Exhibit 2-4

The exhibit illustrates (with fictitious data) the types of information that might be included on an NRC dashboard.

The left side of the exhibit shows box containing a graph detailing the "Probability of falling below the DRR." The graph is accompanied by an explanatory comment: "The continued deterioration in the economy and increasing volatility in Treasury prices continues to lead to an increased probability of falling below the DRR. A premium increase appears increasingly necessary if we are to maintain our target limit." Below this box, there are four smaller boxes containing graphs illustrating the four components of the probability calculation: distribution of credit losses, distribution of investment results, distribution of future deposits, and distribution of premium income. All of these graphs would show current and prior period distributions.

On the right side, four additional risk metrics are graphically illustrated (with fictitious data). In each case, the metric is compared to a limit. Additional attention would be warranted when the variable reaches the pre-set limit. The four risk metrics are:

  1. BIF deposit to reserve ratio. Includes sample comment "FDIC close to limit"


  2. Mean CAMELS rating. Includes sample comment "CAMELS have been deteriorating"


  3. KMV-FDIC default probabilities. Defined as "Mean KMV minus FDIC default probabilities for major money center banks." Includes sample comment "KMV is showing increasing bank default probabilities."


  4. RiskCalc-FDIC default probabilities. Defined as "Mean RiskCalc minus FDIC default probabilities for non-public banks." Includes sample comment "RiskCalc is showing increasing bank default probabilities."