November 18, 2010
VIA EDGAR
Mr. Kevin W. Vaughn
Accounting Branch Chief
Division of Corporation Finance
Securities and Exchange Commission
100 F Street, NE
Washington, DC 20549-4561
| Re: | IBERIABANK Corporation |
| Form 10-K for Fiscal Year Ended December 31, 2009 |
| Filed March 16, 2010 |
| Form 10-Q for Fiscal Quarter Ended March 31, 2010 |
| Filed May 10, 2010 |
| Form 8-K filed March 4, 2010 |
| File No. 000-25756 |
Dear Mr. Vaughn:
IBERIABANK Corporation (the “Company”) is in receipt of the letter from the staff (the “Staff”) of the Securities and Exchange Commission, dated October 20, 2010, regarding the above-referenced filings.
To facilitate the Staff’s review, we have included in this letter the captions and numbered comments from the Staff’s comment letter and have provided our responses immediately following each comment in bold.
| 1. | We note in your response to comment 11 included in your July 30, 2010 response letter and your revised disclosure related to non-accretable and accretable yield from your acquisitions in 2009 on page 12 of the June 30, 2010 Form 10-Q. |
| a. | For your Orion acquisition, please provide us your analysis of the loan portfolio used to support the amount of the initial investment, the accretable yield and non-accretable yield. |
Response
See Attachment I - Orion Loan Valuation Cash Flows for the summaries and some examples of various detail valuation schedules used to derive the value of the acquired loan portfolio. The full report is 275 pages long and is available if needed.
1
| b. | Clearly explain the methodology, inputs and key assumptions used in your analysis to measure each key amount. |
Response
A discounted cash flow (“DCF”) approach was used to value each pool of performing and non-performing loans. In applying the DCF approach, the fair value of the loan portfolio as of the transaction date was based on the present value of the expected cash flows from the portfolio. This process involved the following work steps:
| • | The loan portfolio was segmented into pools of loans having similar payment, risk and other characteristics; |
| • | Monthly principal and interest cash flows were projected based on the balance-weighted contractual terms of the loans; |
| • | Projected monthly principal and interest cash flows were adjusted for prepayments and credit loss expectations; |
| • | Monthly principal and interest cash flows were discounted to present value using discount rates taking into consideration the loan pool type, market rates as of the transaction date, credit expectations, liquidity expectations, and the expected life of the loan pool; and, |
| • | The monthly discounted cash flows were summed to arrive at the fair value of the loans. |
Principal and Interest Cash flows– For performing loans, monthly principal and interest cash flows were projected based on the payment type (i.e., amortizing or interest only), rate type (fixed or adjustable), weighted average coupon, weighted average term to re-price, weighted average maturity, and weighted average margin of each loan pool. For non-performing loans (classified as “non-accrual”), no interest cash flows were assumed and principal cash flows were projected based on the amount and timing of expected recoveries, taking into consideration the loan losses expected for each non-performing loan pool.
Prepayment Rates – Prepayment rates were based on the type of loan using market data and our valuation firm’s proprietary information gleaned from their valuation of similar loan portfolios. For commercial loans, the funded portion of fixed rated HELOCs, and the funded portion of variable rate HELOCs, we assumed constant prepayment rates (“CPR”) of 5 percent, 21 percent and 9 percent, respectively. For consumer loans, we assumed a CPR of 16 percent based on information observed on securitized consumer loan portfolios as obtained from a third party source (i.e., Bloomberg). For the various residential mortgage products, prepayment rates were based on information obtained from the Office of Thrift Supervision. Finally, for construction loans, there was no expectation of prepayments assumed.
Credit Adjustment –The Company reviewed the loan portfolio on an individual loan level basis and estimated the expected credit loss on each loan by determining the likelihood of default on each loan and the expected loss given default after taking
2
into consideration the underlying collateral on the respective loan. The Company also estimated the expected timing of credit losses, which was generally based on a “days past due” criteria. This loan level expected credit loss information was then aggregated to derive credit loss expectations for each loan pool.
Discount Rate –For performing loans, discount rates were determined using either current market loan rates or a build-up approach. For all variable rate loans, discount rates were based on the weighted average index rate (e.g. prime, LIBOR, etc.) and the weighted average margin applicable for each variable rate loan pool. The weighted average margin was increased 200bp to reflect current pricing in the market as compared to when the loans were originated. Because market-based loan rates invariably include an imbedded credit loss component, a credit adjustment was subtracted in order to avoid the duplication of credit adjustment already being incorporated as an adjustment to the cash flows. For fixed rate loans, discount rates were based on a build-up approach. The build-up approach constructs a discount rate incorporating components such as a risk free rate, funding cost, and servicing costs. For all discount rates, a liquidity discount was applied to account for the incremental level of illiquidity currently experienced in the market and to provide relevant consideration of value under ASC §820. For non-performing loans, the discount rate equated to a cost-of-carry.
| c. | Please tell us if your initial investment in acquired loans was measured based on the fair value of the loans. Please explain how you factored risks other than credit (liquidity, market, etc) in your measurement of the initial investment. |
Response
Our initial investment in acquired loans was measured based on the fair value of the loans. The following is our explanation of our measurement of the initial investment including how we factored risks other than credit (liquidity, market, etc.).
Non-credit related risks such as illiquidity and market were reflected in the discount rates used in the loan valuation. As discussed in (b) above, a liquidity component was added to the discount rate to account for the incremental level of illiquidity currently experienced in the market. The liquidity discount was derived by examining the spread between AAA-rated securities and treasury securities. Given the relatively nominal default risk of AAA-rated securities, the spread between the yields on these securities was primarily considered to be related to illiquidity and deemed to be a relevant estimate of the current liquidity issues in the market. In addition to illiquidity, the margin component of the discount rate used for variable rate loans was increased 200bp to reflect current pricing in the market as compared to when the loans were originated.
3
| d. | Please tell us whether your estimate of cash flows expected at acquisition was discounted or undiscounted. |
Response
The Company’s estimate of cash flows was discounted as described above in (b) above, projected principal and interest cash flows, adjusted for prepayments and expected credit losses, were discounted using an appropriate risk-adjusted discount rate.
| e. | It appears you used a discounted cash flow methodology to measure your initial investment, please tell us the discount rate used, how you determined it, and tell us whether the discount rate was the effective interest rate of the loans. |
Response
The Company used a discounted cash flow methodology to measure our initial investment as described above in (b) above, for performing loans, discount rates were determined using either current market loan rates (i.e., new loan rates) or a build-up approach (see attached for summary of discount rates by loan pool). For non-performing loans, the projected principal recovery amounts were discounted to present value by a cost-of-carry equal to the yield on BBB-rated securities.
Refer to Attachment II - Orion Loan Discount Rates.
| 2. | We note in your response to comment 12 included in your July 30, 2010 response letter. Based on amounts presented in the operation section of your statements of cash flows, it appears that you had a non-cash loss of $26,168 during the Q2 after having a non-cash gain of $64,770 in Q1 related to the amortization of your purchase accounting adjustments. Please explain to us the nature of the purchase accounting adjustments that resulted in the losses/gains, explain why they resulted in the losses/gains during the periods on 2010, identify the line items in your income statement that are affected, and discuss your expectations related to this trend for future periods. |
Response
The nature of the purchase accounting adjustments, as well as the financial statement line items affected and the quantification of their affect, are included in the following schedule.
| Summary of Amortization of Purchase Accounting Adjustments | (Dollars in thousands) | |||||||||||||
| For the three-month period ended | For the six-month period ended | |||||||||||||
| Nature of purchase accounting adjustment | Financial Statement Line Item | March 31, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
| Amortization of Loan fair value | IS - Interest and Dividend Income (Loan Interest Income) | (7,732 | ) | (11,261 | ) | (18,993 | ) | |||||||
| Amortization of FDIC loss share receivable | IS - Interest and Dividend Income (Other Interest Income) | (1,762 | ) | 1,141 | (621 | ) | ||||||||
| Amortization of Core Deposit Intangible | IS - Noninterest expense (Amortization of Acquisition Intangibles) | 1,010 | 1,269 | 2,279 | ||||||||||
| Amortization of Deposit fair value | IS - Interest expense (Deposits) | (6,941 | ) | (3,944 | ) | (10,885 | ) | |||||||
| Amortization of Long-term Debt fair value | IS - Interest expense (Long-term debt) | (2,261 | ) | (7,947 | ) | (10,208 | ) | |||||||
| Amortization of Trust Preferred Securities fair value | IS - Interest expense (Long-term debt) | (87 | ) | (87 | ) | (174 | ) | |||||||
| Adjustment of Loan and FDIC loss share receivable fair value | BS - Loans covered by loss share adjustment | (166,247 | ) | 166,247 | - | |||||||||
| Adjustment of Loan and FDIC loss share receivable fair value | BS - FDIC loss share receivable | 119,250 | (119,250 | ) | - | |||||||||
| Total Amortization of Purchase Accounting Adjustments as Presented | (64,770 | ) | 26,168 | (38,602 | ) | |||||||||
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In Q1, the Company included all non-cash purchase accounting adjustments in this line item in the Consolidated Statement of Cash Flows. After the Company received your letter dated July 30, 2010 and analyzed your comment 12, the Company found that we had included the adjustments of covered loan and FDIC loss share receivable in this line. During our review of your comment and then researching the entries made in the first quarter, these two items should not have been included in the line item listed as “Amortization of purchase accounting adjustments”.
In Q2, the Company removed these amounts from the line item listed as “Amortization of purchase accounting adjustments” and moved them to their more appropriate locations on the Consolidated Statement of Cash Flows in the lines labeled “Other operating activities” and “Increase (Decrease) in loans receivable, net, excluding loans acquired”.
The movement of these two items has the appearance of a non cash loss of $26,168 during the Q2 period, which includes a net $46,997 in non-cash adjustments of loan and FDIC loss share receivable in the first quarter.
These non-cash adjustments had no effect on the reported quarterly and year-to-date earnings as there was no impact to the Consolidated Statements of Income, nor was there an impact on the Consolidated Balance Sheets as of March 31, 2010 and June 30, 2010. The total increase in cash and cash equivalents reported on the Consolidated Statements of Cash Flows was also not impacted.
The remaining gains and losses included in this line item resulted from amortization of the fair value adjustments recorded at acquisition.
For amortization of the Company’s fair value adjustment on the acquired core deposit intangible asset, deposits, and long-term-debt, the Company expects to amortize the purchase accounting adjustments according to the method and length of time disclosed in Footnote 3 to its consolidated financial statements for the year ended December 31, 2009 on Form 10-K and Footnote 4 to its consolidated financial statements for the three and nine-month periods ended September 30, 2010 on Form 10-Q. The Company does not anticipate material changes to the amortization of these fair values in future periods.
For amortization of the Company’s fair value adjustments on the acquired loan portfolios and loss share receivable assets, the Company will amortize into earnings the estimated portion of income earned based on current estimates of expected cash flow from the Company’s acquired portfolios. Amortization of the fair value adjustments into income
5
will vary between periods based on these expected cash flows, and if expected cash flows increase for the covered loan portfolio, the Company will recognize additional income over the life of the covered loans. As a result, future amortization of these loan discounts may differ from the amounts reported in previous periods.
In addition to our responses above, your letter requests a written statement from us with certain acknowledgements.
We therefore acknowledge:
| • | we are responsible for the adequacy and accuracy of the disclosures in our filings, |
| • | staff comments or changes to disclosures in response to staff comments do no foreclose the Commission from taking any action with respect to the filing, and, |
| • | we may not assert staff comments as defense in any proceeding initiated by the Commission or any person under the federal securities laws of the United States. |
We appreciate your comments and guidance in regard to the financial statements and related disclosures in light of the myriad of changes in these areas and our continuing goal to enhance our overall disclosure. Please feel to contact me if additional information is required.
| Sincerely, |
| <s> Anthony J. Restel, |
| Anthony J. Restel |
Executive Vice President and Chief Financial Officer |
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ATTACHMENT I
IBERIABank |
| Schedule 6 | ||||||||||||||||||
Orion Bank |
| |||||||||||||||||||
Preliminary Valuation of Loan Portfolio |
| |||||||||||||||||||
Valuation Date: November 13, 2009 |
| |||||||||||||||||||
| Valuation Loan Summary | ||||||||||||||||||||
Loan Type | Exhibit Reference | Outstanding Principal Balance(1) | Fair Value | Premium/ (Discount) | % Premium/ (Discount) | |||||||||||||||
Performing Loans | Schedule 6A | 1,509,343,698 | 897,447,179 | (611,896,519) | -40.5% | |||||||||||||||
Non-Performing Loans | Schedule 6B | 306,690,227 | 63,646,551 | (243,043,676) | -79.2% | |||||||||||||||
Total | 1,816,033,925 | 961,093,730 | (854,940,195) | -47.1% | ||||||||||||||||
IBERIABank | Schedule 6A | |||
Orion Bank | ||||
Preliminary Valuation of Loan Portfolio | ||||
Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Loan Summary | Memo Item: Valuation Components | |||||||||||||||||||||||||||||||||||
| Loan | Exhibit | Outstanding Principal | Fair | Premium/ | % Premium/ | Absolute Credit | Non-Credit Premium/ (Discount) | |||||||||||||||||||||||||||||
| Pool | Loan Type | Reference | Balance | Value | (Discount) | (Discount) | Adjustment (1) | USD (2) | % | |||||||||||||||||||||||||||
1 | Commercial - Fixed - I/O | Schedule 6A.1 | 1,317,170 | 1,299,366 | (17,804) | (1.4 | %) | (4,547) | (13,257) | (1.0%) | ||||||||||||||||||||||||||
2 | Commercial - Fixed | Schedule 6A.2 | 15,810,779 | 13,539,097 | (2,271,682) | (14.4 | %) | (2,141,946) | (129,735) | (0.8%) | ||||||||||||||||||||||||||
3 | Commercial - Fixed -Tax Exempt | Schedule 6A.3 | 1,197,388 | 792,184 | (405,204) | (33.8 | %) | (438,634) | 33,430 | 2.8% | ||||||||||||||||||||||||||
4 | Commercial Real Estate -Fixed - I/O | Schedule 6A.4 | 118,459,832 | 41,602,796 | (76,857,036) | (64.9 | %) | (77,416,289) | 559,252 | 0.5% | ||||||||||||||||||||||||||
5 | Commercial Real Estate - Fixed | Schedule 6A.5 | 220,713,459 | 143,694,308 | (77,019,151) | (34.9 | %) | (77,550,668) | 531,517 | 0.2% | ||||||||||||||||||||||||||
6 | Commercial Real Estate - Fixed - SOP 03-3 | Schedule 6A.6 | 2,285,653 | 170,340 | (2,115,313) | (92.5 | %) | (2,160,902) | 45,590 | 2.0% | ||||||||||||||||||||||||||
7 | Commercial Real Estate - Construction - Fixed | Schedule 6A.7 | 12,503,680 | 9,076,807 | (3,426,873) | (27.4 | %) | (3,492,490) | 65,617 | 0.5% | ||||||||||||||||||||||||||
8 | Commercial Real Estate - Tax Exempt Fixed I/O | Schedule 6A.8 | 1,142,744 | 179,999 | (962,745) | (84.2 | %) | (971,332) | 8,587 | 0.8% | ||||||||||||||||||||||||||
9 | Commercial Real Estate - Tax Exempt - Fixed | Schedule 6A.9 | 1,481,593 | 1,469,460 | (12,133) | (0.8 | %) | (26,736) | 14,604 | 1.0% | ||||||||||||||||||||||||||
10 | Consumer Loans - Fixed I/O | Schedule 6A.10 | 2,526,069 | 1,987,680 | (538,389) | (21.3 | %) | (598,579) | 60,190 | 2.4% | ||||||||||||||||||||||||||
11 | Consumer Loans - Fixed | Schedule 6A.11 | 3,241,732 | 1,607,538 | (1,634,194) | (50.4 | %) | (1,717,454) | 83,259 | 2.6% | ||||||||||||||||||||||||||
12 | Consumer Real Estate Fixed I/O | Schedule 6A.12 | 859,773 | 788,469 | (71,304) | (8.3 | %) | (79,999) | 8,696 | 1.0% | ||||||||||||||||||||||||||
13 | Consumer Real Estate - Fixed | Schedule 6A.13 | 6,806,563 | 5,253,874 | (1,552,689) | (22.8 | %) | (1,422,047) | (130,642) | (1.9%) | ||||||||||||||||||||||||||
14 | Consumer Real Estate Fixed SOP 03-3 | Schedule 6A.14 | 527,133 | 129,602 | (397,531) | (75.4 | %) | (402,918) | 5,387 | 1.0% | ||||||||||||||||||||||||||
15 | Consumer Real Estate Other - Fixed I/O | Schedule 6A.15 | 30,583,370 | 16,831,351 | (13,752,019) | (45.0 | %) | (14,471,207) | 719,187 | 2.4% | ||||||||||||||||||||||||||
16 | Consumer Real Estate Other - Fixed | Schedule 6A.16 | 27,530,800 | 17,230,154 | (10,300,646) | (37.4 | %) | (10,850,358) | 549,712 | 2.0% | ||||||||||||||||||||||||||
17 | Consumer Real Estate Other Fixed SOP 03-3 | Schedule 6A.17 | 1,060,471 | 161,968 | (898,503) | (84.7 | %) | (901,400) | 2,897 | 0.3% | ||||||||||||||||||||||||||
18 | Home Equity LOC - Fixed I/O | Schedule 6A.18 | 1,002,430 | 737,456 | (264,974) | (26.4 | %) | (271,640) | 6,666 | 0.7% | ||||||||||||||||||||||||||
19 | Home Equity LOC - Fixed | Schedule 6A.19 | 3,840,883 | 375,831 | (3,465,052) | (90.2 | %) | (3,507,813) | 42,761 | 1.1% | ||||||||||||||||||||||||||
20 | Residential Construction Fixed I/O | Schedule 6A.20 | 4,441,282 | 4,380,858 | (60,424) | (1.4 | %) | (56,250) | (4,174) | (0.1%) | ||||||||||||||||||||||||||
21 | Residential Construction Fixed | Schedule 6A.21 | 138,000 | 98,473 | (39,527) | (28.6 | %) | (12,938) | (26,588) | (19.3%) | ||||||||||||||||||||||||||
22 | Commercial - I/O | Schedule 6A.22 | 28,109,775 | 16,687,268 | (11,422,507) | (40.6 | %) | (11,028,079) | (394,429) | (1.4%) | ||||||||||||||||||||||||||
23 | Commercial | Schedule 6A.23 | 43,714,606 | 35,000,198 | (8,714,408) | (19.9 | %) | (7,040,364) | (1,674,044) | (3.8%) | ||||||||||||||||||||||||||
24 | Commercial Real Estate - I/O | Schedule 6A.24 | 201,397,906 | 109,749,927 | (91,647,979) | (45.5 | %) | (88,690,799) | (2,957,179) | (1.5%) | ||||||||||||||||||||||||||
25 | Commercial Real Estate - I/O - SOP 03-3 | Schedule 6A.25 | 9,550,000 | 1,449,780 | (8,100,220) | (84.8 | %) | (8,117,500) | 17,280 | 0.2% | ||||||||||||||||||||||||||
26 | Commercial Real Estate | Schedule 6A.26 | 320,331,048 | 169,632,343 | (150,698,705) | (47.0 | %) | (146,463,804) | (4,234,901) | (1.3%) | ||||||||||||||||||||||||||
27 | Commercial Real Estate SOP 03-3 | Schedule 6A.27 | 18,828,039 | 3,743,307 | (15,084,732) | (80.1 | %) | (15,115,539) | 30,808 | 0.2% | ||||||||||||||||||||||||||
28 | Commercial Real Estate - Construction I/O | Schedule 6A.28 | 49,752,129 | 35,009,291 | (14,742,838) | (29.6 | %) | (13,532,078) | (1,210,761) | (2.4%) | ||||||||||||||||||||||||||
29 | Commercial Real Estate - Construction | Schedule 6A.29 | 52,621,363 | 35,104,236 | (17,517,127) | (33.3 | %) | (17,320,464) | (196,662) | (0.4%) | ||||||||||||||||||||||||||
30 | Consumer Loans - I/O | Schedule 6A.30 | 5,546,765 | 4,714,593 | (832,172) | (15.0 | %) | (797,906) | (34,265) | (0.6%) | ||||||||||||||||||||||||||
31 | Consumer Loans | Schedule 6A.31 | 6,189,847 | 2,342,975 | (3,846,872) | (62.1 | %) | (4,162,888) | 316,016 | 5.1% | ||||||||||||||||||||||||||
32 | Consumer Real Estate I/O | Schedule 6A.32 | 4,005,734 | 2,546,595 | (1,459,139) | (36.4 | %) | (1,441,599) | (17,539) | (0.4%) | ||||||||||||||||||||||||||
33 | Consumer Real Estate | Schedule 6A.33 | 111,498,341 | 85,377,250 | (26,121,091) | (23.4 | %) | (24,904,830) | (1,216,261) | (1.1%) | ||||||||||||||||||||||||||
34 | Consumer Real Estate SOP 03-3 | Schedule 6A.34 | 289,604 | 209,696 | (79,908) | (27.6 | %) | (72,401) | (7,505) | (2.6%) | ||||||||||||||||||||||||||
35 | Consumer Real Estate Other - I/O | Schedule 6A.35 | 39,894,918 | 30,454,391 | (9,440,527) | (23.7 | %) | (8,349,292) | (1,091,237) | (2.7%) | ||||||||||||||||||||||||||
36 | Consumer Real Estate Other | Schedule 6A.36 | 73,462,874 | 41,202,998 | (32,259,876) | (43.9 | %) | (34,013,332) | 1,753,455 | 2.4% | ||||||||||||||||||||||||||
37 | Consumer Real Estate Other SOP 03-3 | Schedule 6A.37 | 924,883 | 215,912 | (708,971) | (76.7 | %) | (730,099) | 21,125 | 2.3% | ||||||||||||||||||||||||||
38 | Credit Cards | Schedule 6A.38 | 356,442 | 244,299 | (112,143) | (31.5 | %) | (113,629) | 1,487 | 0.4% | ||||||||||||||||||||||||||
39 | Home Equity LOC - I/O | Schedule 6A.39 | 65,001,947 | 49,055,385 | (15,946,562) | (24.5 | %) | (12,472,801) | (3,473,762) | (5.3%) | ||||||||||||||||||||||||||
40 | Home Equity LOC | Schedule 6A.40 | 19,990,125 | 13,032,370 | (6,957,755) | (34.8 | %) | (6,849,037) | (108,715) | (0.5%) | ||||||||||||||||||||||||||
41 | Residential Construction | Schedule 6A.41 | 406,547 | 266,754 | (139,793) | (34.4 | %) | (37,787) | (102,007) | (25.1%) | ||||||||||||||||||||||||||
| 1,509,343,698 | 897,447,179 | (611,896,519) | (40.5 | %) | (599,750,377) | (12,146,142) | (0.8%) | |||||||||||||||||||||||||||||
Notes:
| 1. | Represents the credit mark associated with each loan pool. |
| 2. | Represents the difference between the loan premium/(discount) and absolute credit adjustment. |
IBERIABank | Schedule 6A.2 | |||
Orion Bank | ||||
Preliminary Valuation of Loan Portfolio | ||||
Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Detail |
| Loan Type: | Commercial - Fixed | Loan Pool: | 2 | Amortization Term: | 40 | |||||||||||||||||||
| Prin. Balance: | $15,810,779 | Rate Type: | Fixed | Maturity Date: | 40 | |||||||||||||||||||
| Interest Rate: | 6.96% | Payment Type: | Amortizing | |||||||||||||||||||||
Payment:
|
| $444,032
|
|
| Monthly Prepayment Rate:
|
|
| 0.43
| %
|
| Monthly Default Estimate:
|
|
| 0.74%
|
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Disc. Rate Interest | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||||
Dec-09 | $15,810,779 | $352,329 | $91,703 | $67,438 | $117,683 | $15,273,329 | 8.386 | % | 0.9931 | $507,921 | ||||||||||||||||||||||||||||
Jan-10 | 15,273,329 | 350,130 | 88,585 | 65,146 | 113,682 | 14,744,371 | 8.386 | % | 0.9862 | 496,892 | ||||||||||||||||||||||||||||
Feb-10 | 14,744,371 | 347,940 | 85,517 | 62,889 | 109,745 | 14,223,797 | 8.386 | % | 0.9793 | 486,084 | ||||||||||||||||||||||||||||
Mar-10 | 14,223,797 | 345,762 | 82,498 | 60,669 | 105,870 | 13,711,495 | 8.386 | % | 0.9725 | 475,497 | ||||||||||||||||||||||||||||
Apr-10 | 13,711,495 | 343,593 | 79,527 | 58,484 | 102,057 | 13,207,361 | 8.386 | % | 0.9658 | 465,124 | ||||||||||||||||||||||||||||
May-10 | 13,207,361 | 341,436 | 76,603 | 56,334 | 98,305 | 12,711,286 | 8.386 | % | 0.9591 | 454,960 | ||||||||||||||||||||||||||||
Jun-10 | 12,711,286 | 339,290 | 73,725 | 54,218 | 94,613 | 12,223,166 | 8.386 | % | 0.9524 | 445,002 | ||||||||||||||||||||||||||||
Jul-10 | 12,223,166 | 337,152 | 70,894 | 52,136 | 90,979 | 11,742,898 | 8.386 | % | 0.9458 | 435,246 | ||||||||||||||||||||||||||||
Aug-10 | 11,742,898 | 335,024 | 68,109 | 50,087 | 87,405 | 11,270,383 | 8.386 | % | 0.9392 | 425,686 | ||||||||||||||||||||||||||||
Sep-10 | 11,270,383 | 332,906 | 65,368 | 48,072 | 83,888 | 10,805,517 | 8.386 | % | 0.9327 | 416,320 | ||||||||||||||||||||||||||||
Oct-10 | 10,805,517 | 330,797 | 62,672 | 46,089 | 80,428 | 10,348,203 | 8.386 | % | 0.9263 | 407,144 | ||||||||||||||||||||||||||||
Nov-10 | 10,348,203 | 328,697 | 60,020 | 44,138 | 77,024 | 9,898,345 | 8.386 | % | 0.9198 | 398,152 | ||||||||||||||||||||||||||||
Dec-10 | 9,898,345 | 326,606 | 57,410 | 42,220 | 73,675 | 9,455,844 | 8.386 | % | 0.9134 | 389,343 | ||||||||||||||||||||||||||||
Jan-11 | 9,455,844 | 324,522 | 54,844 | 40,332 | 70,382 | 9,020,608 | 8.386 | % | 0.9071 | 380,711 | ||||||||||||||||||||||||||||
Feb-11 | 9,020,608 | 322,447 | 52,320 | 38,476 | 67,142 | 8,592,543 | 8.386 | % | 0.9008 | 372,254 | ||||||||||||||||||||||||||||
Mar-11 | 8,592,543 | 320,379 | 49,837 | 36,650 | 63,956 | 8,171,558 | 8.386 | % | 0.8946 | 363,966 | ||||||||||||||||||||||||||||
Apr-11 | 8,171,558 | 318,319 | 47,395 | 34,854 | 60,822 | 7,757,563 | 8.386 | % | 0.8884 | 355,845 | ||||||||||||||||||||||||||||
May-11 | 7,757,563 | 316,264 | 44,994 | 33,088 | 57,741 | 7,350,470 | 8.386 | % | 0.8822 | 347,887 | ||||||||||||||||||||||||||||
Jun-11 | 7,350,470 | 314,216 | 42,633 | 31,352 | 54,711 | 6,950,191 | 8.386 | % | 0.8761 | 340,089 | ||||||||||||||||||||||||||||
Jul-11 | 6,950,191 | 312,173 | 40,311 | 29,645 | 51,732 | 6,556,642 | 8.386 | % | 0.8700 | 332,446 | ||||||||||||||||||||||||||||
Aug-11 | 6,556,642 | 310,134 | 38,029 | 27,966 | 48,802 | 6,169,740 | 8.386 | % | 0.8639 | 324,955 | ||||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.2 | |||||||||||
| Orion Bank | ||||||||||||
| Preliminary Valuation of Loan Portfolio | ||||||||||||
| Valuation Date: November 13, 2009 | ||||||||||||
| Discounted Cash Flow Approach Detail | ||||||||||||||||||
| Loan Type: | Commercial - Fixed | Loan Pool: | 2 | Amortization Term: | 40 | |||||||||||||||||||
| Prin. Balance: | $15,810,779 | Rate Type: | Fixed | Maturity Date: | 40 | |||||||||||||||||||
| Interest Rate: | 6.96% | Payment Type: | Amortizing | |||||||||||||||||||||
Payment:
|
| $444,032
|
|
| Monthly Prepayment Rate:
|
|
| 0.43
| %
|
| Monthly Default Estimate:
|
|
| 0.74%
|
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Disc. Rate Interest | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||||
Sep-11 | 6,169,740 | 308,100 | 35,784 | 26,316 | 45,923 | 5,789,402 | 8.386 | % | 0.8580 | 317,613 | ||||||||||||||||||||||||||||
Oct-11 | 5,789,402 | 306,067 | 33,579 | 24,694 | 43,092 | 5,415,549 | 8.386 | % | 0.8520 | 310,417 | ||||||||||||||||||||||||||||
Nov-11 | 5,415,549 | 304,037 | 31,410 | 23,099 | 40,309 | 5,048,104 | 8.386 | % | 0.8461 | 303,360 | ||||||||||||||||||||||||||||
Dec-11 | 5,048,104 | 302,007 | 29,279 | 21,532 | 37,574 | 4,686,991 | 8.386 | % | 0.8402 | 296,442 | ||||||||||||||||||||||||||||
Jan-12 | 4,686,991 | 299,975 | 27,185 | 19,992 | 34,886 | 4,332,138 | 8.386 | % | 0.8344 | 289,658 | ||||||||||||||||||||||||||||
Feb-12 | 4,332,138 | 297,942 | 25,126 | 18,478 | 32,245 | 3,983,474 | 8.386 | % | 0.8286 | 283,002 | ||||||||||||||||||||||||||||
Mar-12 | 3,983,474 | 295,902 | 23,104 | 16,991 | 29,650 | 3,640,931 | 8.386 | % | 0.8228 | 276,472 | ||||||||||||||||||||||||||||
Apr-12 | 3,640,931 | 293,854 | 21,117 | 15,530 | 27,100 | 3,304,447 | 8.386 | % | 0.8171 | 270,063 | ||||||||||||||||||||||||||||
May-12 | 3,304,447 | 291,793 | 19,166 | 14,095 | 24,596 | 2,973,964 | 8.386 | % | 0.8115 | 263,769 | ||||||||||||||||||||||||||||
Jun-12 | 2,973,964 | 289,717 | 17,249 | 12,685 | 22,136 | 2,649,426 | 8.386 | % | 0.8058 | 257,584 | ||||||||||||||||||||||||||||
Jul-12 | 2,649,426 | 287,617 | 15,367 | 11,301 | 19,720 | 2,330,788 | 8.386 | % | 0.8002 | 251,502 | ||||||||||||||||||||||||||||
Aug-12 | 2,330,788 | 285,485 | 13,519 | 9,942 | 17,348 | 2,018,013 | 8.386 | % | 0.7947 | 245,514 | ||||||||||||||||||||||||||||
Sep-12 | 2,018,013 | 283,311 | 11,704 | 8,607 | 15,020 | 1,711,075 | 8.386 | % | 0.7892 | 239,609 | ||||||||||||||||||||||||||||
Oct-12 | 1,711,075 | 281,072 | 9,924 | 7,298 | 12,736 | 1,409,969 | 8.386 | % | 0.7837 | 233,771 | ||||||||||||||||||||||||||||
Nov-12 | 1,409,969 | 278,741 | 8,178 | 6,014 | 10,495 | 1,114,719 | 8.386 | % | 0.7783 | 227,976 | ||||||||||||||||||||||||||||
Dec-12 | 1,114,719 | 276,267 | 6,465 | 4,755 | 8,297 | 825,400 | 8.386 | % | 0.7729 | 222,185 | ||||||||||||||||||||||||||||
Jan-13 | 825,400 | 273,544 | 4,787 | 3,521 | 6,144 | 542,191 | 8.386 | % | 0.7675 | 216,318 | ||||||||||||||||||||||||||||
Feb-13 | 542,191 | 270,311 | 3,145 | 2,313 | 4,036 | 265,531 | 8.386 | % | 0.7622 | 210,181 | ||||||||||||||||||||||||||||
Mar-13 | 265,531 | 265,531 | 1,540 | 0 | 0 | 0 | 8.386 | % | 0.7569 | 202,139 | ||||||||||||||||||||||||||||
| $ | 12,441,386 | $ | 1,670,622 | $ | 1,227,446 | $ | 2,141,946 | Fair Value | $ | 13,539,097 | ||||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.2 | |||||||||||
| Orion Bank | ||||||||||||
| Preliminary Valuation of Loan Portfolio | ||||||||||||
| Valuation Date: November 13, 2009 | ||||||||||||
| Discounted Cash Flow Approach Detail | ||||||||||||||||||
Loan Type: Prin. Balance: Interest Rate: Payment: | Commercial - Fixed $15,810,779 6.96% $444,032
| Loan Pool: Rate Type: Payment Type: Monthly Prepayment Rate:
| 2 Fixed Amortizing 0.43%
| Amortization Term: Maturity Date:
Monthly Default Estimate:
| 40 40
0.74%
| |||||||||||||||||||||
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Disc. Rate Interest | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||
| Principal Outstanding | 15,810,779 | |||||||||||||||||||||||||||||||
| Loss Severity | 13.5 | % | Premium/(Discount) | ($2,271,682 | ) | |||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.10 | |||||||||||
| Orion Bank | ||||||||||||
| Preliminary Valuation of Loan Portfolio | ||||||||||||
| Valuation Date: November 13, 2009 | ||||||||||||
| Discounted Cash Flow Approach Detail | ||||||||||||||||||
Loan Type: Prin. Balance: Interest Rate: Payment: | Consumer Loans - Fixed I/O $2,526,0699 5.96% $0
| Loan Pool: Rate Type: Payment Type: Monthly Prepayment Rate:
| 10 Fixed Interest Only 1.44%
| Amortization Term: Maturity Date:
Monthly Default Estimate:
| 16 16
2.00%
| |||||||||||||||||||||
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Disc. Rate Interest | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||||
Dec-09 | $2,526,069 | $0 | $12,546 | $36,437 | $50,399 | $2,439,233 | 4.195% | 0.9965 | $48,812 | |||||||||||||||||||||||||||||
Jan-10 | 2,439,233 | 0 | 12,115 | 35,184 | 48,667 | 2,355,382 | 4.195% | 0.9930 | 46,970 | |||||||||||||||||||||||||||||
Feb-10 | 2,355,382 | 0 | 11,698 | 33,975 | 46,994 | 2,274,413 | 4.195% | 0.9896 | 45,197 | |||||||||||||||||||||||||||||
Mar-10 | 2,274,413 | 0 | 11,296 | 32,807 | 45,378 | 2,196,227 | 4.195% | 0.9861 | 43,492 | |||||||||||||||||||||||||||||
Apr-10 | 2,196,227 | 0 | 10,908 | 31,679 | 43,819 | 2,120,730 | 4.195% | 0.9827 | 41,850 | |||||||||||||||||||||||||||||
May-10 | 2,120,730 | 0 | 10,533 | 30,590 | 42,312 | 2,047,828 | 4.195% | 0.9793 | 40,271 | |||||||||||||||||||||||||||||
Jun-10 | 2,047,828 | 0 | 10,171 | 29,539 | 40,858 | 1,977,431 | 4.195% | 0.9759 | 38,752 | |||||||||||||||||||||||||||||
Jul-10 | 1,977,431 | 0 | 9,821 | 28,523 | 39,453 | 1,909,455 | 4.195% | 0.9725 | 37,288 | |||||||||||||||||||||||||||||
Aug-10 | 1,909,455 | 0 | 9,484 | 27,543 | 38,097 | 1,843,815 | 4.195% | 0.9691 | 35,882 | |||||||||||||||||||||||||||||
Sep-10 | 1,843,815 | 0 | 9,158 | 26,596 | 36,787 | 1,780,432 | 4.195% | 0.9657 | 34,528 | |||||||||||||||||||||||||||||
Oct-10 | 1,780,432 | 0 | 8,843 | 25,682 | 35,523 | 1,719,227 | 4.195% | 0.9623 | 33,225 | |||||||||||||||||||||||||||||
Nov-10 | 1,719,227 | 0 | 8,539 | 24,799 | 34,302 | 1,660,126 | 4.195% | 0.9590 | 31,971 | |||||||||||||||||||||||||||||
Dec-10 | 1,660,126 | 0 | 8,245 | 23,946 | 33,122 | 1,603,058 | 4.195% | 0.9556 | 30,763 | |||||||||||||||||||||||||||||
Jan-11 | 1,603,058 | 0 | 7,962 | 23,123 | 31,984 | 1,547,951 | 4.195% | 0.9523 | 29,603 | |||||||||||||||||||||||||||||
Feb-11 | 1,547,951 | 0 | 7,688 | 22,328 | 30,884 | 1,494,739 | 4.195% | 0.9490 | 28,485 | |||||||||||||||||||||||||||||
Mar-11 | 1,494,739 | 1,494,739 | 7,424 | 0 | 0 | 0 | 4.195% | 0.9457 | 1,420,590 | |||||||||||||||||||||||||||||
| $1,494,739 | $156,431 | $432,751 | $598,579 | Fair Value | $1,987,680 | |||||||||||||||||||||||||||||||||
| Principal Outstanding | 2,526,069 | |||||||||||||||||||||||||||||||||||||
| Loss Severity | 23.7% | Premium/(Discount) | ($538,389) | |||||||||||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.22 | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Detail |
| Loan Type: | Commercial - I/O | Loan Pool: | 22 | Amortization Term: | 19 | |||||
| Prin. Balance: | $28,109,775 | Rate Type: | Adjustable | Maturity Date: | 19 | |||||
| Interest Rate: | 4.43% | Payment Type: | Interest Only | Reprice Term | - | |||||
| Index: | 3.25% | |||||||||
| Margin: | 0.39% | |||||||||
| Projected Interest: | 3.64% | |||||||||
Payment:
| $0
| Monthly Prepayment Rate:
| 0.43%
| Monthly Default Estimate:
| 2.85%
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Discount Rate | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||
Dec-09 | $28,109,775 | $0 | $85,266 | $119,897 | $801,216 | $27,188,662 | 6.407 | % | 0.9947 | $204,074 | ||||||||||||||||||||||||||
Jan-10 | 27,188,662 | 0 | 82,472 | 115,968 | 774,962 | 26,297,732 | 6.407 | % | 0.9894 | 196,338 | ||||||||||||||||||||||||||
Feb-10 | 26,297,732 | 0 | 79,770 | 112,168 | 749,567 | 25,435,997 | 6.407 | % | 0.9842 | 188,896 | ||||||||||||||||||||||||||
Mar-10 | 25,435,997 | 0 | 77,156 | 108,493 | 725,005 | 24,602,499 | 6.407 | % | 0.9789 | 181,736 | ||||||||||||||||||||||||||
Apr-10 | 24,602,499 | 0 | 74,628 | 104,937 | 701,248 | 23,796,314 | 6.407 | % | 0.9737 | 174,847 | ||||||||||||||||||||||||||
May-10 | 23,796,314 | 0 | 72,182 | 101,499 | 678,269 | 23,016,546 | 6.407 | % | 0.9686 | 168,220 | ||||||||||||||||||||||||||
Jun-10 | 23,016,546 | 0 | 69,817 | 98,173 | 656,043 | 22,262,329 | 6.407 | % | 0.9634 | 161,844 | ||||||||||||||||||||||||||
Jul-10 | 22,262,329 | 0 | 67,529 | 94,956 | 634,546 | 21,532,828 | 6.407 | % | 0.9583 | 155,709 | ||||||||||||||||||||||||||
Aug-10 | 21,532,828 | 0 | 65,316 | 91,844 | 613,753 | 20,827,231 | 6.407 | % | 0.9532 | 149,806 | ||||||||||||||||||||||||||
Sep-10 | 20,827,231 | 0 | 63,176 | 88,835 | 593,641 | 20,144,755 | 6.407 | % | 0.9481 | 144,128 | ||||||||||||||||||||||||||
Oct-10 | 20,144,755 | 0 | 61,106 | 85,924 | 574,188 | 19,484,642 | 6.407 | % | 0.9431 | 138,665 | ||||||||||||||||||||||||||
Nov-10 | 19,484,642 | 0 | 59,103 | 83,108 | 555,373 | 18,846,161 | 6.407 | % | 0.9381 | 133,409 | ||||||||||||||||||||||||||
Dec-10 | 18,846,161 | 0 | 57,167 | 80,385 | 537,174 | 18,228,602 | 6.407 | % | 0.9331 | 128,352 | ||||||||||||||||||||||||||
Jan-11 | 18,228,602 | 0 | 55,293 | 77,751 | 519,572 | 17,631,279 | 6.407 | % | 0.9282 | 123,487 | ||||||||||||||||||||||||||
Feb-11 | 17,631,279 | 0 | 53,482 | 75,203 | 502,546 | 17,053,530 | 6.407 | % | 0.9232 | 118,806 | ||||||||||||||||||||||||||
Mar-11 | 17,053,530 | 0 | 51,729 | 72,739 | 486,079 | 16,494,712 | 6.407 | % | 0.9183 | 114,303 | ||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.22 | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Detail |
| Loan Type: | Commercial - I/O | Loan Pool: | 22 | Amortization Term: | 19 | |||||
| Prin. Balance: | $28,109,775 | Rate Type: | Adjustable | Maturity Date: | 19 | |||||
| Interest Rate: | 4.43% | Payment Type: | Interest Only | Reprice Term | - | |||||
| Index: | 3.25% | |||||||||
| Margin: | 0.39% | |||||||||
| Projected Interest: | 3.64% | |||||||||
Payment:
| $0
| Monthly Prepayment Rate:
| 0.43%
| Monthly Default Estimate:
| 2.85%
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Discount Rate | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||
Apr-11 | 16,494,712 | 0 | 50,034 | 70,355 | 470,151 | 15,954,206 | 6.407% | 0.9135 | 109,970 | |||||||||||||||||||||||||||
May-11 | 15,954,206 | 0 | 48,394 | 68,050 | 454,745 | 15,431,411 | 6.407% | 0.9086 | 105,802 | |||||||||||||||||||||||||||
Jun-11 | 15,431,411 | 15,431,411 | 46,809 | 0 | 0 | 0 | 6.407% | 0.9038 | 13,988,876 | |||||||||||||||||||||||||||
| $15,431,411 | $1,220,429 | $1,650,285 | $11,028,079 | Fair Value | $16,687,268 | |||||||||||||||||||||||||||||||
| Book Value | 28,109,775 | |||||||||||||||||||||||||||||||||||
| Loss Severity | 39.2% | Premium/(Discount) | ($11,422,507) | |||||||||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.23 | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Detail |
| Loan Type: | Commercial | Loan Pool: | 23 | Amortization Term: | 63 | |||||
| Prin. Balance: | $43,714,606 | Rate Type: | Adjustable | Maturity Date: | 63 | |||||
| Interest Rate: | 4.03% | Payment Type: | Amortizing | Reprice Term | 6 | |||||
| Index: | 3.07% | |||||||||
| Margin: | 0.43% | |||||||||
| Projected Interest: | 3.50% | |||||||||
Payment:
| $771,033
| Monthly Prepayment Rate:
| 0.43%
| Monthly Default Estimate:
| 0.60%
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Discount Rate | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||
Dec-09 | $43,714,606 | $624,225 | $146,808 | $183,794 | $264,082 | $42,642,505 | 6.267% | 0.9948 | $949,867 | |||||||||||||||||||||||||||
Jan-10 | 42,642,505 | 619,812 | 143,208 | 179,240 | 257,605 | 41,585,848 | 6.267% | 0.9896 | 932,494 | |||||||||||||||||||||||||||
Feb-10 | 41,585,848 | 615,428 | 139,659 | 174,752 | 251,222 | 40,544,446 | 6.267% | 0.9845 | 915,422 | |||||||||||||||||||||||||||
Mar-10 | 40,544,446 | 611,075 | 136,162 | 170,329 | 244,931 | 39,518,112 | 6.267% | 0.9794 | 898,646 | |||||||||||||||||||||||||||
Apr-10 | 39,518,112 | 606,751 | 132,715 | 165,969 | 238,731 | 38,506,661 | 6.267% | 0.9743 | 882,159 | |||||||||||||||||||||||||||
May-10 | 38,506,661 | 602,457 | 129,318 | 161,674 | 232,620 | 37,509,909 | 6.267% | 0.9692 | 865,959 | |||||||||||||||||||||||||||
Jun-10 | 37,509,909 | 605,839 | 109,404 | 157,408 | 226,599 | 36,520,064 | 6.267% | 0.9642 | 841,406 | |||||||||||||||||||||||||||
Jul-10 | 36,520,064 | 601,283 | 106,517 | 153,205 | 220,619 | 35,544,956 | 6.267% | 0.9592 | 825,864 | |||||||||||||||||||||||||||
Aug-10 | 35,544,956 | 596,761 | 103,673 | 149,065 | 214,729 | 34,584,402 | 6.267% | 0.9542 | 810,594 | |||||||||||||||||||||||||||
Sep-10 | 34,584,402 | 592,271 | 100,871 | 144,987 | 208,926 | 33,638,218 | 6.267% | 0.9492 | 795,591 | |||||||||||||||||||||||||||
Oct-10 | 33,638,218 | 587,814 | 98,111 | 140,971 | 203,210 | 32,706,223 | 6.267% | 0.9443 | 780,850 | |||||||||||||||||||||||||||
Nov-10 | 32,706,223 | 583,389 | 95,393 | 137,014 | 197,580 | 31,788,239 | 6.267% | 0.9394 | 766,366 | |||||||||||||||||||||||||||
Dec-10 | 31,788,239 | 578,997 | 92,716 | 133,117 | 192,034 | 30,884,092 | 6.267% | 0.9345 | 752,135 | |||||||||||||||||||||||||||
Jan-11 | 30,884,092 | 574,636 | 90,079 | 129,279 | 186,572 | 29,993,605 | 6.267% | 0.9297 | 738,154 | |||||||||||||||||||||||||||
Feb-11 | 29,993,605 | 570,306 | 87,481 | 125,500 | 181,193 | 29,116,607 | 6.267% | 0.9248 | 724,418 | |||||||||||||||||||||||||||
Mar-11 | 29,116,607 | 566,007 | 84,923 | 121,777 | 175,895 | 28,252,927 | 6.267% | 0.9200 | 710,921 | |||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.23 | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Detail |
| Loan Type: | Commercial | Loan Pool: | 23 | Amortization Term: | 63 | |||||
| Prin. Balance: | $43,714,606 | Rate Type: | Adjustable | Maturity Date: | 63 | |||||
| Interest Rate: | 4.03% | Payment Type: | Amortizing | Reprice Term | 6 | |||||
| Index: | 3.07% | |||||||||
| Margin: | 0.43% | |||||||||
| Projected Interest: | 3.50% | |||||||||
Payment:
| $771,033
| Monthly Prepayment Rate:
| 0.43%
| Monthly Default Estimate:
| 0.60%
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Discount Rate | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||
Apr-11 | 28,252,927 | 561,740 | 82,404 | 118,112 | 170,677 | 27,402,399 | 6.267% | 0.9153 | 697,661 | |||||||||||||||||||||||||||
May-11 | 27,402,399 | 557,503 | 79,924 | 114,502 | 165,539 | 26,564,855 | 6.267% | 0.9105 | 684,633 | |||||||||||||||||||||||||||
Jun-11 | 26,564,855 | 553,296 | 77,481 | 110,948 | 160,479 | 25,740,131 | 6.267% | 0.9058 | 671,835 | |||||||||||||||||||||||||||
Jul-11 | 25,740,131 | 549,120 | 75,075 | 107,448 | 155,497 | 24,928,067 | 6.267% | 0.9011 | 659,260 | |||||||||||||||||||||||||||
Aug-11 | 24,928,067 | 544,973 | 72,707 | 104,002 | 150,591 | 24,128,500 | 6.267% | 0.8964 | 646,905 | |||||||||||||||||||||||||||
Sep-11 | 24,128,500 | 540,855 | 70,375 | 100,609 | 145,761 | 23,341,275 | 6.267% | 0.8917 | 634,768 | |||||||||||||||||||||||||||
Oct-11 | 23,341,275 | 536,767 | 68,079 | 97,268 | 141,006 | 22,566,234 | 6.267% | 0.8871 | 622,843 | |||||||||||||||||||||||||||
Nov-11 | 22,566,234 | 532,708 | 65,818 | 93,980 | 136,324 | 21,803,223 | 6.267% | 0.8825 | 611,128 | |||||||||||||||||||||||||||
Dec-11 | 21,803,223 | 528,677 | 63,593 | 90,743 | 131,714 | 21,052,088 | 6.267% | 0.8779 | 599,619 | |||||||||||||||||||||||||||
Jan-12 | 21,052,088 | 524,675 | 61,402 | 87,556 | 127,177 | 20,312,681 | 6.267% | 0.8733 | 588,312 | |||||||||||||||||||||||||||
Feb-12 | 20,312,681 | 520,701 | 59,245 | 84,419 | 122,710 | 19,584,851 | 6.267% | 0.8688 | 577,204 | |||||||||||||||||||||||||||
Mar-12 | 19,584,851 | 516,754 | 57,122 | 81,332 | 118,313 | 18,868,452 | 6.267% | 0.8643 | 566,291 | |||||||||||||||||||||||||||
Apr-12 | 18,868,452 | 512,835 | 55,033 | 78,293 | 113,985 | 18,163,338 | 6.267% | 0.8598 | 555,570 | |||||||||||||||||||||||||||
May-12 | 18,163,338 | 508,943 | 52,976 | 75,302 | 109,725 | 17,469,368 | 6.267% | 0.8553 | 545,038 | |||||||||||||||||||||||||||
Jun-12 | 17,469,368 | 505,078 | 50,952 | 72,358 | 105,533 | 16,786,398 | 6.267% | 0.8509 | 534,690 | |||||||||||||||||||||||||||
Jul-12 | 16,786,398 | 501,240 | 48,960 | 69,461 | 101,407 | 16,114,290 | 6.267% | 0.8465 | 524,525 | |||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.23 | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Detail |
| Loan Type: | Commercial | Loan Pool: | 23 | Amortization Term: | 63 | |||||
| Prin. Balance: | $43,714,606 | Rate Type: | Adjustable | Maturity Date: | 63 | |||||
| Interest Rate: | 4.03% | Payment Type: | Amortizing | Reprice Term | 6 | |||||
| Index: | 3.07% | |||||||||
| Margin: | 0.43% | |||||||||
| Projected Interest: | 3.50% | |||||||||
Payment:
| $771,033
| Monthly Prepayment Rate:
| 0.43%
| Monthly Default Estimate:
| 0.60%
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Discount Rate | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||
Aug-12 | 16,114,290 | 497,427 | 47,000 | 66,611 | 97,347 | 15,452,905 | 6.267% | 0.8421 | 514,538 | |||||||||||||||||||||||||||
Sep-12 | 15,452,905 | 493,640 | 45,071 | 63,806 | 93,352 | 14,802,107 | 6.267% | 0.8377 | 504,727 | |||||||||||||||||||||||||||
Oct-12 | 14,802,107 | 489,879 | 43,173 | 61,046 | 89,420 | 14,161,762 | 6.267% | 0.8333 | 495,089 | |||||||||||||||||||||||||||
Nov-12 | 14,161,762 | 486,143 | 41,305 | 58,331 | 85,552 | 13,531,737 | 6.267% | 0.8290 | 485,620 | |||||||||||||||||||||||||||
Dec-12 | 13,531,737 | 482,431 | 39,468 | 55,659 | 81,746 | 12,911,901 | 6.267% | 0.8247 | 476,317 | |||||||||||||||||||||||||||
Jan-13 | 12,911,901 | 478,743 | 37,660 | 53,031 | 78,001 | 12,302,126 | 6.267% | 0.8204 | 467,178 | |||||||||||||||||||||||||||
Feb-13 | 12,302,126 | 475,079 | 35,881 | 50,446 | 74,318 | 11,702,283 | 6.267% | 0.8162 | 458,199 | |||||||||||||||||||||||||||
Mar-13 | 11,702,283 | 471,439 | 34,132 | 47,903 | 70,694 | 11,112,247 | 6.267% | 0.8119 | 449,378 | |||||||||||||||||||||||||||
Apr-13 | 11,112,247 | 467,821 | 32,411 | 45,402 | 67,130 | 10,531,894 | 6.267% | 0.8077 | 440,711 | |||||||||||||||||||||||||||
May-13 | 10,531,894 | 464,225 | 30,718 | 42,942 | 63,624 | 9,961,103 | 6.267% | 0.8035 | 432,195 | |||||||||||||||||||||||||||
Jun-13 | 9,961,103 | 460,651 | 29,053 | 40,522 | 60,175 | 9,399,755 | 6.267% | 0.7993 | 423,828 | |||||||||||||||||||||||||||
Jul-13 | 9,399,755 | 457,098 | 27,416 | 38,143 | 56,784 | 8,847,730 | 6.267% | 0.7952 | 415,607 | |||||||||||||||||||||||||||
Aug-13 | 8,847,730 | 453,565 | 25,806 | 35,804 | 53,449 | 8,304,911 | 6.267% | 0.7910 | 407,529 | |||||||||||||||||||||||||||
Sep-13 | 8,304,911 | 450,051 | 24,223 | 33,503 | 50,170 | 7,771,187 | 6.267% | 0.7869 | 399,590 | |||||||||||||||||||||||||||
Oct-13 | 7,771,187 | 446,556 | 22,666 | 31,242 | 46,946 | 7,246,444 | 6.267% | 0.7829 | 391,789 | |||||||||||||||||||||||||||
Nov-13 | 7,246,444 | 443,077 | 21,135 | 29,019 | 43,776 | 6,730,571 | 6.267% | 0.7788 | 384,121 | |||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.23 | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Detail |
| Loan Type: | Commercial | Loan Pool: | 23 | Amortization Term: | 63 | |||||
| Prin. Balance: | $43,714,606 | Rate Type: | Adjustable | Maturity Date: | 63 | |||||
| Interest Rate: | 4.03% | Payment Type: | Amortizing | Reprice Term | 6 | |||||
| Index: | 3.07% | |||||||||
| Margin: | 0.43% | |||||||||
| Projected Interest: | 3.50% | |||||||||
Payment:
| $771,033
| Monthly Prepayment Rate:
| 0.43%
| Monthly Default Estimate:
| 0.60%
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Discount Rate | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||
Dec-13 | 6,730,571 | 439,615 | 19,631 | 26,833 | 40,660 | 6,223,464 | 6.267% | 0.7747 | 376,584 | |||||||||||||||||||||||||||
Jan-14 | 6,223,464 | 436,167 | 18,152 | 24,685 | 37,596 | 5,725,016 | 6.267% | 0.7707 | 369,175 | |||||||||||||||||||||||||||
Feb-14 | 5,725,016 | 432,731 | 16,698 | 22,573 | 34,585 | 5,235,126 | 6.267% | 0.7667 | 361,889 | |||||||||||||||||||||||||||
Mar-14 | 5,235,126 | 429,306 | 15,269 | 20,498 | 31,626 | 4,753,696 | 6.267% | 0.7627 | 354,724 | |||||||||||||||||||||||||||
Apr-14 | 4,753,696 | 425,889 | 13,865 | 18,459 | 28,717 | 4,280,631 | 6.267% | 0.7588 | 347,675 | |||||||||||||||||||||||||||
May-14 | 4,280,631 | 422,475 | 12,485 | 16,456 | 25,859 | 3,815,841 | 6.267% | 0.7548 | 340,739 | |||||||||||||||||||||||||||
Jun-14 | 3,815,841 | 419,060 | 11,130 | 14,488 | 23,052 | 3,359,242 | 6.267% | 0.7509 | 333,909 | |||||||||||||||||||||||||||
Jul-14 | 3,359,242 | 415,637 | 9,798 | 12,555 | 20,293 | 2,910,756 | 6.267% | 0.7470 | 327,179 | |||||||||||||||||||||||||||
Aug-14 | 2,910,756 | 412,198 | 8,490 | 10,657 | 17,584 | 2,470,317 | 6.267% | 0.7431 | 320,540 | |||||||||||||||||||||||||||
Sep-14 | 2,470,317 | 408,728 | 7,205 | 8,793 | 14,923 | 2,037,873 | 6.267% | 0.7393 | 313,982 | |||||||||||||||||||||||||||
Oct-14 | 2,037,873 | 405,204 | 5,944 | 6,964 | 0 | 1,625,705 | 6.267% | 0.7354 | 307,487 | |||||||||||||||||||||||||||
Nov-14 | 1,625,705 | 404,652 | 4,742 | 5,208 | 0 | 1,215,845 | 6.267% | 0.7316 | 303,322 | |||||||||||||||||||||||||||
Dec-14 | 1,215,845 | 404,102 | 3,546 | 3,462 | 0 | 808,281 | 6.267% | 0.7278 | 299,204 | |||||||||||||||||||||||||||
Jan-15 | 808,281 | 403,552 | 2,357 | 1,726 | 0 | 403,003 | 6.267% | 0.7240 | 295,134 | |||||||||||||||||||||||||||
Feb-15 | 403,003 | 403,003 | 1,175 | 0 | 0 | 0 | 6.267% | 0.7203 | 291,111 | |||||||||||||||||||||||||||
| IBERIABank | Schedule 6A.23 | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discounted Cash Flow Approach Detail |
| Loan Type: | Commercial | Loan Pool: | 23 | Amortization Term: | 63 | |||||
| Prin. Balance: | $43,714,606 | Rate Type: | Adjustable | Maturity Date: | 63 | |||||
| Interest Rate: | 4.03% | Payment Type: | Amortizing | Reprice Term | 6 | |||||
| Index: | 3.07% | |||||||||
| Margin: | 0.43% | |||||||||
| Projected Interest: | 3.50% | |||||||||
Payment:
| $771,033
| Monthly Prepayment Rate:
| 0.43%
| Monthly Default Estimate:
| 0.60%
|
| Month | Beg. of Month UPB | Scheduled Principal | Scheduled Interest | Prepaid Principal | Credit Adjustment | End of Month UPB | Discount Rate | Present Value Factor | Pres. Value Cash Flows | |||||||||||||||||||||||||||
| $31,813,061 | $3,525,789 | $4,861,181 | $7,040,364 | Fair Value | $35,000,198 | |||||||||||||||||||||||||||||||
| Book Value | 43,714,606 | |||||||||||||||||||||||||||||||||||
| Loss Severity | 16.1% | Premium/(Discount) | ($8,714,408) | |||||||||||||||||||||||||||||||||
| IBERIABank | Schedule 6B | |
| Orion Bank | ||
| Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Non-Performing Loans Summary | ||||||||||||||||||||||||||||||||||
| Loan Pool | Loan Type | Outstanding Principal Balance | Estimated Loan Loss (1) | Estimated Recovery Amount | Estimated Recovery Term (mos) | Discount Rate(2) | Present Value Factor | Fair Value | Premium/ (Discount) | |||||||||||||||||||||||||
| 42 | Commercial Real Estate - I/O | 1,310,000 | 75 | % | $327,500 | 29 | 4.11 | % | 0.9057 | $296,616 | ($1,013,384 | ) | ||||||||||||||||||||||
| 43 | Commercial Real Estate - Fixed - I/O | 536,000 | 100 | % | $0 | 29 | 4.11 | % | 0.9057 | $0 | ($536,000 | ) | ||||||||||||||||||||||
| 44 | Commercial Real Estate | 237,978 | 60 | % | $95,650 | 23 | 3.81 | % | 0.9297 | $88,922 | ($149,056 | ) | ||||||||||||||||||||||
| 45 | Commercial Real Estate SOP 03-3 | 6,078,256 | 75 | % | $1,514,549 | 5 | 3.36 | % | 0.9861 | $1,493,552 | ($4,584,703 | ) | ||||||||||||||||||||||
| 46 | Commercial Real Estate Construction - Fixed | 4,034,858 | 100 | % | $0 | 29 | 4.11 | % | 0.9057 | $0 | ($4,034,858 | ) | ||||||||||||||||||||||
| 47 | Commercial Real Estate - Construction - Fixed | 623,738 | 100 | % | $0 | 5 | 3.36 | % | 0.9861 | $0 | ($623,738 | ) | ||||||||||||||||||||||
| 48 | Consumer Loans - Fixed SOP 03-3 | 198,363 | 100 | % | $0 | 5 | 3.36 | % | 0.9861 | $0 | ($198,363 | ) | ||||||||||||||||||||||
| 49 | Consumer Real Estate - Fixed SOP 03-3 | 1,857,243 | 82 | % | $340,845 | 5 | 3.36 | % | 0.9861 | $336,120 | ($1,521,123 | ) | ||||||||||||||||||||||
| 50 | Consumer RE Other - Fixed I/O SOP 03-3 | 1,892,242 | 83 | % | $319,900 | 5 | 3.36 | % | 0.9861 | $315,465 | ($1,576,777 | ) | ||||||||||||||||||||||
| 51 | Consumer RE Other - Fixed | 17,090 | 85 | % | $2,563 | 17 | 3.45 | % | 0.9524 | $2,441 | ($14,648 | ) | ||||||||||||||||||||||
| 52 | Consumer RE Other - Fixed SOP 03-3 | 4,622,999 | 63 | % | $1,707,630 | 5 | 3.36 | % | 0.9861 | $1,683,957 | ($2,939,042 | ) | ||||||||||||||||||||||
| 53 | Commercial I/O | 124,116 | 100 | % | $0 | 29 | 4.11 | % | 0.9057 | $0 | ($124,116 | ) | ||||||||||||||||||||||
| 54 | Commercial | 3,066,868 | 100 | % | $0 | 5 | 3.36 | % | 0.9861 | $0 | ($3,066,868 | ) | ||||||||||||||||||||||
| 55 | Commercial -Tax Exempt | 27,296 | 100 | % | $0 | 29 | 4.11 | % | 0.9057 | $0 | ($27,296 | ) | ||||||||||||||||||||||
| 56 | Commercial RE I/O | 37,720,183 | 90 | % | $3,839,811 | 23 | 3.81 | % | 0.9297 | $3,569,732 | ($34,150,451 | ) | ||||||||||||||||||||||
| 57 | Commercial RE I/O SOP 03-3 | 19,266,886 | 75 | % | $4,806,824 | 5 | 3.36 | % | 0.9861 | $4,740,186 | ($14,526,700 | ) | ||||||||||||||||||||||
| 58 | Commercial RE SOP 03-3 | 141,699,369 | 90 | % | $14,222,172 | 5 | 3.36 | % | 0.9861 | $14,025,006 | ($127,674,363 | ) | ||||||||||||||||||||||
| 59 | Commercial RE Construction I/O | 32,209,894 | 35 | % | $20,936,431 | 23 | 3.81 | % | 0.9297 | $19,463,834 | ($12,746,060 | ) | ||||||||||||||||||||||
| 60 | Commercial RE Construction SOP 03-3 | 22,670,209 | 73 | % | $6,042,529 | 5 | 3.36 | % | 0.9861 | $5,958,760 | ($16,711,449 | ) | ||||||||||||||||||||||
| 61 | Consumer Loans I/O | 1,499,804 | 80 | % | $299,961 | 29 | 4.11 | % | 0.9057 | $271,674 | ($1,228,131 | ) | ||||||||||||||||||||||
| 62 | Consumer RE I/O SOP 03-3 | 393,940 | 50 | % | $198,595 | 5 | 3.36 | % | 0.9861 | $195,842 | ($198,099 | ) | ||||||||||||||||||||||
| 63 | Consumer RE SOP 03-3 | 4,952,247 | 47 | % | $2,622,301 | 5 | 3.36 | % | 0.9861 | $2,585,947 | ($2,366,299 | ) | ||||||||||||||||||||||
| 64 | Consumer RE Other Payment | 912,377 | 100 | % | $0 | 29 | 4.11 | % | 0.9057 | $0 | ($912,377 | ) | ||||||||||||||||||||||
| 65 | Consumer RE Other I/O | 2,588,903 | 72 | % | $724,372 | 5 | 3.36 | % | 0.9861 | $714,330 | ($1,874,572 | ) | ||||||||||||||||||||||
| 66 | Consumer RE Other | 1,107,570 | 100 | % | $0 | 23 | 3.81 | % | 0.9297 | $0 | ($1,107,570 | ) | ||||||||||||||||||||||
| 67 | Consumer RE Other SOP 03-3 | 13,037,608 | 58 | % | $5,418,712 | 5 | 3.36 | % | 0.9861 | $5,343,590 | ($7,694,018 | ) | ||||||||||||||||||||||
| 68 | Home Equity LOC I/O | 1,273,644 | 25 | % | $955,233 | 29 | 4.11 | % | 0.9057 | $865,152 | ($408,492 | ) | ||||||||||||||||||||||
| 69 | Home Equity LOC I/O SOP 03-3 | 1,265,690 | 41 | % | $740,643 | 5 | 3.36 | % | 0.9861 | $730,375 | ($535,315 | ) | ||||||||||||||||||||||
| 70 | Home Equity LOC | 974,500 | 25 | % | $730,875 | 29 | 4.11 | % | 0.9057 | $661,951 | ($312,549 | ) | ||||||||||||||||||||||
| IBERIABank | Schedule 6B | |
| Orion Bank | ||
| Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Non-Performing Loans Summary | ||||||||||||||||||||||||||||||||||
| Loan Pool | Loan Type | Outstanding Principal Balance | Estimated Loan Loss (1) | Estimated Recovery Amount | Estimated Recovery Term (mos) | Discount Rate(2) | Present Value Factor | Fair Value | Premium/ (Discount) | |||||||||||||||||||||||||
| 71 | Home Equity LOC SOP 03-3 | 409,813 | 25 | % | $307,360 | 5 | 3.36 | % | 0.9861 | $303,099 | ($106,714 | ) | ||||||||||||||||||||||
| 72 | Overdrafts | 80,544 | 100 | % | $0 | 29 | 4.11 | % | 0.9057 | $0 | ($80,544 | ) | ||||||||||||||||||||||
| $306,690,227 | $66,154,457 | $63,646,551 | ($243,043,676 | ) | ||||||||||||||||||||||||||||||
Note:
1. Represents the percentage of expected credit losses for each loan pool derived from information provided by Management.
2. Represents interest rate of BBB investment grade bonds matched to the maturity of the estimated recovery term.
ATTACHMENT II
| IBERIABank | Schedule 6C | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discount Rate Summary Schedule | ||||||||||||||||||||||||||||||||||||||
| New Loan Rate | Build-Up | |||||||||||||||||||||||||||||||||||||
| Loan Pool | Loan Type | Selected Loan Term(1) | Margin(2) | Index(3) | Normalized Charge-off (4) | Liquidity Discount (5) | Risk free Rate(6) | Funding Cost(7) | Servicing Cost(7) | Discount Rate(8) | ||||||||||||||||||||||||||||
| 1 | Commercial - Fixed - I/O | 7 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 0.22 | % | 2.25 | % | 3.06 | % | 7.19 | % | ||||||||||||||||||||
| 2 | Commercial - Fixed | 40 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 1.43 | % | 2.25 | % | 3.06 | % | 8.39 | % | ||||||||||||||||||||
| 3 | Commercial - Fixed -Tax Exempt | 45 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 1.53 | % | 2.25 | % | 3.06 | % | 8.50 | % | ||||||||||||||||||||
| 4 | Commercial Real Estate -Fixed - I/O | 21 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 0.64 | % | 2.25 | % | 3.35 | % | 7.89 | % | ||||||||||||||||||||
| 5 | Commercial Real Estate - Fixed | 36 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 1.39 | % | 2.25 | % | 3.35 | % | 8.64 | % | ||||||||||||||||||||
| 6 | Commercial Real Estate - Fixed - SOP 03-3 | 18 | 0.00 | % | 0.00 | % | 0.00 | % | 2.36 | % | 0.49 | % | 2.25 | % | 4.46 | % | 9.56 | % | ||||||||||||||||||||
| 7 | Commercial Real Estate - Construction - Fixed | 16 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 0.42 | % | 2.25 | % | 3.24 | % | 7.56 | % | ||||||||||||||||||||
| 8 | Commercial Real Estate - Tax Exempt Fixed I/O | 6 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 0.22 | % | 2.25 | % | 3.24 | % | 7.36 | % | ||||||||||||||||||||
| 9 | Commercial Real Estate - Tax Exempt - Fixed | 15 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 0.39 | % | 2.25 | % | 3.24 | % | 7.54 | % | ||||||||||||||||||||
| 10 | Consumer Loans - Fixed I/O | 16 | 0.00 | % | 0.00 | % | 0.00 | % | 0.94 | % | 0.42 | % | 2.25 | % | 0.58 | % | 4.19 | % | ||||||||||||||||||||
| 11 | Consumer Loans - Fixed | 24 | 0.00 | % | 0.00 | % | 0.00 | % | 0.94 | % | 0.85 | % | 2.25 | % | 0.58 | % | 4.63 | % | ||||||||||||||||||||
| 12 | Consumer Real Estate Fixed I/O | 5 | 0.00 | % | 0.00 | % | 0.00 | % | 0.94 | % | 0.19 | % | 2.25 | % | 0.46 | % | 3.84 | % | ||||||||||||||||||||
| 13 | Consumer Real Estate - Fixed | 145 | 0.00 | % | 0.00 | % | 0.00 | % | 0.94 | % | 3.81 | % | 2.25 | % | 0.46 | % | 7.46 | % | ||||||||||||||||||||
| 14 | Consumer Real Estate Fixed SOP 03-3 | 21 | 0.00 | % | 0.00 | % | 0.00 | % | 1.89 | % | 0.64 | % | 2.25 | % | 0.69 | % | 5.47 | % | ||||||||||||||||||||
| 15 | Consumer Real Estate Other - Fixed I/O | 18 | 0.00 | % | 0.00 | % | 0.00 | % | 0.94 | % | 0.49 | % | 2.25 | % | 0.46 | % | 4.14 | % | ||||||||||||||||||||
| 16 | Consumer Real Estate Other - Fixed | 27 | 0.00 | % | 0.00 | % | 0.00 | % | 0.94 | % | 0.89 | % | 2.25 | % | 0.46 | % | 4.54 | % | ||||||||||||||||||||
| 17 | Consumer Real Estate Other Fixed SOP 03-3 | 12 | 0.00 | % | 0.00 | % | 0.00 | % | 1.89 | % | 0.35 | % | 2.25 | % | 0.69 | % | 5.18 | % | ||||||||||||||||||||
| 18 | Home Equity LOC - Fixed I/O | 8 | 0.00 | % | 0.00 | % | 0.00 | % | 0.94 | % | 0.24 | % | 2.25 | % | 2.33 | % | 5.76 | % | ||||||||||||||||||||
| 19 | Home Equity LOC - Fixed | 33 | 0.00 | % | 0.00 | % | 0.00 | % | 0.94 | % | 1.16 | % | 2.25 | % | 2.33 | % | 6.69 | % | ||||||||||||||||||||
| 20 | Residential Construction Fixed I/O | 3 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 0.16 | % | 2.25 | % | 3.24 | % | 7.31 | % | ||||||||||||||||||||
| 21 | Residential Construction Fixed | 198 | 0.00 | % | 0.00 | % | 0.00 | % | 1.65 | % | 4.30 | % | 2.25 | % | 3.24 | % | 11.44 | % | ||||||||||||||||||||
| 22 | Commercial - I/O | 19 | 2.39 | % | 3.25 | % | 0.89 | % | 1.65 | % | 0.53 | % | 2.25 | % | 3.06 | % | 6.41 | % | ||||||||||||||||||||
| 23 | Commercial | 63 | 2.43 | % | 3.07 | % | 0.89 | % | 1.65 | % | 2.35 | % | 2.25 | % | 3.06 | % | 6.27 | % | ||||||||||||||||||||
| 24 | Commercial Real Estate - I/O | 16 | 2.75 | % | 2.98 | % | 0.08 | % | 1.65 | % | 0.42 | % | 2.25 | % | 3.35 | % | 7.31 | % | ||||||||||||||||||||
| 25 | Commercial Real Estate - I/O - SOP 03-3 | 3 | 2.50 | % | 3.25 | % | 0.08 | % | 2.36 | % | 0.16 | % | 2.25 | % | 4.46 | % | 8.04 | % | ||||||||||||||||||||
| 26 | Commercial Real Estate | 89 | 3.58 | % | 2.52 | % | 0.08 | % | 1.65 | % | 3.06 | % | 2.25 | % | 3.35 | % | 7.68 | % | ||||||||||||||||||||
| 27 | Commercial Real Estate SOP 03-3 | 89 | 2.30 | % | 3.25 | % | 0.08 | % | 2.36 | % | 3.06 | % | 2.25 | % | 4.46 | % | 7.84 | % | ||||||||||||||||||||
| 28 | Commercial Real Estate - Construction I/O | 16 | 2.39 | % | 3.25 | % | 0.10 | % | 1.65 | % | 0.42 | % | 2.25 | % | 3.24 | % | 7.19 | % | ||||||||||||||||||||
| 29 | Commercial Real Estate - Construction | 6 | 2.78 | % | 2.65 | % | 0.10 | % | 1.65 | % | 0.22 | % | 2.25 | % | 3.24 | % | 6.98 | % | ||||||||||||||||||||
| 30 | Consumer Loans - I/O | 30 | 2.45 | % | 3.25 | % | 1.04 | % | 0.94 | % | 1.00 | % | 2.25 | % | 0.58 | % | 5.61 | % | ||||||||||||||||||||
| 31 | Consumer Loans | 319 | 4.06 | % | 0.67 | % | 1.04 | % | 0.94 | % | 4.40 | % | 2.25 | % | 0.58 | % | 4.64 | % | ||||||||||||||||||||
| 32 | Consumer Real Estate I/O | 322 | 4.57 | % | 0.84 | % | 0.14 | % | 0.94 | % | 4.41 | % | 2.25 | % | 0.58 | % | 6.22 | % | ||||||||||||||||||||
| 33 | Consumer Real Estate | 321 | 4.52 | % | 0.89 | % | 0.14 | % | 0.94 | % | 4.41 | % | 2.25 | % | 0.46 | % | 6.22 | % | ||||||||||||||||||||
| 34 | Consumer Real Estate SOP 03-3 | 327 | 4.25 | % | 1.09 | % | 0.14 | % | 1.89 | % | 4.41 | % | 2.25 | % | 0.69 | % | 7.09 | % | ||||||||||||||||||||
| 35 | Consumer Real Estate Other - I/O | 205 | 3.45 | % | 1.97 | % | 0.14 | % | 0.94 | % | 4.35 | % | 2.25 | % | 0.46 | % | 6.23 | % | ||||||||||||||||||||
| 36 | Consumer Real Estate Other | 310 | 4.63 | % | 0.84 | % | 0.14 | % | 0.94 | % | 4.40 | % | 2.25 | % | 0.46 | % | 6.28 | % | ||||||||||||||||||||
| IBERIABank | Schedule 6C | |
| Orion Bank | ||
| Preliminary Valuation of Loan Portfolio | ||
| Valuation Date: November 13, 2009 |
| Discount Rate Summary Schedule | ||||||||||||||||||||||||||||||||||||||
| New Loan Rate | Build-Up | |||||||||||||||||||||||||||||||||||||
| Loan Pool | Loan Type | Selected Loan Term(1) | Margin(2) | Index(3) | Normalized Charge-off (4) | Liquidity Discount (5) | Risk free Rate(6) | Funding Cost(7) | Servicing Cost(7) | Discount Rate(8) | ||||||||||||||||||||||||||||
| 37 | Consumer Real Estate Other SOP 03-3 | 327 | 4.69 | % | 0.75 | % | 0.14 | % | 1.89 | % | 4.41 | % | 2.25 | % | 0.69 | % | 7.19 | % | ||||||||||||||||||||
| 38 | Credit Cards | 3 | 6.00 | % | 3.25 | % | 4.68 | % | 0.94 | % | 0.16 | % | 2.25 | % | 0.58 | % | 5.51 | % | ||||||||||||||||||||
| 39 | Home Equity LOC - I/O | 138 | 2.44 | % | 3.06 | % | 0.19 | % | 0.94 | % | 3.80 | % | 2.25 | % | 2.33 | % | 6.26 | % | ||||||||||||||||||||
| 40 | Home Equity LOC | 307 | 4.85 | % | 0.77 | % | 0.19 | % | 0.94 | % | 4.40 | % | 2.25 | % | 2.33 | % | 6.38 | % | ||||||||||||||||||||
| 41 | Residential Construction | 294 | 5.25 | % | 0.32 | % | 0.14 | % | 1.65 | % | 4.40 | % | 2.25 | % | 3.24 | % | 7.08 | % | ||||||||||||||||||||
Notes:
1. Reflects the life of the loan pool.
2. Equals weighted average margin for each applicable loan pool.
3. For variable rate loans, equal to the weighted average index for the applicable loan pool
4. Represents normalized net charge-off rate imbedded in the new loan rates.
5. Estimated liquidity discount equal the average spread between the yield on AAA-rated and Treasury securities.
6. Equal to treasury yield, matched to the selected loan term.
7. Represents the average cost to fund and service each loan pool.
8. Equal the sum of the risk free rate, funding cost, servicing cost, and liquidity discount for fixed rate loans equal to of the weighted average origination rate/index, margin, and liquidity discount less normalized net charge-off expectations for variable rate loans.
