Capital Markets School - Case Study

Cloyd Bank & Trust

CONTINGENCY PLANNING PROGRAM LIQUIDITY - CASH FLOW AND FUNDS AVAILABILITY ANALYSIS AS OF 9/30/2021 STRESS 1 - STRESS CASE - FORECAST

DEC-21 MAR-22 JUN-22 SEP-22 DEC-22 MAR-23 JUN-23 SEP-23

Cash In/Out Flow

(23,406)

(21,747)

(19,561)

(19,358)

(16,621)

(16,369)

(16,080)

(15,391)

Cumulative

20,586 (1,161)

(20,722)

(40,080)

(56,700)

(73,070)

(89,149) (104,540)

Starting Cash Position

43,992

Gross Avail. Collateral

Weighted Haircut

Avail. Coll. (Net Haircut)

Avail. Capacity

COLLATERALIZED/SECURED FUNDING RESOURCES

Free UST / GSE Bond Collateral

352,846

14.74% 300,852 181,579 183,125 184,631 186,098 187,526 188,918 190,273 191,594 192,879

Free Non-GSE Bond Collateral

23,160

10.00% 20,844 3,105

3,267

3,426

3,580

3,730

3,876

4,019

4,157

4,293

Loan Based Borrowing Capacity (FHLB)

39,520 4,520

4,520

4,520

4,520

4,520

4,520

4,520

4,520

4,520

Residential Mtg Loan Collateral (FHLB)

45,880

35.00% 29,822 6,944

6,944

6,944

6,944

6,944

6,944

6,944

6,944

6,944

Non-Residential Mtg Loan Collateral (FHLB)

24,244

60.00%

9,698 (2,424)

(2,424)

(2,424)

(2,424)

(2,424)

(2,424)

(2,424)

(2,424)

(2,424)

TOTAL PRIMARY LIQUIDITY

189,203 190,912 192,576 194,197 195,776 197,314 198,812 200,271 201,692 21.10% 21.82% 22.55% 23.24% 23.98% 24.67% 25.36% 26.07% 26.78%

Maximum Capacity

Avail. Capacity

OTHER LIQUIDITY RESOURCES

Unsecured Funding Remaining National Deposit Capacity

0

0

0

0

0

0

0

0

0

Remaining Brokered Deposit Capacity

134,525

134,525 134,525 134,525 134,525 134,525 134,525 134,525 134,525 134,525

Other Unsecured Funds (i.e. Fed Fund Lines)

31,425

31,425

31,425 31,425 31,425 31,425 31,425 31,425 31,425 31,425

Other Secured Funding Resources Other Loan Based Borrowing Capacity (FRB)

0

0

0

0

0

0

0

0

0

0

TOTAL OTHER LIQUIDITY RESOURCES

165,950 165,950 165,950 165,950 165,950 165,950 165,950 165,950 165,950 18.50% 18.96% 19.43% 19.86% 20.33% 20.75% 21.17% 21.60% 22.03%

Total Funds Availability ($000)

399,145 377,448 357,365 339,425 321,646 306,563 291,692 277,071 263,101

Total Assets ($000)

896,832 875,042 854,167 835,538 816,302 799,917 783,972 768,284 753,276

Total Funds Availability (% of Assets)

44.51% 43.13% 41.84% 40.62% 39.40% 38.32% 37.21% 36.06% 34.93%

LIQUIDITY MINIMUM (% of Assets)

5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00%

FUNDING EXCESS/(SHORTFALL)

354,303 333,695 314,657 297,648 280,831 266,568 252,493 238,657 225,437

Min / Max

Liquidity Ratios

Current

Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Jun-23 Sep-23

Cash + Unencumbered Coll. / Assets

25.50% 23.65% 21.88% 20.22% 18.52% 17.01% 15.46% 13.88% 12.30%

Fair Value of Securities / Assets

44.41% 45.49% 46.60% 47.64% 48.67% 49.64% 50.65% 51.68% 52.71%

Net Loans / Assets

44.11% 45.42% 46.64% 47.79% 49.02% 50.08% 51.16% 52.25% 53.34%

85.00

Net Loans / Deposits

51.66% 53.42% 55.09% 56.67% 58.39% 59.89% 61.42% 63.00% 64.58%

100.00

Brokered Deposits / Assets

0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

15.00

Brokered Deposits / Deposits

0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Borrowings / Assets

2.23% 2.29% 2.34% 2.39% 2.45% 2.50% 2.55% 2.60% 2.66%

15.00

Wholesale Funds / Assets

2.23% 2.29% 2.34% 2.39% 2.45% 2.50% 2.55% 2.60% 2.66%

20.00

This Stress Scenario assumes deterioration in Asset Quality, Earnings & Capital Levels. The primary focus of this scenario is to assess the impact of reduced loan cashflows due to deterioration in asset quality (derived from the 12/31/19 Credit Stress Test "Fed Severely Adverse" scenario) and a loss in retention of the Bank’s local market deposits (10% NMD Decay, 85% retention rate on CD's) in conjunction with an increase in investment collateral haircuts (10%).

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© Darling Consulting Group 2021

12/13/2021 - 2:11 PM