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 - RELIEF CASE - FORECAST

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

Cash In/Out Flow

(11,744)

(16,817)

(13,907)

(13,450)

(12,821)

(13,255)

(12,891)

(12,341)

Cumulative

32,248 15,431

1,524 (11,926)

(24,747)

(38,002)

(50,893)

(63,234)

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

3,729

3,334

2,962

2,568

2,200

1,936

1,635

1,358

Residential Mtg Loan Collateral (FHLB)

45,880

35.00% 29,822 6,944

6,560

6,278

6,043

5,780

5,511

5,324

5,108

4,909

Non-Residential Mtg Loan Collateral (FHLB)

24,244

60.00%

9,698 (2,424)

(2,831)

(2,944)

(3,082)

(3,213)

(3,311)

(3,388)

(3,473)

(3,552)

TOTAL PRIMARY LIQUIDITY

189,203 190,121 191,390 192,639 193,824 194,995 196,228 197,386 198,530 21.10% 21.73% 22.41% 23.06% 23.74% 24.38% 25.03% 25.69% 26.36%

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)

233,195 222,369 206,822 194,163 181,898 170,248 158,226 146,493 135,296

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% 25.41% 24.21% 23.24% 22.28% 21.28% 20.18% 19.07% 17.96%

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)

188,354 178,617 164,113 152,386 141,083 130,252 119,028 108,079 97,632

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% 24.99% 23.82% 22.88% 21.97% 21.01% 19.94% 18.85% 17.78%

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% 44.09% 44.69% 45.13% 45.57% 46.09% 46.68% 47.27% 47.86%

85.00

Net Loans / Deposits

51.66% 51.86% 52.79% 53.52% 54.28% 55.12% 56.05% 56.99% 57.94%

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 represents a relief scenario in which the Bank assume the ability to increase liquidity by holding 20% of loan cash flows in liquid assets and growth national deposits $40MM over 2 years through the offering of a higher rate deposit special (within regulatory limits).

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© Darling Consulting Group 2021

12/13/2021 - 2:11 PM