 UST 0 0.00 1 4.27 1 4.27 1 4.27 2 4.27 2 4.27 2 4.27 4 4.27 Commercial Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial Adj 5/5 Prime 0 0.00 22 8.24 22 8.22 21 8.22 62 8.20 59 8.17 57 8.14 201 8.08 Commercial Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Commercial 0 0.00 6,340 5.00 181 8.29 165 8.31 668 7.59 369 8.38 336 8.29 1,044 8.22 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 0 0.00 368 5.07 144 7.98 130 7.56 428 7.53 312 7.59 635 7.91 1,469 7.85 Commercial RE Variable Prime 0 0.00 9,937 5.43 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Variable UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj Qtrly Prime 0 0.00 347 6.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj Qtrly Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj 1/1 Prime 0 0.00 38 5.81 83 5.91 120 6.46 574 6.03 579 6.24 1,419 5.28 0 0.00 Commercial RE Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj 5/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Commercial RE Adj 3/3 Prime 0 0.00 4 6.75 4 6.75 4 6.75 11 6.75 12 6.75 13 6.75 60 6.75 Commercial RE Adj 5/5 Prime 0 0.00 156 7.84 156 7.84 152 7.84 603 8.01 553 8.15 419 7.80 2,411 7.60 Commercial RE Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Commercial Real Estate 0 0.00 10,850 5.47 386 7.47 406 7.33 1,616 7.17 1,455 7.26 2,486 6.38 3,941 7.68 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 0 0.00 7 6.49 7 6.49 7 6.49 20 6.49 20 6.49 19 6.49 70 6.49 Construction Variable Prime 0 0.00 961 4.96 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Variable UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj Qtrly Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj 1/1 Prime 0 0.00 3 5.25 3 5.25 3 5.25 11 5.25 13 5.25 997 5.25 0 0.00
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 103 of 117
Gap As of March 31, 2003
Repricing Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Construction Adj 1/1 UST 0 0.00 5 7.74 5 7.74 5 7.74 13 7.74 86 7.75 165 7.73 0 0.00 Construction Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj 5/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Construction Adj 5/5 Prime 0 0.00 9 8.50 9 8.50 8 8.50 24 8.50 23 8.50 22 8.50 76 8.50 Construction Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Construction 0 0.00 983 5.01 23 7.36 23 7.27 69 7.23 142 7.47 1,203 5.67 145 7.53 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 0 0.00 1 6.90 5 6.39 1 6.93 4 6.25 4 6.25 4 6.25 3 6.25 Commercial TE Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Commercial Tax Exempt 0 0.00 1 6.90 5 6.39 1 6.93 4 6.25 4 6.25 4 6.25 3 6.25 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 0 0.00 3 6.56 3 6.55 3 6.55 22 6.06 7 6.51 109 4.37 32 7.31 Agricultural Variable Prime 0 0.00 4,099 4.62 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Agricultural Adj 1/1 Prime 0 0.00 1 6.70 1 6.70 3 6.70 62 6.70 0 0.00 0 0.00 0 0.00
Total Agricultural Loans 0 0.00 4,103 4.62 3 6.58 6 6.63 84 6.53 7 6.51 109 4.37 32 7.31 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 0 0.00 131 6.58 114 6.30 116 6.33 385 6.52 392 6.58 410 6.57 1,600 6.61 Mortgage Variable Prime 0 0.00 2,699 5.17 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 1/1 Prime 0 0.00 3 5.75 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 1/1 UST 0 0.00 2 7.00 3 7.00 67 7.48 6 6.90 6 6.90 321 6.90 0 0.00 Mortgage ARM 3/1 UST 0 0.00 9 7.26 9 7.26 9 7.26 28 7.26 895 7.25 19 7.50 0 0.00 Mortgage ARM 3/3 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 3/3 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 5/1 UST 0 0.00 5 7.66 2 7.66 2 7.66 6 7.66 6 7.66 127 7.68 180 7.65 Mortgage ARM 5/5 Prime 0 0.00 12 7.44 12 7.43 12 7.44 38 7.44 70 7.46 38 7.39 172 7.45 Mortgage ARM 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mortgage ARM 7/1 UST 0 0.00 10 7.61 10 7.61 10 7.61 29 7.61 29 7.61 29 7.61 111 7.61 Mortgage ARM 10/10 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Mtg Loans for Sale 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Mortgage 0 0.00 2,871 5.26 151 6.57 216 6.86 492 6.72 1,398 7.08 945 6.92 2,062 6.83 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 0 0.00 228 8.54 173 7.35 146 7.99 394 8.41 318 8.41 260 8.41 838 8.26 Consumer Variable Prime 0 0.00 105 3.88 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Consumer Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Consumer Adj Semi-Annual UST 0 0.00 0 3.24 0 3.24 0 3.24 10 3.24 0 0.00 0 0.00 0 0.00
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 104 of 117
Gap As of March 31, 2003
Repricing Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Consumer Adj 1/1 Prime 0 0.00 7 6.25 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Consumer Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Consumer Adj 3/3 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Consumer Adj 5/5 Prime 0 0.00 1 7.09 1 7.09 1 7.09 3 7.09 3 7.08 3 7.08 13 7.08
Total Consumer 0 0.00 342 7.05 174 7.34 147 7.97 408 8.27 321 8.39 263 8.40 851 8.24 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 0 0.00 60 8.03 35 7.72 34 7.72 97 7.72 91 7.72 84 7.72 279 7.72 Home Equity Variable Prime 0 0.00 7,298 4.77 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Home Equity Adj Sem-Annually 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Home Equity ARM 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Home Equity ARM 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Home Equity ARM 5/5 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Home Equity 0 0.00 7,358 4.79 35 7.72 34 7.72 97 7.72 91 7.72 84 7.72 279 7.72 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 0 0.00 91 9.83 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Loans Variable Prime 0 0.00 177 6.15 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Credit Cards 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Credit Cards Adustable Semi-Ann 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Overdrafts 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Nonaccrual Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Charged Off Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Unearned Disc. & Oth. 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Other Loans 0 0.00 267 7.39 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Loss Reserve 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Total Loans 0 0.00 33,115 5.13 958 7.46 998 7.49 3,437 7.32 3,787 7.41 5,430 6.51 8,358 7.59
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Investments ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 0 0.00 50 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Agencies Callable 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 1,000 0.00 Agencies Stuctured 0 0.00 0 ... ... ... ... ... ... ... ... ... ... ... ... ... Agencies 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Callable Certificates of Deposit 0 0.00 0 ... ... ... ... ... ... ... ... ... ... ... ... ... Certificates of Deposit 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Structured CDs 0 0.00 0 ... ... ... ... ... ... ... ... ... ... ... ... ... FNMA FHLMC 6 MO ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 FNMA FHLMC 1 YR ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 GNMA ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 105 of 117
Gap As of March 31, 2003
Repricing Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
CMO Fixed 0 0.00 262 5.39 255 5.39 248 5.39 703 5.39 646 5.39 595 5.39 1,946 5.39 CMO Variable 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 MBS 0 0.00 496 5.81 485 5.81 474 5.81 1,359 5.81 1,269 5.81 1,185 5.81 4,017 5.81 Corporates 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 514 7.63 Municipals 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Callable Municipals 0 0.00 0 0.00 0 0.00 0 0.00 75 0.00 0 0.00 0 0.00 0 0.00 Tax Exempt Municipals 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Money Market Investments 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Equity Securities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Investments 558 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Investments 558 0.00 809 5.31 740 5.66 722 5.66 2,137 5.47 1,915 5.67 1,780 5.67 7,476 5.05 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 4,249 1.25 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 F.F. Sold (Bal.) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Funds Sold 4,249 1.25 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Fixed Assets 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Real Estate Owned 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Non Earning Assets 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Other Assets 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Unrealized G/L on Securities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 TOTAL ASSETS 4,807 1.10 33,924 5.13 1,698 6.68 1,720 6.73 5,574 6.61 5,702 6.83 7,211 6.30 15,834 6.39
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... LIABILITIES ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 0 0.00 956 0.00 956 0.00 956 0.00 2,867 0.00 2,867 0.00 2,867 0.00 11,468 0.00 NOW 0 0.00 3,682 1.15 3,682 1.15 3,682 1.15 11,046 1.15 11,046 1.15 11,063 1.15 0 0.00 MMDA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 MM IRA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Savings 0 0.00 453 0.50 453 0.50 453 0.50 1,360 0.50 1,360 0.50 1,360 0.50 5,440 0.50
Total Non Maturity Deposits 0 0.00 5,091 0.87 5,091 0.87 5,091 0.87 15,272 0.87 15,272 0.87 15,290 0.87 16,908 0.16 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 0 0.00 748 1.87 1,096 1.72 3,459 1.17 2,637 2.27 935 1.61 1,474 1.66 737 2.96 CD's $100M+ 0 0.00 1,412 2.68 203 4.14 805 1.00 736 1.61 488 2.59 1,872 1.55 500 3.30
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 106 of 117
Gap As of March 31, 2003
Repricing Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Variable IRA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 IRA's < $100M 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 IRA's $100M+ 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Time Deposits 0 0.00 2,159 2.40 1,298 2.10 4,264 1.14 3,373 2.13 1,422 1.95 3,346 1.60 1,237 3.10 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Deposit Amounts 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Total Deposits 0 0.00 7,250 1.33 6,389 1.12 9,355 0.99 18,645 1.10 16,695 0.96 18,636 1.00 18,145 0.36
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 FHLB Floating 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 FHLB Short Term 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 FHLB Long Term 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Borrowings 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Borrowings 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 F.F. Purch. (Bal.) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Funds Purchased 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 TOTAL LIABILITIES 0 0.00 7,250 1.33 6,389 1.12 9,355 0.99 18,645 1.10 16,695 0.96 18,636 1.00 18,145 0.36
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... EQUITY ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Common Stock 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Surplus 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Securities Gains/Losses 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Retained Earnings 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 On-Bal FX Exposure 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Notional FX Exposure 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Other Comprehensive Income ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Unrealized G/L on Sec (Equity) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Adjustment for Securities Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 G/L on Derivatives (Equity) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 Adjustment for Derivatives Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Total Other Comprehensive Income 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EQUITY 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 107 of 117
Gap As of March 31, 2003
Repricing Gap
Overnight Month 1 Month 2 Month 3 Months 4-6 Months 7-9 Months 10-12 Months 13-24 Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
OFF BALANCE SHEET ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL OFF BALANCE SHEET 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 108 of 117
Gap As of March 31, 2003
Repricing Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
ASSETS ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial Fixed 909 8.15 413 7.26 69 4.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Variable Fed Funds 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 2/2 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 5/5 Prime 330 8.97 406 6.67 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Commercial 1,238 8.37 820 6.96 69 4.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Real Estate ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial RE Fixed 1,002 7.57 1,568 7.15 2,243 7.02 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Variable UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj Qtrly Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 5/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 3/3 Prime 273 6.75 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 5/5 Prime 1,406 8.42 3,881 7.53 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial RE Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Commercial Real Estate 2,681 7.93 5,449 7.42 2,243 7.02 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Construction ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Construction Fixed 61 6.48 101 6.48 248 6.47 88 6.40 0 0.00 ... ... ... ... ... ... Construction Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Variable Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Variable UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj Qtrly Libor 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 109 of 117
Gap As of March 31, 2003
Repricing Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Construction Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 5/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 5/5 Prime 60 8.50 173 8.50 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Construction Adj 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Construction 122 7.48 274 7.76 248 6.47 88 6.40 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Commercial Tax Exempt ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Commercial TE Fixed 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Commercial TE Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Commercial Tax Exempt 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Agricultural Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Agricultural Fixed 27 7.28 40 7.21 46 6.25 0 0.00 0 0.00 ... ... ... ... ... ... Agricultural Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Agricultural Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Agricultural Loans 27 7.28 40 7.21 46 6.25 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Mortgage ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Mortgage Fixed 1,491 6.64 2,422 6.39 3,579 6.16 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 3/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 3/3 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 3/3 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 5/1 UST 0 7.66 2 7.66 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 5/5 Prime 153 7.61 766 6.77 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 5/5 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 7/1 UST 105 7.61 893 7.61 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mortgage ARM 10/10 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Mtg Loans for Sale 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Mortgage 1,749 6.78 4,083 6.73 3,579 6.16 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Consumer ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Consumer Fixed 597 8.13 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj Qtrly Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj Semi-Annual UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 110 of 117
Gap As of March 31, 2003
Repricing Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Consumer Adj 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj 1/1 UST 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj 3/3 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Consumer Adj 5/5 Prime 13 7.07 61 7.01 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Consumer 609 8.11 61 7.01 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Home Equity ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Home Equity Fixed 209 7.70 176 7.76 88 8.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity Adj Sem-Annually 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity ARM 1/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity ARM 5/1 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Home Equity ARM 5/5 Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Home Equity 209 7.70 176 7.76 88 8.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Loans ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Other Fixed Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Other Loans Variable Prime 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Credit Cards 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Credit Cards Adustable Semi-Ann 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Overdrafts 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Nonaccrual Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Charged Off Loans 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Unearned Disc. & Oth. 0 0.00 0 0.00 0 0.00 0 0.00 1,088 0.00 ... ... ... ... ... ...
Total Other Loans 0 0.00 0 0.00 0 0.00 0 0.00 1,088 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Loan Loss Reserve 0 0.00 0 0.00 0 0.00 0 0.00 (766) 0.00 ... ... ... ... ... ... Total Loans 6,634 7.71 10,903 7.14 6,272 6.49 88 6.40 323 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Investments ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... US Treasuries 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Agencies Callable 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Agencies Stuctured ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Agencies 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Callable Certificates of Deposit ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Certificates of Deposit 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Structured CDs ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... FNMA FHLMC 6 MO ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... FNMA FHLMC 1 YR ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... GNMA ARMs 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 111 of 117
Gap As of March 31, 2003
Repricing Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
CMO Fixed 1,383 5.39 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... CMO Variable 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... MBS 3,082 5.81 4,250 5.81 91 5.81 0 0.00 0 0.00 ... ... ... ... ... ... Corporates 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Municipals 0 0.00 731 4.91 2,745 5.04 243 5.00 0 0.00 ... ... ... ... ... ... Callable Municipals 250 0.00 0 0.00 214 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Tax Exempt Municipals 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Money Market Investments 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Equity Securities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Other Investments 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Investments 4,715 5.38 4,981 5.68 3,050 4.70 243 5.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Sold ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... F.F. Sold (Bal.) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Funds Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Assets ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Cash and Due 0 0.00 0 0.00 0 0.00 0 0.00 6,810 0.00 ... ... ... ... ... ... Fixed Assets 0 0.00 0 0.00 0 0.00 0 0.00 3,010 0.00 ... ... ... ... ... ... Other Real Estate Owned 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Other Non Earning Assets 0 0.00 0 0.00 0 0.00 0 0.00 1,015 0.00 ... ... ... ... ... ...
Total Other Assets 0 0.00 0 0.00 0 0.00 0 0.00 10,835 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Unrealized G/L on Securities 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... TOTAL ASSETS 11,349 6.74 15,884 6.68 9,322 5.90 331 5.37 11,157 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... LIABILITIES ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Non Maturity Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Demand 8,919 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... NOW 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... MMDA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... MM IRA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Savings 453 0.50 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Non Maturity Deposits 9,373 0.02 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Time Deposits ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... CD's < $100M 205 4.48 391 4.17 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... CD's $100M+ 0 0.00 300 4.06 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 112 of 117
Gap As of March 31, 2003
Repricing Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
Variable IRA 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... IRA's < $100M 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... IRA's $100M+ 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Time Deposits 205 4.48 691 4.12 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Deposit Amounts 0 0.00 0 0.00 0 0.00 0 0.00 883 0.00 ... ... ... ... ... ... Total Deposits 9,577 0.12 691 4.12 0 0.00 0 0.00 883 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Borrowings ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Repo's 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... FHLB Floating 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... FHLB Short Term 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... FHLB Long Term 1,700 4.85 0 0.00 4,870 4.85 0 0.00 0 0.00 ... ... ... ... ... ... Other Borrowings 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Borrowings 1,700 4.85 0 0.00 4,870 4.85 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Funds Purchased ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Fed Funds Purchased 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... F.F. Purch. (Bal.) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Funds Purchased 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
Other Liabilities 0 0.00 0 0.00 0 0.00 0 0.00 2,191 0.00 ... ... ... ... ... ... TOTAL LIABILITIES 11,277 0.83 691 4.12 4,870 4.85 0 0.00 3,074 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... EQUITY ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Common Stock 0 0.00 0 0.00 0 0.00 0 0.00 500 0.00 ... ... ... ... ... ... Surplus 0 0.00 0 0.00 0 0.00 0 0.00 1,500 0.00 ... ... ... ... ... ... Securities Gains/Losses 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Retained Earnings 0 0.00 0 0.00 0 0.00 0 0.00 7,487 0.00 ... ... ... ... ... ... On-Bal FX Exposure 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Notional FX Exposure 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Other Comprehensive Income ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... Unrealized G/L on Sec (Equity) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Adjustment for Securities Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... G/L on Derivatives (Equity) 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... Adjustment for Derivatives Sold 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
Total Other Comprehensive Income 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL EQUITY 0 0.00 0 0.00 0 0.00 0 0.00 9,487 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 113 of 117
Gap As of March 31, 2003
Repricing Gap
Months 25-36 Months 37-60 Months 61-180 Months 180+ Non-Sensitive Flat Rate Forecast Balance Rate Balance Rate Balance Rate Balance Rate Balance Rate
OFF BALANCE SHEET ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... TOTAL OFF BALANCE SHEET 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 114 of 117
Gap Summary
Gap Summary
As of March 31, 2003
Current Balance Sheet ($000) Overnight Months 1-3
Months 4-6
Months 7-9
Months 10-12
Months 13-24
Months 25-36
Months 37-60
Months 61-180 Months 180+ Non-
Sensitive ASSETS 4,807 1,720 5,574 5,702 7,211 15,834 11,349 15,884 9,322 331 11,157 LIABILITIES AND EQUITY 0 9,355 18,645 16,695 18,636 18,145 11,277 691 4,870 0 12,561 PERIODIC GAP 4,807 (7,635) (13,071) (10,993) (11,425) (2,310) 72 15,193 4,452 331 (1,403) CUMULATIVE GAP 4,807 19,155 6,084 (4,909) (16,334) (18,644) (18,572) (3,379) 1,073 1,403 0 RSA/RSL (CUM) ... 1.83 1.15 0.92 0.79 0.80 0.83 0.97 1.01 1.01 1.00
-15,000-10,000-5,000
05,000
10,00015,00020,000
$(00
0)
Overnight Months1-3
Months4-6
Months7-9
Months10-12
Months13-24
Months25-36
Months37-60
Months61-180
Months180+
Periodic Gap
Assets
Liabs & Eq
Periodic Gap
Cumulative RSA/RSL
0
0.5
1
1.5
2
Overnight Months1-3
Months4-6
Months7-9
Months10-12
Months13-24
Months25-36
Months37-60
Months61-180
Months 180+
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 115 of 117
Rate Forecasts Rate Forecast
Rate Forecasts
As of March 31, 2003
Interest Rate Forecast Most Likely Rate Forecast Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04
KEY RATES: Prime 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.60 4.75 4.75 5.00 Fed Funds 1.25 1.25 1.25 1.25 1.25 1.25 1.25 1.25 1.60 1.75 1.75 2.00 COFI 2.26 2.21 2.17 2.13 2.13 2.13 2.12 2.12 2.12 2.12 2.16 2.21 Installment 5.36 5.38 5.45 5.54 5.64 5.75 5.87 5.98 6.10 6.26 6.40 6.58 Mortgage 5.90 5.95 5.99 6.03 6.11 6.09 6.13 6.16 6.39 6.42 6.60 6.72 Libor - 30 Day 1.33 1.33 1.38 1.43 1.48 1.53 1.57 1.57 1.91 2.05 2.05 2.28 Libor - 90 Day 1.27 1.32 1.37 1.37 1.47 1.47 1.57 1.62 1.91 2.00 2.00 2.25 Libor - 180 Day 1.25 1.25 1.25 1.30 1.35 1.40 1.45 1.51 1.81 2.04 2.09 2.35 CD - 180 Day 1.25 1.25 1.30 1.35 1.35 1.40 1.45 1.45 1.79 1.93 1.93 2.17
YIELD CURVES: US Treasury 1 Month 1.14 1.14 1.19 1.24 1.24 1.24 1.24 1.29 1.57 1.69 1.69 1.89 3 Month 1.14 1.14 1.14 1.14 1.14 1.14 1.19 1.24 1.49 1.66 1.66 1.82 6 Month 1.15 1.15 1.15 1.15 1.21 1.26 1.31 1.36 1.66 1.83 1.83 2.04 12 Month 1.22 1.22 1.22 1.27 1.32 1.37 1.41 1.46 1.78 1.99 2.09 2.28 18 Month 1.34 1.34 1.34 1.39 1.54 1.64 1.73 1.88 2.25 2.46 2.61 2.81 24 Month 1.53 1.53 1.58 1.63 1.73 1.83 1.87 1.97 2.30 2.52 2.67 2.87 60 Month 2.83 2.83 2.87 2.97 3.07 3.16 3.25 3.35 3.66 3.87 4.01 4.20 84 Month 3.84 3.89 3.93 4.02 4.10 4.19 4.27 4.35 4.64 4.77 4.90 5.07 120 Month 3.84 3.89 3.93 4.02 4.10 4.19 4.27 4.35 4.64 4.77 4.90 5.07 360 Month 4.92 4.96 5.00 5.07 5.09 5.12 5.14 5.21 5.30 5.42 5.53 5.63
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 116 of 117
General Modeling Assumptions
General Modeling As of March 31, 2003
General Modeling Assumptions
Current Position Data
Contractual repricing and cash flow information come directly from each loan and deposit application system.
Prepayments for mortgage loans range depend on two factors: the age of the existing loans and the difference between book and market rates. Once loans reach a year old, prepayments can range from 100 to 600 PSA (about 6-36%). They are highest when the difference between book and market is 4% or greater.
Projected Balances and Rates
Interest rate forecasts are based upon the current market rates at the end of each month. Eleven rate scenarios are tested: 1 flat rate scenario, 6 ramped rate scenarios (+ and - 100, 200, and 300 basis points), and 4 shocked rate scenarios (+ and - 100 and 200 basis points). A most likely scenario is run using the forecast of SunTrust’s Office of the Economist.
Non Maturity Deposit Rates
For purposes of modeling net interest income, non maturity deposits are priced as a percentage of the prime rate. The current rate for NOW's, MMDA's, and Savings accounts are divided by the current prime rate. This percentage of prime is used to calculate the cost of these core deposits in all rate scenarios. Such a procedure has the effect of increasing spreads between market rates and core deposit rates in rising rate environments and decreasing the same spreads in declining rate environments. Such widening of spreads under rising rates and narrowing spreads under declining rates is common. It results in the increased asset sensitivity of the institution from an earnings perspective.
Non Interest Income and Expense
The forecasted other income and expense data are provided by the bank and based upon the bank's internal expectations.
Market Value Assumptions
The Sendero Model values loans and term deposits based upon the discounted present value of cash flows in each rate environment.
For Net Economic Value purposes, non maturity deposits are discounted versus wholesale funding costs, U.S. Treasuries plus 40 basis points. They are assumed to have cash flows over 60 months. The beginning book rate increases or decrease in the current position as a percentage of prime, following the same pricing methodology as in the earnings forecast.
08-APR-2003 14:45:07 Interest Rate Risk Analysis For Sample National Bank Page 117 of 117
