Liquidity Risk and Funds Management

Liquidity Risk and Funds Management

New York Region Regulatory Teleconference October 3, 2018

Scope of Discussion

Industry Trends Funding Concentrations Cash Flow Scenario Analysis Contingency Funding Plans Q&A Open Forum

FEDERAL DEPOSIT INSURANCE CORPORATION

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The Shape of the Yield Curve and Potential Market Stress

U.S. Treasury Security Yields (end of month), percent 10

9

Inversions

8

7

6

5

4

3

2

1

Recessions

0

10-Year: 3.07% 3-Month: 2.18%

Sources: Federal Reserve, NBER (Haver), as of September 21, 2018. FEDERAL DEPOSIT INSURANCE CORPORATION 3

The Yield Curve has Already Flattened Considerably

U.S. Treasury Yield Curve (end of month), percent 3.5

3.0

September 2018

2.5

2.0

1.5

1.0

0.5

September 2015*

0.0

3M

1Y

2Y

5Y

10Y

30Y

* September 2015 was three months before the first Fed hike in December. The hike was signaled in October 2015.

Sources: Federal Reserve, NBER (Haver), as of September 21, 2018. FEDERAL DEPOSIT INSURANCE CORPORATION 4

The Level of Liquid Assets Is Low and Falling in the New York Region

Liquid Assets / Total Assets (median %) 30

25

20

National Recessions

United States

15

NY Region

10

5

0 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018

Note: Liquid Assets are defined as Cash and Due from Depository Institutions + Non-pledged Securities at Fair Value + Fed Funds and Repos Sold.

Source: FDIC Call Reports. Based on NY Region banks under $10B in total assets.

FEDERAL DEPOSIT INSURANCE CORPORATION

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