Capital Markets School - Case Study

Cloyd Bank & Trust

CONTINGENCY PLANNING PROGRAM LIQUIDITY - CASH FLOW AND FUNDS AVAILABILITY ANALYSIS AS OF 9/30/2021 STRESS 2 - STRESS CASE - FORECAST

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

Cash In/Out Flow

(24,019)

(22,017)

(19,851)

(19,616)

(16,785)

(16,508)

(16,215)

(15,521)

Cumulative

19,973 (2,043)

(21,895)

(41,511)

(58,295)

(74,803)

(91,018) (106,539)

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

0

0

0

0

0

0

0

0

0

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

0

0

0

0

0

0

0

0

0

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

0

0

0

0

0

0

0

0

0

0

TOTAL OTHER LIQUIDITY RESOURCES

0 0 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0 0 0 0 0 0 0

Total Funds Availability ($000)

233,195 210,885 190,533 172,302 154,266 139,019 124,009 109,253 95,153

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)

26.00% 24.10% 22.31% 20.62% 18.90% 17.38% 15.82% 14.22% 12.63%

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)

188,354 167,133 147,824 130,526 113,450 99,023 84,810 70,839 57,489

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% 23.58% 21.78% 20.08% 18.34% 16.81% 15.24% 13.63% 12.03%

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% 45.49% 46.74% 47.93% 49.20% 50.28% 51.38% 52.50% 53.61%

85.00

Net Loans / Deposits

51.66% 53.51% 55.21% 56.84% 58.60% 60.13% 61.69% 63.29% 64.90%

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 represents a worse case stress event for the Bank, either due to systemic or Bank specific conditions, in which all wholesale funding outlets are assumed to be eliminated or severely limited. The primary focus of this scenario is to assess the impact of loss of access to the brokered deposit market and unsecured funding lines, while limiting FHLB borrowings to those currently outstanding. This scenario also assumes increased loan degradation (derived from the 12/31/19 Credit Stress Test "Severe Pandemic" 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