CMS Case Study
Capital MarketsSchool Case Study
October 16-20, 2023 Minneapolis, MN
@ www.csbs.org ♦ @csbsnews
CONFERENCE OF STATE BANK SUPERVISORS 1300 I Street NW / Suite 700 / Washington, DC 20005 / (202) 296-2840
CSBS Capital Markets School Cloyd Bank and Trust Case Study 1. ALCO Minutes
1.1. November 2020 Minutes and Package 1.2. February 2021 Minutes and Package 1.3. May 2021 Minutes and Package 1.4. August 2021 Minutes and Package 1.5. November 2021 Minutes and Package 1.6. February 2022 Minutes 2. Audit 2.1. EPRA Risk Assessment 2.2. Audit Policy 3. Investments 3.1. Investment Policy 3.2. Investment Portfolio Report 12/31/2021 3.3. Securities Transactions 2020 3.4. Securities Transactions 2021 4. Liquidity and Funds Management 4.1. Basic Short Term Liquidity Feb 2022 4.2. Contingency Funding Plan 4.3. Credit Lines
4.4. Large Depositors December 2021 4.5. Liquidity Basic Surplus Feb 2022 4.6. Balance Sheet Liquidity Feb 2022 4.7. Public Deposits December 31, 2021 5. Mortgage Banking 5.1. Secondary Mortgage Loans in Underwriting April 2022 5.2. Sold Secondary Mortgage Loans 6. Sensitivity to Market Risk 6.1. ALM Report 2021 ‐ 12 ‐ 31 6.2. Asset ‐ Liability Management Policy
6.3. Deposit Study Engagement Letter DCG 6.4. Independent Review of IRR Program 7. December 31, 2021 Financial Documents 7.1. Call Report
7.2. UBPR Annual Periods 7.3. UBPR Quarterly Periods
7.4. 2022 Budget 7.5. Balance Sheet 7.6. Income Statement 7.7. 2020 ‐ 2022 Strategic Plan 7.8. Deposit Market Share S&P Global
Investment/ALCO Committee Meeting Minutes 11/19/2020
ALCO Committee Meeting November 19,2020
The ALCO/Investment Committee meeting was held on November 19, 2020. Those in attendance were: Chairman of the Board , Four outside Directors , President/CEO , COO , CFO , Senior Loan Officer , Secretary , and Frank of Darling Consulting Group. Mr. Chairman called the meeting to order. The committee discussed the two significant events that had occurred since the last meeting that could shape the markets in the coming months are the change in the presidency and the announcement of the COVID vaccines. There are many uncertainties, and many businesses are still suffering the effects of the pandemic, and cases have been surging again. Treasuries have been rallying as the cases have been on the rise and Fed Chairman Powell stated, “We have got new cases at a record level, we have seen a number of states begin to reimpose limited activity restrictions, and people may lose confidence that it is safe to go out”. Though Powell has stated negative rates are not a tool the committee is looking to use, the FOMC expects rates to stay near zero through 2023. The committee discussed the importance of understanding the implications of this on investments and longer-term loans as well as deposit pricing. The committee also discussed the importance of the lenders staying closely engaged their borrowers to ensure they are well informed about the potential impact of economic conditions Mr. Frank presented the Bank’s Balance Sheet changes for the quarter, which showed a contraction of almost $6 million, but a slight increase in overall spread of about .04%. The expiration of a CD special, the reduction in the CD Board Rates in May, and the outflow of a single large CD customer had contributed to a positive impact on CD Cost of funds by .42% quarter over quarter. Mr. Frank confirmed that management had done an excellent job of lowering deposit rates, and the Bank’s opportunity for improvement now lies on the asset side. Given the ongoing pressure on asset yields, the Committee discussed ways to offset future pressure on NII which included dropping NMD rates, significant loan growth at +3% spread, or $40-80MM bond leverage at 1.50% spread. For the quarter, there had been $38MM loan originations at an average yield of 4.20%, net growth in residential mortgage loans of $4.7MM, and outstanding PPP loan balances at quarter end were $40MM. Mr. Frank continued to stress that the Bank has ample room to add longer term assets and reiterated the emphasized on retaining some of residential mortgage loans the mortgage division originates. Mrs. CFO stated that the Bank had retained over $17 MM since last quarter again in a variety of maturities (5/1 & 7/1 Arms, and 10, 15, 20, 30 fixed) As previously discussed, Mrs. CFO also stated that the investment portfolio prepayment speeds were being monitored to assess the need to sell any that indicated significant acceleration that may result in negative yields. Raymond James was currently working on an in-depth analysis that could result in several sales and purchases. The committee also discussed that the Bank is still sitting on a large amount of excess liquidity and that deposits do not show any sign of rolling
Investment/ALCO Committee Meeting Minutes 11/19/2020
off. The committee agreed the opportunity cost of sitting on so much excess is substantial and that investment purchases should be increased to supplement residential mortgage loan retention if other loan demand is not sufficient to use up some of the excess liquidity. Mr. Frank presented the EVE calculation and that the Committee noted that although the calculation in the -100 bps scenario had improved from -26.5 to -22.2 for the quarter, the Bank is still outside of the policy of -10 in this one scenario. The Committee agreed that no corrective action was necessary in this regard and that the calculation would continue to be monitored but is comfortable with the position and will continue to monitor changes that may warrant aggressive, but not desirable, actions previously discussed such as: o Aggressive deposit rate reductions o Extend assets after a strong bond market rally o Push depositors out the door and replace funds with lower “all in cost” wholesale alternatives. As of quarter-end, the Bank’s Tier 1 Leverage Ratio including the $40+MM PPP loans, was adequate at 9.00%, and above the regulatory minimum. As previously stated, Management continues to actively projecting capital needs for future growth and exploring capital options to support it with one being a Holding Company Sub Debt Issue.
The ALCO committee adjourned at 10:00 am.
Cloyd Bank & Trust Asset/Liability Management Review as of 09/30/2020
11/19/2020
Darling Consulting Group, Inc. 260 Merrimac Street Newburyport, Massachusetts 01950 (978) 463-0400 www.darlingconsulting.com
Cloyd Bank & Trust as of 9/30/2020
Page
Page
Section I ‐ Executive Summary Current Position Assessment
Section IV ‐ Strategy Development Strategy Formulation Summary of Potential Strategies
4 5 6 7 8 9
36 37
Executive Risk Summary
Balance Sheet Mix
Historical Balance Sheet & NII Inventory of Liquidity Resources
Section V ‐ Stress Test Analysis
Deposit Sensitivity Stress Methodology Stress Test: Non‐Maturity Deposit Migration Stress Test: Alternative Non‐Maturity Deposit Betas Stress Test: Alternative Time Deposit Sensitivity
41 42 43 44
Capital Analysis
Section II ‐ Liquidity & Cash Flow Analysis Basic Surplus Report
11 12 13 14 15 16 17 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33
Liquidity Projection Investment Cash Flows
Appendix
Derivatives Market Indications
46 48 49 50 52 58 59 60 61 62 65
Loan Cash Flows
Market Rate Summary
Wholesale Funding Maturities
NII Reconciliation
Time Deposit Migration
Summary of Simulation Assumption Methodologies
Deposit Pricing & Activity Analysis
Summary of Rates
Loan Cap Report 3m Comparison Loan Cap Report 12m Comparison Loan Floor Report 3m Comparison Loan Floor Report 12m Comparison Detailed Simulation Assumptions
Section III ‐ Interest Rate Risk 2 Year Net Interest Income ﴾NII﴿ Simulation ‐ 12M Ramps
5 Year NII Simulation ‐ 12M Ramps
5 Year NII Simulation ‐ 12M Ramps YOY Comparison 5 Year NII Simulation ‐ Alt. Ramp Scenarios 5 Year NII Simulation ‐ Alt. Ramp Scenarios Cont. 5 Year NII Simulation ‐ Rising & Falling Rate Ramp Scenarios 5 Year NII Simulation ‐ Alt. Delayed Ramp Scenarios
Balance Sheet Comparison
5 Year NII Simulation ‐ Parallel Shock Scenarios 2 Year Net Income ﴾NI﴿ Simulation ‐ 12M Ramps
Yield Curve Twist Assumptions
Yield Curve Assumptions
Economic Value of Equity ﴾EVE﴿ Summary Graphs and Charts
Core Funding Utilization
Disclaimer The information contained herein consists of data supplied by various third parties, and by the institution itself. While Darling Consulting Group ﴾DCG﴿ obtains the data from sources we believe to be reliable, we do not guarantee its accuracy. It is the responsibility of the user to independently verify all information contained in the report.
Funding Matrix
Static Gap
Section I - Executive Summary
Current Position Assessment - 9/30/2020
Balance Sheet: The total asset size contracted by $6 million over the quarter, to $686 million, as cash was used to cover deposit outflows (including both Non-Maturity Deposits and CDs). Shifts in mix also occurred on each side of the balance sheet as cash funded bond purchases (MBS and munis) while retail repurchase agreements partially replaced deposit runoff. The aggregate yield on assets declined by 4bps to 3.09% driven mainly by loan origination and refinance rates below existing portfolio averages. The cost of funds experienced 8bps of relief (declining to 0.39%) due to the maturity/renewal of time deposits into lower current rate offerings and reduction in higher costing CDs. Accordingly, the balance sheet spread widened by 4bps to 2.70%. Liquidity: Lower liquid assets levels, due to the reduction in cash coupled with an increase in demand on MBS collateral (resulting from an uptick in secured retail repos and muni deposits requiring pledging) lessened the Tier 1 Basic Surplus measure by $14 million over the quarter, to $64 million, or 9% of assets. This metric includes a $46 million reserve for deposit contingencies which was more-or-less unchanged since the prior review. Remaining loan based borrowing capacity at the FHLB fell by $3 million (to $4 million) due to lower amounts of qualifying loan collateral pledged, resulting in a Tier 2 Basic Surplus position of $68 million or 10% of assets. With an additional $103 million in funding flexibility via the brokered deposit market the Tier 3 Basic Surplus equates to $171 million or 25% of assets. All measures of liquidity continue to exceed internal policy guidelines and remain sufficient to support balance sheet growth and/or unanticipated deposit outflows Interest Rate Risk : While changes to balance sheet size and spread would suggest a relatively unchanged initial level of projected Net Interest Income (NII) relative to the prior review, the year one comparative NII measures lower due primarily to a reduction in assumed asset extension (cash into MBS) coupled with less assumed realized PPP fee income. In the second year of the simulation, projected NII drops further below last quarter’s results due to timing of CD maturities/MBS cash flow and assumed recycling into current lower rates. The interest rate risk profile continues to illustrate an asset sensitive posture with sustained flat and falling rate environments proving to be the worst-case scenario for the longer-term annual run rate of NII. All modeled exposures to NII remain within policy risk parameters. However, EVE results display a policy violation in the -100bp scenario due to the impact of the current low/flat yield curve and the functional cost assumption on non-maturity deposit valuations, resulting in a larger implied loss in the non-maturity deposit base.
Current Rates: NII is projected to trend downward throughout the entirety of the simulation as asset cash flow replacing/repricing into current lower rates outweighs the benefit of retail CD maturities being assumed to roll into lower than existing rates.
Rising Rates : Projected NII trends upward and above the Current Rates scenario throughout the five-year simulation as investment and loan cash flows reprice/replace into the elevated rate environment more than offset funding costs cycling upward.
Falling Rates : NII is projected to trend downward and slightly below the Current Rates scenario throughout the five-year simulation as higher levels of asset cash flow (driven by accelerated prepayment speeds) adjust into lower rates while funding cost relief remains limited relative to assumed floors on deposits. Capital: As of 9/30/2020, the Community Bank Leverage Ratio (CBLR) measures 9.00% (minimum ratio of 9% per guidance). As a result of the CARES Act, the minimum CBLR has been reduced to 8.00% through 2020. Notwithstanding, capital levels, allowance for loan loss and credit conditions should be closely monitored.
Cloyd Bank & Trust - Page 4
Executive Risk Summary - 9/30/2020
LIQUIDITY: LOW RISK
BASIC SURPLUS Tier 1 Basic Surplus Tier 2 Basic Surplus Tier 3 Basic Surplus
POLICY SEP20 JUN20 MAR20 DEC19 SEP19 OTHER LIQUIDITY MEASURES
POLICY SEP20 JUN20 MAR20 DEC19 SEP19
9.4 9.9
2.9 0.0 2.9
0.0 4.0 8.0
11.3 12.3
8.6 9.5
7.1 7.4 Borrowings / Assets (Max.) 7.9 7.4 Brokered Deposits / Assets (Max.)
15.0 15.0 20.0
2.9 0.0 2.9
3.3 0.0 3.3
1.8 0.0 1.8
1.8 0.0 1.8
24.9
27.3 24.5 22.9 22.4 Total Wholesale Funds / Assets (Max.)
70.5 58.6
Net Loans / Deposits Net Loans / Assets
100.0 85.0
68.8 70.9 74.3 73.8 58.0 59.9 63.3 63.4
INTEREST RATE RISK: LOW-MODERATE RISK
EARNINGS AT RISK RAMP SCENARIOS YEAR 1 NII % ∆ FROM YEAR 1 BASE
POLICY SEP20 JUN20 MAR20 DEC19 SEP19 YEAR 2 NII % ∆ FROM YEAR 1 BASE
POLICY SEP20 JUN20 MAR20 DEC19 SEP19
3.4 1.8 2.2 3.0 $19 -0.6
4.5 -0.4 0.1 3.4 -6.2 -8.2 22.4 16.7 10.2 3.3 -9.1
Up 400BP 24M Yield Curve Twist Up 200BP 24M
3.8 2.2 2.4 3.4
1.0 -0.5 -0.3 Up 400BP 24M
7.2 -0.3 -3.6 -3.7 2.5 -0.8 -2.0 -2.2 2.5 -0.8 -2.5 -2.5 -4.0 -3.6 -2.8 -2.7 -4.9 -2.2 -7.2 -7.1 5.8 1.4 -1.5 -1.7
1.8 1.3
0.4 0.4 Yield Curve Twist 0.0 0.2 Up 200BP 24M
Up 200BP
-15.0
0.9 -0.6 -0.3 Up 200BP
-15.0
Base ($ MILLIONS)
$19 $18 $18 $17 Base
Down 100BP
-15.0
0.0
0.9 -0.8 -1.0 Down 100BP
-15.0
EARNINGS AT RISK SHOCK SCENARIOS Shock Up 400BP
16.5 13.2
-20.0 -15.0 -10.0 -5.0 -5.0
16.8 13.4
7.3 -0.4 1.6 Shock Up 400BP 0.1 1.7 Shock Up 300BP 0.6 1.7 Shock Up 200BP 0.5 1.3 Shock Up 100BP 0.5 -3.5 -3.6 Shock Down 100BP 6.2 4.9 3.4
-25.0 -20.0 -15.0 -10.0 -10.0
24.6 14.3 18.7 11.1
6.5 4.8 2.9 0.6
5.7 4.3 2.7 0.8
Shock Up 300BP Shock Up 200BP Shock Up 100BP Shock Down 100BP
9.4 5.3
9.6 5.6
12.3
7.6 3.6
5.4
-2.3
-0.8
-5.5 -3.5 -10.9 -10.6
ECONOMIC VALUE OF EQUITY SHOCK SCENARIOS EVE % ∆ FROM 0 SHOCK
POLICY SEP20 JUN20 MAR20 DEC19 SEP19 POST SHOCK EVE RATIO
POLICY SEP20 JUN20 MAR20 DEC19 SEP19
24.6 23.8 20.7 14.1
9.2 9.0 8.6 7.9 6.8 5.3
+400BP +300BP +200BP +100BP 0 Shock -100BP
-40.0 -30.0 -20.0 -10.0
23.2 22.7 20.0 13.9
2.0 -13.0 -6.4 +400BP 6.0 -7.4 -1.9 +300BP 8.3 -2.5 1.6 +200BP
6.0 6.0 6.0 6.0
8.8 8.6 8.2 7.7 6.6 4.8
8.6 8.7 8.7 8.5 7.7 6.1
9.1 9.4 9.7 9.8 9.5 8.5
9.5 9.7 9.8 9.7 9.2 8.1
8.3 0.0
1.1 3.4 +100BP 0.0 0.0 0 Shock
0.0
0.0
-22.2
-10.0
-26.5 -19.8 -8.4 -10.3 -100BP
6.0
CAPITAL: LOW RISK
POLICY SEP20 JUN20 MAR20 DEC19 SEP19
POLICY SEP20 JUN20 MAR20 DEC19 SEP19
9.00 N/A
N/A N/A
Tier 1 Leverage Ratio
8.00
9.21 9.46 9.87 9.99 Tier 1 Capital Ratio Risk Based N/A N/A 13.64 14.10 Total Capital Ratio Risk Based
N/A N/A 13.64 14.10 N/A N/A 14.89 15.17
Tier 1 Common Capital (CET1) Risk Based
0.00
Based on stated policy
For info purposes only. Not based on stated policy.
RISK ASSESSMENTS
LOW-MODERATE
MODERATE
MODERATE-HIGH
HIGH
RISK LEGEND
1. Borrowings / Assets and Total Wholesale Funds / Assets ratios do not include Retail Repurchase Agreements or Sweeps. 2. Net Loans / Assets and Net Loans / Deposits policies are representing the maximum allowable percentage (both policies have a 60% minimum). 3. Tier 1 Leverage Ratio is based upon schedule RC-R of the Call Report. As of 3/31/2020, the Bank is only required to report the Tier 1 Leverage Ratio per the CBLR framework.
Cloyd Bank & Trust - Page 5
Balance Sheet Mix - 9/30/2020
Asset Mix Comparison
9/30/2020 9/30/2019 % CHANGE $ CHANGE GROWTH RATE 34% 28% 6% 83,261 55% Agencies 0% 0% 0% 0 - MBS/CMO 15% 16% -1% 17,929 20% Municipals 5% 6% -1% (744) -2% Other 14% 5% 8% 66,076 223% 59% 63% -5% 58,903 17% Commercial RE 30% 36% -6% 7,419 4% C & I 10% 11% -1% 8,682 14% Residential 8% 8% 0% 11,954 29% Other 11% 8% 3% 30,849 69% 7% 9% -2% 2,177 5% TOTAL ASSETS 144,342 27% INVESTMENTS LOANS OTHER ASSETS 9/30/2020 9/30/2019 % CHANGE $ CHANGE GROWTH RATE 66% 62% 4% 118,427 35% DDA 23% 21% 2% 45,069 40% NOW 31% 30% 1% 47,642 29% Savings 3% 3% 0% 5,210 31% MMDA 9% 8% 1% 20,506 47% 17% 24% -7% (13,286) -10% 7% 4% 3% 27,301 144% FHLB 3% 2% 1% 10,000 100% Repo-Retail 4% 2% 2% 17,301 192% 10% 10% 0% 11,382 21% 1% 1% 0% 517 17% TIME DEPOSITS BORROWINGS
7%
9%
28%
34%
59%
63%
9/30/2020
9/30/2019
Liability Mix Comparison
NON-MATURITY
10% 1%
10% 1%
4%
7%
17%
24%
62%
66%
EQUITY OTHER LIABILITIES
TOTAL LIABILITIES & EQUITY
144,342
27%
9/30/2020
9/30/2019
Cloyd Bank & Trust - Page 6
Historical Balance Sheet & NII - 9/30/2020
HISTORICAL BALANCE SHEET COMPARISON 9/30/2020
9/30/2020 vs. 6/30/2020
9/30/2020 vs. 9/30/2019
% of Assets
% of Assets Balance Δ Rate Δ
% of Assets Balance Δ Rate Δ
% of Assets Δ
Balance Rate
Balance Rate
Balance Rate
Investments
234,112 1.54% 34% 402,243 4.37% 59% 49,736 0.00% 7% 686,092 3.09% 100% 455,936 0.26% 66% 114,469 0.98% 17% 46,321 0.68% 7% 3,556 0.00% 1% 65,809 0.00% 10%
240,886 1.55% 35% -6,774 -0.01% 401,456 4.47% 58% 787 -0.09%
150,851 2.86% 28% 83,261 -1.32% 6% 343,340 5.16% 63% 58,903 -0.79% -5% 47,559 0.00% 9% 2,177 0.00% -2% 541,750 4.07% 100% 144,342 -0.98% 0% 337,509 0.60% 62% 118,427 -0.34% 4% 127,755 1.82% 24% -13,286 -0.83% -7% 19,019 0.79% 4% 27,301 -0.11% 3% 3,039 0.00% 1% 517 0.00% 0% 54,427 0.00% 10% 11,382 0.00% 0% 541,750 0.83% 100% 144,342 -0.45% 0%
Loans & Derivatives
Other Assets Total Assets
49,730 0.00% 7%
6 0.00%
692,073 3.13% 100% -5,981 -0.04%
Non-Maturity Deposits
457,988 0.26% 66% -2,051 0.01% 125,331 1.40% 18% -10,862 -0.42% 40,743 0.70% 6% 5,578 -0.02% 64,477 0.00% 9% 1,332 0.00% 692,073 0.47% 100% -5,981 -0.08% 3,534 0.00% 1% 22 0.00%
Time Deposits
Borrowings & Derivatives
Other Liabilities
Equity
Total Liabilities & Equity 686,092 0.38% 100%
Balance Sheet Spread
2.70%
2.66%
0.04%
3.24%
-0.53%
Net Interest Income Sensitivity
9/30/2020
9/30/2020 vs. 6/30/2020
9/30/2020 vs. 9/30/2019
% Δ from Yr 1 Base
% Δ from Yr 1 Base NII Δ EAR Δ
% Δ from Yr 1 Base NII Δ EAR Δ
Year 1 NII Projections
NII
NII
NII
UP 200BP
19,285 18,727 18,608
3.0%
19,989 19,335 19,329
3.4% -704 -0.4%
16,909 16,962 16,794
-0.3% 2,375
3.3%
-608
1,765
BASE
DOWN 100BP
-0.6%
0.0% -722 -0.6%
-1.0% 1,814
0.4%
% Δ from Yr 1 Base
% Δ from Yr 1 Base
% Δ from Yr 1 Base
Year 2 NII Projections
UP 200BP
19,355 17,560 17,200
3.4% -6.2% -8.2%
20,453 18,558 18,382
5.8% -1,099 -2.4% -4.0% -998 -2.2% -4.9% -1,181 -3.2%
16,671 16,500 15,761
-1.7% 2,684
5.1%
-2.7% 1,059 -3.5% -7.1% 1,439 -1.1%
BASE
DOWN 100BP
2 Year Cumulative NII Projections
% Δ from Base
% Δ from Base
% Δ from Base
UP 200BP
38,639 36,287 35,808
6.5%
40,442 37,893 37,711
6.7% -1,803 -0.2%
33,580 33,462 32,555
0.4% 5,059
6.1%
-1,606
2,825
BASE
DOWN 100BP
-1.3%
-0.5% -1,903 -0.8%
-2.7% 3,253
1.4%
Cloyd Bank & Trust - Page 7
Inventory of Liquidity Resources - 9/30/2020
CUMULATIVE AMOUNT
% OF ASSETS
BASIC SURPLUS
% OF ASSETS
BASIC SURPLUS
AMOUNT % OF ASSETS
30%
1. TIER 1 LIQUIDITY (LIQUID ASSETS)
110,130 16.1%
110,130 16.1% 64,343
9.4% Policy Minimum: 0.0%
77,273 26,508
Cash/Equivalents Free Bond Collateral
20%
925
Other Inv. Cash Flow <30 Days
5,424
Other Liquid Assets + Gov't Guaranteed Loans
2. TIER 2 LIQUIDITY (FHLB LOAN BASED CAPACITY)
3,604 0.5%
113,734 16.6% 67,947
9.9% Policy Minimum: 4.0%
10%
38,604 35,000
Maximum FHLB Borrowings Capacity
Outstanding Advances/ LOCs
0%
Sep-19 Dec-19 Mar-20 Jun-20 Sep-20
3. TIER 3 LIQUIDITY (BROKERED DEPOSITS CAPACITY) 102,914 15.0%
216,648 31.6% 170,861
24.9% Policy Minimum: 8.0%
Maximum Brokered Deposits Capacity 102,914 Current Brokered Deposits 0
BASIC SURPLUS CALCULATION Cumulative Amount - Volatile Liabilities Coverage = Basic Surplus VOLATILE LIABILITIES COVERAGE Coverage = $45,787 7% of Assets
4. OTHER LIQUIDITY
48,772 7.1%
265,421 38.7%
15,161
Other Investments less Cash flow (< 30 Days)
2,186
Secured Borrowing Lines Unsecured Borrowing Lines
31,425
AVAILABLE WHOLESALE FUNDING CAPACITY
ON BALANCE SHEET LIQUIDITY Liquid Assets (excl. Cash flow <30 Days)+ Available Other Inv. = $119,868/17% of Assets
AVAILABLE FUNDING
AVAILABLE FUNDING PER POLICY
AVAIL. FUNDING PER TOTAL WHOLESALE POLICY
POLICY
NOTES: 1. Other Investments includes available Municipals and Corporates less cash flow < 30 Days. 2. Liquid Assets for the On Balance Sheet Liquidity figure also excludes Gov't guaranteed loans. 3. Outstanding advances include $15MM in FHLB Letter of Credit.
FHLB
18,604
18,604 102,914 33,611 155,129
18,604 98,614
BROKERED 15.0% 102,914
OTHER WHOLESALE
33,611
0
TOTAL 20.0% 155,129
117,218
Cloyd Bank & Trust - Page 8
Capital Analysis - 9/30/2020
Tier 1 Leverage Ratio
Tier 1 Common Capital (CET1) Risk Based
20
20
14.10
15
15
13.64
9.99
9.87
9.46
9.21
9.00
10
10
5
5
N/A
N/A
N/A
0
0
9/30/2019
12/31/2019
3/31/2020
6/30/2020
9/30/2020
9/30/2019
12/31/2019
3/31/2020
6/30/2020
9/30/2020
POLICY
WELL-CAPITALIZED
POLICY
WELL-CAPITALIZED
Tier 1 Capital Ratio Risk Based
Total Capital Ratio Risk Based
20
20
15.17
14.89
14.10
15
15
13.64
10
10
5
5
N/A
N/A
N/A
N/A
N/A
N/A
0
0
9/30/2019
12/31/2019
3/31/2020
6/30/2020
9/30/2020
9/30/2019
12/31/2019
3/31/2020
6/30/2020
9/30/2020
POLICY
WELL-CAPITALIZED
POLICY
WELL-CAPITALIZED
09/30/2020 Capital Summary
WELL CAPITALIZED LIMITS
CUSHION
CUSHION
POLICY LIMITS
RATIO AMOUNT
CAPITAL ASSETS
CAPITAL ASSETS
TIER 1 LEVERAGE
9.00%
62.2
8.00%
-6.9
+86.1
5.00%
-27.6
+552.8
TOTAL ASSETS FOR LEVERAGE RATIO
691.8
All dollar amounts are shown in millions
1. Tier 1 Leverage Ratio is based upon schedule RC-R of the Call Report. As of 3/31/2020, the Bank is only required to report the Tier 1 Leverage Ratio per the CBLR framework.
Cloyd Bank & Trust - Page 9
Section II - Liquidity & Cash Flow Analysis
Basic Surplus Report - 9/30/2020
TOTAL ASSETS 686,092
Other Liquidity Items Other Investments
TIER 1 BASIC SURPLUS
Overnight Funds Sold & Short-Term Investments (avg. balance, if wide daily fluctuations) 77,273 TREASURIES & AGENCIES AGENCY MBS/CMO NON-AGENCY MBS/CMO Collateral Value 100% 95% 90% Market Value 5,667 108,731 0 Less Securities Pledged to: FHLB 0 -1,706 0 Fed Discount/Other Secured 0 0 0 Wholesale Repos 0 0 0 Retail Repos/Sweeps -4,101 -25,092 0 Municipal Deposits -1,566 -70,303 0 Other 0 0 0 Available / Unencumbered Security Collateral 0 11,048 0 11,048
MARKET VALUE
PLEDGED AVAIL.
Corporates Municipals
300
0
300
34,163
23,801 10,362
Equities
0
0
0
Other Total
5,424
0 5,424
39,887
23,801 16,086
Borrowing Lines
SECURED
LINE OUTSTANDING AVAIL.
Fed BIC Lines
0
0
0
Fed Discount / Other
2,186
0 2,186
UNSECURED Fed Funds Lines
31,425 33,611
0 31,425 0 33,611
Total
Over Collateralized Securities Pledging Position 15,460 Government Guaranteed Loans 0
Unrealized Gain/Loss on Securities (AFS & HTM)
Cash flow (< 30 Days) from Securities not listed above
925 Other Liquid Assets 5,424 Total Liquid Assets 110,130
TIER 1 % OF ASSETS
TOTAL PORTFOLIO
TIER 1 BASIC SURPLUS BONDS
Base
4,935 1,305 -3,629
3,239 0.5% 1,404 0.2% -1,835 0.3%
Shock Up 100BP
Volatile Liabilities Coverage: Maturing Unsecured Liabilities (< 30 Days)
0
Difference
Additional Liquidity Reserve(s) 0 Deposit Coverage (7% of Assets/8% of Deposits) (45,787) Tier 1 Basic Surplus ($ and % of assets) 64,343
POLICY LIMITS (min) Well Cap. < Well Cap. 0.0% 2.0%
Notes 1. The total amount of public deposits requiring collateral as of 9/30/2020 is $94MM ($19 million pledged through municipal securities). 2. The bank has municipal securities pledged to the Fed Discount Window. Available line = $2.2 million (net haircut). 3. Outstanding borrowings include a $15MM Letter of Credit which is pledged to municipal deposits.
9.4%
TIER 2 BASIC SURPLUS
A. Maximum Borrowing Line at FHLB (Up to 25% of Assets) 171,523 B. Loan Collateral at the FHLB (net of haircut) 38,604 C. Excess Loan Collateral (if A < B) 0
Maximum Borrowing Capacity (Lesser of A or B) 38,604 Collateral Currently Encumbered by Outstanding Advances/Letters of Credit 35,000 Remaining FHLB Loan Based Borrowing Capacity 3,604 Tier 2 Basic Surplus 67,947
4.0% 8.0%
9.9%
TIER 3 BASIC SURPLUS
Maximum Board Authorized Brokered Deposit Capacity (Policy Limit of 15% of Assets) 102,914 Current Brokered Deposit Balances 0 Remaining Capacity to Utilize Brokered Deposits 102,914
Tier 3 Basic Surplus 170,861
8.0%
24.9%
Cloyd Bank & Trust - Page 11
Liquidity Projection - 9/30/2020
90 Day Liquidity Forecast
Net New Loan Fundings
Net Core Deposit Flows*
NET CORE + DEPOSIT FLOWS*
NON-PLEDGABLE + INV CASH FLOWS
PROJECTED = BASIC SURPLUS
100MM
NET NEW LOAN − FUNDINGS
TIER 2 BASIC SURPLUS
50MM
CURRENT FORECAST 06/30/2020 FORECAST
67,947
0
0
600
68,547
84,860
0
0
1,865
86,725
0
ACTUAL
84,860
787 787
-12,913 -12,913
1,865
73,025
-50MM
FORECAST VARIANCE
-13,700
09/19-12… 12/19-03… 03/20-06… 06/20-09…
09/19-12/19 12/19-03/20 03/20-06/20 06/20-09/20
*Excludes National, Brokered, Brokered One-Way, and Retail Repos
Actual
Forecast
Actual
Forecast
24 Month Cash Flow Projections
200MM
400MM
100MM
200MM
0
0
Q1Y1
Q2Y1
Q3Y1
Q4Y1
Q1Y2
Q2Y2
Q3Y2
Q4Y2
Q1Y1
Q2Y1
Q3Y1
Q4Y1
Q1Y2
Q2Y2
Q3Y2
Q4Y2
Asset
Liability
Net
Cumulative Net
ASSETS
Q1Y1 77,273 15,043 5,359 26,343 35,829 159,848
Q2Y1
Q3Y1
Q4Y1
Q1Y2
Q2Y2
Q3Y2
Q4Y2
Overnight Investments All Other Investments
0
0
0
0
0
0
0
11,025 5,328 16,058 32,906 65,317
10,615 3,766 12,722 10,484 37,587
11,228 4,422 12,216 10,335 38,201
7,124 3,000 10,660 5,406 26,190
6,892 2,698 9,022 5,093
4,482 2,807 9,981 4,554
6,122 2,740 10,232 4,120 23,214
Residential Real Estate & Home Equity Loans Commercial & Ag Real Estate Loans
All Other Loans
Total Asset Cash Flow LIABILITIES Retail Time Deposits Brokered Deposits Wholesale Borrowings Total Liability Cash Flow
23,705
21,823
33,323
32,505
7,120
11,163
8,997
3,823
1,794
4,714
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
33,323 126,525 126,525
32,505 32,812 159,336
7,120 30,467 189,804
11,163 27,038 216,842
8,997 17,194 234,035
3,823 19,882 253,917
1,794 20,030 273,947
4,714 18,500 292,446
Net Cash Flow
Cumulative Net Cash Flow
1. Projections to be discussed @ ALCO.
Cloyd Bank & Trust - Page 12
Investment Cash Flows - 9/30/2020
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5 CASH FLOW
62.5MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
0
0
0
0
50MM
MBS & CMO'S MUNICIPALS
12,805 8,725 5,149 3,909 2,955 2,582 2,831 2,927 9,844 8,607
7,453 34,533 3,595 20,000
37.5MM
1,525
0
0
0
705 245
305 127
0 0
0
840 4,785
25MM
OTHER INVESTMENTS
495 134 980 2,595
868
488
472
215
4,389
12.5MM
TOTAL
14,825 8,858 6,129 6,505 3,905 3,014 2,831 3,795 11,173 13,864 11,263 58,922 14,825 23,684 29,813 36,317 40,222 43,237 46,067 49,863 61,035 74,899 86,162 145,084 -218 -2,384 -6,870 -11,594 -14,812 -18,690 -20,341 -22,668 -28,527 -30,853 -29,710 0
0
CUMULATIVE
UP 200BP RATE SCENARIO
Y1
Y2
Y3
Y4
Y5
>Y5
CML Δ FROM BASE
>Y5 CASH FLOW
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
62.5MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
0
0
0
0
50MM
MBS & CMO'S
13,023 10,891 9,635 8,033 6,174 4,960 4,482 3,949 11,134 7,854
5,769 16,418
37.5MM
MUNICIPALS
1,525
0
0
600
705 1,805
0 1,305 5,410 7,865
4,135
8,405
25MM
OTHER INVESTMENTS
495 134 980 2,595
245
127
0
868
488
472
215
4,389
12.5MM
0
TOTAL
15,043 11,025 10,615 11,228 7,124 6,892 4,482 6,122 17,032 16,190 10,120 29,212
BASE RATE SCENARIO
Y1
Y2
Y3
Y4
Y5
>Y5
CUMULATIVE
15,043 26,068 36,683 47,911 55,035 61,926 66,409 72,530 89,563 105,753 115,872 145,084
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5 CASH FLOW
62.5MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
0
0
0
0
50MM
MBS & CMO'S MUNICIPALS
13,092 11,334 10,368 8,897 7,114 5,920 5,497 4,842 12,230 6,904
4,700 11,422
37.5MM
1,525
0
0
600
705 1,805
0 1,305 5,410 7,865
4,135
8,405 4,389
25MM
OTHER INVESTMENTS
495 134 980 2,595
245
127
0
868
488
472
215
12.5MM
TOTAL
15,112 11,467 11,348 12,093 8,064 7,852 5,497 7,015 18,128 15,241 9,051 24,216 15,112 26,579 37,927 50,020 58,084 65,937 71,433 78,448 96,577 111,818 120,868 145,084 69 511 1,245 2,109 3,049 4,010 5,025 5,918 7,014 6,065 4,996 0
0
CUMULATIVE
Y1
Y2
Y3
Y4
Y5
DOWN 100BP RATE SCENARIO
>Y5
CML Δ FROM BASE
Cloyd Bank & Trust - Page 13
Loan Cash Flows - 9/30/2020
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5
CASH FLOW
RESIDENTIAL REAL ESTATE & HOME EQUITY
5,339 4,983 3,076 3,558 2,092 1,908 2,012 2,039 8,381 6,021 5,149 28,535
200MM
160MM
COMMERCIAL REAL ESTATE
26,120 15,260 11,460 10,607 9,053 7,547 8,760 9,285 28,657 29,795 23,672 22,413
120MM
COMMERCIAL & INDUSTRIAL
80MM
10,092 12,739 6,800 6,321 2,712 2,757 2,322 3,423 7,243 5,182 6,846 4,515
40MM
OTHER TOTAL
25,635 19,857 3,245 3,565 2,207 1,941 1,913
536 1,497
486
443
41
0
67,186 52,838 24,581 24,051 16,065 14,154 15,007 15,282 45,777 41,485 36,110 55,504 67,186 120,024 144,605 168,657 184,722 198,876 213,882 229,164 274,942 316,426 352,536 408,040 -346 -1,800 -4,190 -7,112 -10,114 -12,772 -15,107 -16,917 -21,360 -21,047 -16,270 0
UP 200BP RATE SCENARIO
Y1
Y2
Y3
Y4
Y5
CUMULATIVE
>Y5
CML Δ FROM BASE
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5 CASH FLOW
RESIDENTIAL REAL ESTATE & HOME EQUITY
200MM
5,359 5,328 3,766 4,422 3,000 2,698 2,807 2,740 10,092 7,039 5,487 20,356
160MM
COMMERCIAL REAL ESTATE
26,343 16,058 12,722 12,216 10,660 9,022 9,981 10,232 31,065 28,795 20,088 15,445
120MM
80MM
COMMERCIAL & INDUSTRIAL
10,166 12,960 7,119 6,671 3,104 3,084 2,618 3,570 7,770 5,032 5,467 3,391
40MM
OTHER TOTAL
25,663 19,946 3,364 3,664 2,302 2,009 1,936
550 1,293
306
291
41
0
BASE RATE SCENARIO
67,532 54,292 26,972 26,973 19,066 16,813 17,341 17,092 50,220 41,172 31,333 39,234 67,532 121,824 148,796 175,769 194,835 211,648 228,989 246,081 296,301 337,473 368,807 408,040
Y1
Y2
Y3
Y4
Y5
>Y5
CUMULATIVE
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5
CASH FLOW
RESIDENTIAL REAL ESTATE & HOME EQUITY
5,366 5,592 4,391 5,219 3,861 3,405 3,442 3,188 10,992 7,330 5,521 14,787
200MM
160MM
COMMERCIAL REAL ESTATE
26,455 16,460 13,358 13,022 11,448 9,726 10,544 10,648 31,967 27,991 18,347 12,664
120MM
COMMERCIAL & INDUSTRIAL
80MM
10,204 13,072 7,280 6,846 3,295 3,238 2,754 3,633 7,946 4,852 4,861 2,971
40MM
OTHER TOTAL
25,678 19,991 3,425 3,713 2,346 2,037 1,939
549 1,168
241
238
41
0
67,702 55,116 28,453 28,799 20,950 18,406 18,678 18,018 52,074 40,414 28,967 30,464 67,702 122,818 151,271 180,070 201,020 219,426 238,104 256,122 308,196 348,610 377,577 408,040
Y1
Y2
Y3
Y4
Y5
CUMULATIVE
DOWN 100BP RATE SCENARIO
>Y5
CML Δ FROM BASE
170
994 2,475 4,301 6,185 7,778 9,115 10,040 11,894 11,136 8,770
0
Cloyd Bank & Trust - Page 14
Wholesale Funding Maturities - 9/30/2020
LIABILITIES
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5 >Y5 CASH FLOW
22.5MM
FHLB
20,000
0
0
0
0
0
0
0
0
0
0
0
18MM
NATIONAL & BROKERED DEPOSITS
0
0
0
0
0
0
0
0
0
0
0
0
13.5MM
9MM
OTHER WHOLESALE
0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
4.5MM
TOTAL
20,000
0
CUMULATIVE
20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 20,000 0
Y1
Y2
Y3
Y4
Y5
>Y5
UP 200BP RATE SCENARIO
CML Δ FROM BASE
LIABILITIES
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5 >Y5 CASH FLOW
22.5MM
FHLB
0
0
0
0
0
0
0
0
0
0
0 20,000
18MM
NATIONAL & BROKERED DEPOSITS
13.5MM
0
0
0
0
0
0
0
0
0
0
0
0
9MM
OTHER WHOLESALE
0
0
0
0
0
0
0
0
0
0
0
0
4.5MM
0
TOTAL
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 20,000 0 20,000
BASE RATE SCENARIO
Y1
Y2
Y3
Y4
Y5
>Y5
CUMULATIVE
LIABILITIES
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5 >Y5 CASH FLOW
22.5MM
FHLB
0
0
0
0
0
0
0
0
0
0
0 20,000
18MM
NATIONAL & BROKERED DEPOSITS
0
0
0
0
0
0
0
0
0
0
0
0
13.5MM
9MM
OTHER WHOLESALE
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
0
0
4.5MM
TOTAL
0 20,000 0 20,000
0
CUMULATIVE
Y1
Y2
Y3
Y4
Y5
>Y5
CML Δ FROM BASE
0
0
DOWN 100BP RATE SCENARIO
Cloyd Bank & Trust - Page 15
Time Deposit Migration - 9/30/2020
MATURITY PROJECTED JUL 20-SEP 20
CDS MATURING OCT 20-DEC 20
SEP 20
JUN 20
RATE CHANGE
BALANCE
RATE
BALANCE
RATE $ CHANGE
BALANCE
RATE RETAINED % RUNOFF %
BALANCE
RATE
REGULAR
<12 MONTHS 12-23 MONTHS 24-59 MONTHS 60+ MONTHS
45,172 40,332 13,090 15,876
0.67 1.19 1.27 1.11 0.00 0.98 0.00 0.00 0.00 0.00 0.00
57,485 43,144 10,470 11,786
1.28 1.56 1.50 1.24 0.00 1.39 1.85 0.00 0.00 0.00 1.85
-12,314 -2,812
-0.60 -0.37 -0.24 -0.13
33,970 11,736
1.48 2.00 1.53 1.40 0.00 1.60 1.85 0.00 0.00 0.00 1.85
64% 76%
36% 24%
23,086
0.99 1.89 1.73 1.22 0.00 1.25 0.00 0.00 0.00 0.00 0.00
7,634 1,960
2,620 4,089
1,028 2,253
100% 100%
0% 0%
642
OTHER TOTAL
0
-182
182
0.00
0
0%
100%
0
114,469
122,703
-8,234
-0.41
48,987
83%
17%
33,323
SPECIAL
<12 MONTHS 12-23 MONTHS 24-59 MONTHS 60+ MONTHS
0 0 0 0 0
2,628
-2,628
-1.85
2,628
0% 0% 0% 0% 0%
100%
0 0 0 0 0
0 0 0
0 0 0
0.00 0.00 0.00 0.00
0 0 0
0% 0% 0%
TOTAL
2,628
-2,628
2,628
100%
TOTAL
114,469
0.98
125,331
1.40
-10,862
-0.42
51,614
1.61
79%
21%
33,323
1.25
Cloyd Bank & Trust - Page 16
Deposit Pricing & Activity Analysis - 9/30/2020
SHORT TERM RATES as of 11/13/2020 & NON-MATURITY DEPOSIT RATES as of 11/10/2020
MARKET RATES
NOW
SAVINGS
MMDA
CURRENT PRIOR Δ
CURRENT PRIOR Δ
CURRENT PRIOR Δ 0.05% 0.05% 0.00% 0.05% 0.05% 0.00%
CURRENT PRIOR Δ 0.15% 0.15% 0.00% 0.30% 0.30% 0.00% 0.15% 0.15% 0.00%
Cloyd MMDA Low Tier Cloyd MMDA High Tier Business MMDA Low Tier Business MMDA High Tier
Cloyd Savings Business Savings
Fed Funds Target 1 Month LIBOR 1 Month CMT 1 Month FHLB 3 Month LIBOR 3 Month CMT 3 Month FHLB 3 Month Brokered
0.25% 0.25% 0.00% 0.14% 0.16% -0.02% 0.10% 0.09% 0.01% 0.23% 0.22% 0.01% 0.22% 0.25% -0.03% 0.09% 0.09% 0.00% 0.24% 0.24% 0.00% 0.25% 0.25% 0.00% 0.17% 0.26% -0.09%
Prime NOW 23% of Prime
0.75% 0.75% 0.00% 0.05% 0.05% 0.00% 0.05% 0.05% 0.00% 3.00% 3.00% 0.00%
Select NOW
Business NOW
Kasasa up to $15K upon qualification
0.30% 0.30% 0.00%
Money Fund(Taxable Act)
TERM RATES as of 11/13/2020 & TIME DEPOSIT RATES as of 11/10/2020
BANK CD
TREASURY
LIBOR/SWAP
FHLB ATLANTA
BROKERED CD
TERM CURRENT PRIOR Δ
VS BANK CURRENT PRIOR Δ -0.06% 0.09% 0.09% 0.00% -0.20% 0.10% 0.10% 0.00% 0.11% 0.11% 0.11% 0.00% -0.28% 0.12% 0.11% 0.01% -0.28% 0.17% 0.11% 0.06% -0.27% 0.23% 0.11% 0.12% -0.23% 0.32% 0.16% 0.16% -0.44% 0.41% 0.21% 0.20%
VS BANK CURRENT PRIOR
Δ
VS BANK CURRENT PRIOR
Δ
VS BANK CURRENT PRIOR
Δ
3 Month 6 Month 9 Month 12 Month 18 Month 24 Month 36 Month 48 Month 60 Month
0.15% 0.15% 0.00% 0.30% 0.30% 0.00%
0.07% 0.22% 0.25% -0.03% -0.05% 0.25% 0.31% -0.06% 0.29% 0.29% 0.38% -0.09% -0.06% 0.34% 0.45% -0.11% -0.19% 0.26% 0.18% 0.08% -0.19% 0.31% 0.18% 0.13% -0.17% 0.38% 0.21% 0.17% -0.38% 0.47% 0.25% 0.22%
0.09% 0.24% 0.24% 0.00% -0.05% 0.25% 0.25% 0.00% 0.26% 0.26% 0.26% 0.00% -0.12% 0.28% 0.29% -0.01% -0.06% 0.39% 0.37% 0.02% -0.05% 0.45% 0.42% 0.03% 0.03% 0.58% 0.49% 0.09% -0.17% 0.68% 0.59% 0.09%
0.10% 0.25% 0.25% 0.00% -0.05% 0.25% 0.25% 0.00% 0.30% 0.30% 0.25% 0.05% -0.10% 0.30% 0.25% 0.05% -0.15% 0.30% 0.30% 0.00% -0.10% 0.40% 0.40% 0.00% -0.05% 0.50% 0.55% -0.05% -0.25% 0.60% 0.70% -0.10%
0.40% 0.40% 0.00% 0.45% 0.45% 0.00% 0.45% 0.45% 0.00% 0.50% 0.50% 0.00% 0.55% 0.55% 0.00% 0.85% 0.85% 0.00%
DEPOSIT ACTIVITY DEPOSIT HISTORY
TOTAL TIME DEPOSIT ACTIVITY
600MM
3.60
-$52 1.61%
-$33 1.25%
+$41 0.48%
400MM
2.40
$125 1.40%
$114 0.98%
200MM
1.20
0
0.00
Dec-17
Jun-18
Dec-18
Jun-19
Dec-19
Jun-20
6/30/2020
MATURITIES
NEW
9/30/2020
MATURITIES 10/1/2020 TO 12/31/2020
NMD
TD
NMD Cost
TD Cost
Total Cost
Cloyd Bank & Trust - Page 17
Section III - Interest Rate Risk
2 Year Net Interest Income (NII) Simulation - 12M Ramps - 9/30/2020
Base Simulation as of 09/30/2020
Base Simulation as of 06/30/2020
Monthly Net Interest Income (NII) Projections
Monthly Net Interest Income (NII) Projections
1,850
YEAR 1
YEAR 2
YEAR 1
YEAR 2
1,725
1,600
1,475
1,350
1,225
M1 M2 M3 M4 M5 M6 M7 M8 M9
M1 M2 M3 M4 M5 M6 M7 M8 M9
M1 M2 M3 M4 M5 M6 M7 M8 M9
M1 M2 M3 M4 M5 M6 M7 M8 M9
M10
M11
M12
M10
M11
M12
M10
M11
M12
M10
M11
M12
Up 200BP
Base
Down 100BP
Up 200BP
Base
Down 100BP
NII RESULTS
Y1
Y2
2Y CML
NII
$Δ %Δ
NII
$Δ %Δ
NII
$Δ %Δ
Base Simulation as of 09/30/2020 UP 200BP
19,285 18,727
558 3.0%
19,355
628 3.4%
38,639 2,353 6.5%
17,560 -1,167 -6.2% 17,200 -1,527 -8.2%
36,287
BASE
DOWN 100BP
18,608 -119 -0.6%
35,808 -479 -1.3%
Base Simulation as of 06/30/2020 UP 200BP
19,989 19,335 19,329
653 3.4%
20,453 1,118 5.8% 18,558 -778 -4.0% 18,382 -954 -4.9%
40,442 2,549 6.7%
37,893
BASE
DOWN 100BP
-6 0.0%
37,711 -182 -0.5%
Difference UP 200BP
-704 -608 -722
-0.4%
-1,099
-2.4% -2.2% -3.2%
-1,803 -1,606 -1,903
-0.2%
-998
BASE
DOWN 100BP -0.8% 1. This quarter's NII model includes $40.3MM of PPP loans of which 85% will be forgiven in Q4 2020 and Q1 2021 (evenly over each quarter), with the remaining 15% amortized off evenly over the following 15 months. Accordingly, 50% PPP loan cash flows are assumed to be parked in short-term cash (@ 0.10%) and 50% are assumed to roll off in tandem with DDA-PPP. 2. The NII model also includes PPP fee income totaling $1.26MM (60K/month over 21 months). -0.6% -1,181
Cloyd Bank & Trust - Page 19
5 Year NII Simulation - 12M Ramps - 9/30/2020
Base Simulation as of 09/30/2020
Base Simulation as of 06/30/2020
Quarterly Net Interest Income (NII) Projections
Quarterly Net Interest Income (NII) Projections
6,225
YEAR 1
YEAR 2
YEAR 3
YEAR 4
YEAR 5
YEAR 1
YEAR 2
YEAR 3
YEAR 4
YEAR 5
5,575
4,925
4,275
3,625
2,975
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
Up 200BP
Base
Down 100BP
Up 200BP
Base
Down 100BP
NII RESULTS
Y1
Y2
Y3
Y4
Y5
Y1
Y2
Y3
Y4
Y5
Y1
Y2
Y3
Y4
Y5
UP 200BP
19,285 19,355 19,617 20,411 21,144 18,727 17,560 16,316 15,698 15,266 18,608 17,200 15,792 15,072 14,576
-704 -1,099 -804 -815 -771 19,989 20,453 20,421 21,226 21,915 -608 -998 -697 -742 -675 19,335 18,558 17,012 16,440 15,941
BASE
DOWN 100BP -722 -1,181 -918 -988 -972 19,329 18,382 16,710 16,060 15,548 DIFFERENCE 1. This quarter's NII model includes $40.3MM of PPP loans of which 85% will be forgiven in Q4 2020 and Q1 2021 (evenly over each quarter), with the remaining 15% amortized off evenly over the following 15 months. Accordingly, 50% PPP loan cash flows are assumed to be parked in short-term cash (@ 0.10%) and 50% are assumed to roll off in tandem with DDA-PPP. 2. The NII model also includes PPP fee income totaling $1.26MM (60K/month over 21 months).
Cloyd Bank & Trust - Page 20
5 Year NII Simulation - 12M Ramps YOY Comparison - 9/30/2020
Base Simulation as of 09/30/2020
Base Simulation as of 09/30/2019
Quarterly Net Interest Income (NII) Projections
Quarterly Net Interest Income (NII) Projections
6,025
YEAR 1
YEAR 2
YEAR 3
YEAR 4
YEAR 5
YEAR 1
YEAR 2
YEAR 3
YEAR 4
YEAR 5
5,325
4,625
3,925
3,225
2,525
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
Up 200BP
Base
Down 100BP
Up 200BP
Base
Down 100BP
NII RESULTS
Y1
Y2
Y3
Y4
Y5
Y1
Y2
Y3
Y4
Y5
Y1
Y2
Y3
Y4
Y5
UP 200BP
19,285 19,355 19,617 20,411 21,144 18,727 17,560 16,316 15,698 15,266 18,608 17,200 15,792 15,072 14,576
2,375 2,684 2,006 1,839 1,799 16,909 16,671 17,611 18,572 19,345
1,765 1,059
96 -310 -524 16,962 16,500 16,219 16,008 15,790
BASE
DOWN 100BP
1,814 1,439 1,119 1,280 1,474 16,794 15,761 14,673 13,792 13,102 DIFFERENCE
Cloyd Bank & Trust - Page 21
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