Officer's Questionnaire. My Bank Corporation September 30, 2003

Transcription

1 Officer's Questionnaire My Bank Corporation September 30, 2003 (Name of Holding Company) (As of Close of Business) Any Where, Any Country (Location) Jeff R. Brownie (Examiner-In-Charge) In order to expedite the examination of your company, please provide the requested information and /or provide responses to each of the following items. General 1. Organization charts by legal entity and functional lines of business. 2. Copies of the most recent strategic, capital, and information technology plans for the consolidated corporation. 3. The name, telephone number, and location of the individual(s) responsible for: (a) Capital Planing (b) Financial Statement Preparation (c) Corporate Minutes and Board Packages (d) Credit Risk Management (e) Market Risk Management and the Asset Liability Committee Minutes (f) Internal Audit (g) Insurance Coverage Financial Information 1. Detailed balance sheet and income statements of the corporation as of the nine months ended September 30, In addition, provide the consolidating balance sheet and income statements, disclosing the parent company, all of its subsidiaries, and the associated eliminating entries, as of the nine months ending September 30, The evaluation of the financial information requested above will be facilitated if the additional information is also provided: (a) Corporate chart of accounts and detail for any account containing a description which is general in nature. (b) All eliminating entries. (c) All corporate accounting policies and access to all corporate accounting procedures. (d) Detail on any miscellaneous, catch-all entry, or suspense account that is material in nature. (e) All intercompany loans, including repurchase agreements. 2. Risk-based capital analysis, as of September 30, 2003, including supporting workpapers. In addition, provide a detailed statement of changes in stockholders' equity for the nine months ending September 30, 2003 and the fiscal year ending December 31, For the indebtedness listed below, provide a detailed listing of the following: original amount, outstanding amount as of September 30, 2003, lender, origination date, interest rate, maturity, repayment provisions, collateral, use of proceeds, major restrictive covenants, and requirements for compensating balances, if any. (a) Indebtedness of subsidiaries to outside organizations. 4. Provide a schedule, as of September 30, 2003, of all intangible assets and the dates acquired, including

2 valuations of goodwill and core deposit intangibles, as well as the related depreciation schedules. 5. Current and upcoming year's budget. 6. Cash flow statement for fiscal years 2002 and a projected statement for 2003 and Other Information 1. Verify the list of principal officers and directors of the holding company, the date elected, title, year of birth, title or other connections with subsidiary organizations, and the principal other business connection. In addition, provide the directors and / or officers annual compensation from the holding company, annual compensation from each subsidiary, and number of corporate shares owned (including those jointly held). 2. Please provide access to minutes of the most recent meetings of Board of Directors and all board committees. 3. In addition please provide copies of the: (a) Board package provided each director prior to the most recent meeting. (b) Schedule of insurance coverage and a schedule of claims. (c) Corporate business continuity plans. 4. If the corporation is a defendant in any lawsuits, state the names of plaintiffs and nature and amount of the claims. If there is any threatened litigation, please provide a brief explanation and include an estimate as to probable liability of the corporation. 5. Please provide a description of the corporation s Anti-Money Laundering/Bank Secrecy Act program(s). 6. Proved a copy of any Suspicious Activity Reports or SARS filed on corporate officers in 2002 or Treasury General Items 1. Provide the most recent Asset Liability, Liquidity, Investment, and Derivatives Policy, and the Board and/or committee dates at which the aforementioned policies were approved. 2. Provide a list of all committees and current committee members to which the senior Treasury Department managers report (e.g., ALCO and ALCO members; Risk Management Oversight Committee and members; etc). In addition, please describe each member s function and qualifications. 3. Provide any reports prepared by internal auditors, external auditors, and/or consultants regarding interest rate risk management, the Sendero model and implementation, trading activities, derivative activities, and the Treasury function. Include information on results from any third party technical review/appraisal of the modeling implementation. 4. The September 30, 2003 interest rate risk reporting package and the associated model runs. 5. A listing of all material projects currently underway within the Treasury Department. Interest Rate Risk 1. List and describe the primary assumptions used in the risk measurement model for both earnings and economic value calculations (e.g., economic, changes in mix/volume, reinvestment and discount rates, prepayment modeling, embedded options, core deposit behavior). Also, please indicate the current procedures for determining core deposit rate sensitivities under the bank's net interest income and future

3 economic value of equity simulations. 2. Provide detail relating to the assumption review process and the current methodology and rationale for valuing core deposit products. If core deposit betas and duration estimates were not discussed above, discuss these issues here. 3. Provide a listing of all third-party and internally developed models used to support or enhance the analytics of the primary model (e.g., Intex; Yield-Book; BondEdge; etc). 4. Describe the model(s) used for estimating prepayment rates for loan product(s). Describe how this model is implemented, calibrated and validated. 5. A listing of the model's chart of accounts. 6. Results from model back-testing and stress testing that has been performed for fiscal year ending 2002 and Copies of any presentations or training provided to the Asset Liability Committee or the Board. Model Review 1. Provide any research, documentation, parameters, sensitivity analysis, calibration process, back-testing and performance review for the prepayment models with a discussion of the calibration process, including frequency, in relation to mortgages and benchmarks to industry models and the pricing model for nonmaturity deposits. 2. Describe the benchmark rate(s) off of which accounts are modeled (if possible, provide a list of rate index functions used to generate rates on instruments making a clear distinction between rate index and discount rates used). For accounts modeled off of a benchmark rate plus a spread, provide documentation for how the spread is modeled. 3. Provide a timetable for source system feeds/file uploads. Funding and Liquidity 1. Provide copies of management reports used to monitor liquidity and any internally calculated liquidity ratios as of September 30, If liquidity limits were exceeded during the previous year, provide the dates and amounts of the excesses. Please have documentation supporting the reasons for the excesses available. 3. Provide a copy of the corporation s contingency funding plan. In addition, describe all liquidity funding scenarios modeled for adverse market conditions. 4. Describe any backup lines of credit available to the corporation. 5. Provide the wholesale funding report; identify sources, terms and conditions, and outstanding balances of funding provided by wholesale sources (e.g., Federal Home Loan Bank; national market Fed Funds; commercial paper and bank note programs; repo program; brokered CD s, et al). In addition, indicate all maturities for term funding currently used. 6. Funding concentration report (including all sources over $250 thousand).

4 Investment Portfolio Management (including Derivatives) 1. Describe significant changes in portfolio management strategy, tactics and philosophy. Discuss any current investment purchase programs and portfolio strategies. If preferred, we can address this once on-site. 2. Provide a copy of the full investment portfolio trial as of September 30, The consolidated inventory should include CUSIP numbers, number of blocks, description, tranche type, original face, par value, book value, market value, current yield, purchase date, maturity date, settlement date, call date(s), and pledge status. Also, distinguish between securities classified as "trading", "available for sale," and "held to maturity." In addition to the printed copy, a copy of the inventory in Excel format from the bond accounting system is also requested in order to facilitate analysis. 3. A list of all purchases and sales year to date. 4. Identify any watch list, criticized, or classified securities. 5. Provide definitions of pledge and security location codes. 6. Provide a list of interest bearing bank balances and any other investments. 7. Provide copies of portfolio management reports, including price sensitivity reports. Also, any sub-sector or carve-out analyses would be beneficial. 8. Identify investments with leveraged, dual index or non-traditional coupon structures (e.g., structured products). 9. Provide reconcilements of investment accounts (include all principal and accrued interest accounts and include supporting documentation and applicable reports). 10. Provide a detailed description for each off-balance-sheet derivative contract, note whether or not it is used for interest rate risk management purposes. The summary should include the notional value of each agreement, purchase date, maturity date, call date, interest rate - paid and/or received (if index is other than LIBOR, please indicate), counterparty name, and market value of each derivative. Also, describe how the derivative instruments address interest rate risk management. 11. Provide a copy of all income and expense, closed position income/expense accruals, and fees for the bank s derivatives book. Additionally, identify all general ledger accounts that these accounting entries are booked to (i.e., subsidiary journal accounts). 12. Provide background information on the management information system used to validate prices and manage off-balance sheet products; identify any positions that are marked-to-model; discuss how off-balance sheet price sensitivity is ascertained. 13. Please provide a policy and a description of the inventory pricing methodology, policy and process. Include the names of any third party vendors used to mark positions. Credit Risk 1. Provide a copy of the corporation s credit risk manual and/or lending policy(s) and a list of all corporate credit committee members.

5 2. As of September 30, 2003, summarize the credit risk exposure at all of the affiliate banks by business line (residential mortgage, leasing, commercial real estate, commercial and industrial, agriculture, home equity, automobile lending, floor plans, or consumer). Include the portfolio size, internal classifications, delinquencies, gross charge-offs, and the trend over the past 12 months. 3. Provide any reports prepared by internal auditors, external auditors, and/or consultants regarding credit risk. 4. Provide a copy of the corporation s analysis of concentrations of credit as of September 30, Provide summaries on credit facilitates internally rated substandard or worse and on credit facilities over $250 thousand that are 90 days or more past due or on nonaccural status as of September 30, Provide a list of all other real estate owned and repossessed assets as of September 30, Indicate the type of property/asset, book value, date of acquisition, estimated or appraised value, date of evaluation, and the owner. 7. Provide a copy of the September 30, 2003 or most recent analysis of the allowance for loan and lease losses. In addition, provide a copy of the methodology used to determine the adequacy of the allowance for loan and lease losses. 8. Summarize the process for assigning internal credit ratings. Include the internal credit rating definitions, individuals responsible for assigning and updating ratings, an analysis of the internal credit ratings for each affiliate bank, and the timeliness of the internal credit ratings assigned. Loan Review 1. Provide copies of the internal loan review policy. 2. Provide a listing of loan review staff, including titles, number of years with the corporation, number of years in the loan review department, and number of years of prior loan review experience. 3. Provide a copy of the most recent internal loan review presentation given to the board or credit committee Internal Audit 1. Provide access to the internal audit policy. 2. Provide a synopsis of the 2003 internal audit plan, including the number of audits planned and completed and the ratings assigned. 3. Provide a listing of internal audit staff, including titles, number of years with the corporation, number of years in the internal audit department, and number of years of prior auditing experience. Also, indicate the number of staff members who have left the department since June 30, Summarize the 2004 internal audit plan. 5. Provide a status report on internal audits performed during the initial nine months of 2003 and the ratings assigned. 6. Provide access to internal audit reports and work papers.