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2009 Financial Institutions Conference. Armonk Conference Center, NY April 3, 2009. 0. Is the U.S. economy. Stabilizing Getting worse Improving. 0. Economic conditions will bottom. 2Q ‘09 3Q ‘09 4Q ’09 Early 2010 Late 2010 or 2011 Later. 0. Unemployment will peak at. 8.5% 9%

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2009 Financial Institutions Conference

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2009 financial institutions conference

2009 Financial Institutions Conference

Armonk Conference Center, NY

April 3, 2009


Is the u s economy

0

Is the U.S. economy

  • Stabilizing

  • Getting worse

  • Improving


Economic conditions will bottom

0

Economic conditions will bottom

  • 2Q ‘09

  • 3Q ‘09

  • 4Q ’09

  • Early 2010

  • Late 2010 or 2011

  • Later


Unemployment will peak at

0

Unemployment will peak at

  • 8.5%

  • 9%

  • 9.5%

  • 10%

  • 10-12%

  • Higher than 12%


What s the greater risk for the global economy in 2010

0

What’s the greater risk for the global economy in 2010?

  • Deflation

  • Stagflation

  • Recessflation

  • Inflation


2009 financial institutions conference

0

How quickly will investors risk appetite improve – how soon will they be willing to increase weighting on bank credit risk?

  • This is already happening

  • Substantial recovery by mid-year 2009

  • Gradual improvement by end of year

  • No improvement this year

  • No improvement next 2 years


By the end of 2009 the broad market equity indices will be

0

By the end of 2009, the broad market equity indices will be

  • Unchanged

  • Significantly higher

  • Lower

  • Significantly lower


I expect u s treasury 10 year yields to finish 2009

0

I expect U.S. Treasury 10 year yields to finish 2009

  • More than 50 bps lower than their current level

  • More than 50% higher than their current yield

  • Within 50 bps above or below their current level


Between now and the end of 2009 the u s treasury curve 10 year 2 year will be

0

Between now and the end of 2009, the U.S. Treasury curve (10 year-2 year) will be

  • Unchanged

  • Steeper

  • Flatter


2009 financial institutions conference

SHORT DATED VOL:  Realized vol for the last 60 trading sessions is about 10.5 bps per day for the 7y swap, 3 months forward.  At some point over the balance of 2009, I expect to see realized vol:

Increase to above 13.0 bps per day.

Increase to between 11.5 and 13.0 bps per day.

Remain range bound between 9.5 - 11.5 bps per day.

Decrease to between 8.0 - 9.5 bps per day

Decrease to below 8.0 bps per day

10


2009 financial institutions conference

LONG DATED VOL:  Implied vol for the 7y swap, 3y forward is about 6.5 bps per day.  At the end of 2009, I expect to see it:

Increase to above 8.0 bps per day

Increase to between 7.0 - 8.0 bps per day

Remain between 6.0 - 7.0 bps per day

Decrease to between 5.0 - 6.0 bps per day

Decrease to below 5.0 bps per day

10


The biggest driver of yields over the remainder of 2009 will be

0

The biggest driver of yields over the remainder of 2009 will be

  • Policy rates

  • Quantitative easing

  • Treasury supply

  • Equity markets


Bull or bear

0

Bull or Bear

  • A. Bull

  • B. bear


In 2009 is your bank securities portfolio

0

In 2009, is your bank securities portfolio

  • Going to grow

  • You’ll just replace the run-off

  • You’ll be shrinking the bond portfolio


Within the mortgage backed securities space your top purchase for the portfolio in 2009 will be

0

Within the mortgage-backed securities space, your top purchase for the portfolio in 2009 will be:

  • Agency passthrus

  • CMO Floaters

  • Seasoned stripped 15 year

  • GNMA PACs

  • Front sequentials

  • Non-Agency CMOs

  • MBS Passthroughs

  • All of the above

  • None of the above


Within agency space your top bond choice in 2009

0

Within Agency space, your top bond choice in 2009

  • Discount notes

  • Agency bullets

  • Callables

  • TLGP


In 2009 your bank will

0

In 2009, your bank will

  • Expand lending

  • Shrink lending

  • Hold it flat

  • Go out of business


The largest concentration of lending on my balance sheet is

10

The largest concentration of lending on my balance sheet is

  • Owner-occupied commercial real estate

  • Residential mortgage loans

  • Commercial and industrial loans

  • Consumer loans

  • Other


Your main objective from an asset liability management objective is to

0

Your main objective from an asset liability management objective is to

  • Lengthen duration of my earning assets, relative to my liabilities

  • Term out my liabilities relative to my assets

  • Prepare for Fed tightening

  • Protect against bull flattener


The bulk of my floating rate loan portfolio is tied to

0

The bulk of my floating-rate loan portfolio is tied to

  • Prime

  • Fed funds

  • 1-month LIBOR

  • 3-month LIBOR


I would describe the 1m versus 3m libor basis risk of my bank as

0

I would describe the 1m versus 3m LIBOR basis risk of my bank as

  • Irrelevant

  • Miniscule

  • Significant

  • Very significant / extremely large


My bank s experience during the financial crisis

0

My bank’s experience during the financial crisis

  • Has gone closely along the lines in our contingency funding planning

  • Our contingency planning could use some revisions

  • We are ahead of the game and pleasantly surprised


2009 financial institutions conference

0

Would you describe the government’s liquidity programs in the context of your bank’s funding strategies

  • Day-to-day funding

  • Strategic funding


The market for deposits has

0

The market for deposits has

  • Been more competitive in the past year

  • Been less competitive in the past year

  • Stayed the same


The top source of funding for my bank s incremental loan growth in 2009 is

0

The top source of funding for my bank’s incremental loan growth in 2009 is

  • Deposits

  • TLGP

  • Advances

  • Repos

  • Federal Reserve


My bank is looking at participating buying or issuing in the talf program

0

My bank is looking at participating (buying or issuing?) in the TALF program

  • Yes

  • No


Do you plan to sell loans to ppip

0

Do you plan to sell loans to PPIP?

  • Yes

  • No


Will your bank consider munis this year

0

Will your bank consider munis this year?

  • Yes

  • No


Enter question text

10

Enter question text...

  • Yes

  • No


Enter question text1

0

Enter question text...

  • Yes

  • No

  • Maybe


The most valued service citi can do for your bank on the public side in 2009 is

0

The most valued service Citi can do for your bank on the public side in 2009 is

  • Sell you bonds

  • Buy all your bonds at par

  • Buy just your toxic assets at par

  • Figure out a solution to your nonperforming loans that does not involve taking a loss

  • Repo funding

  • Hold next year’s bank conference in Florida


The stress test will demonstrate that my bank is

0

The stress test will demonstrate that my bank is

  • Adequately capitalized

  • Inadequately capitalized

  • Over-capitalized

  • So overcapitalized we want to give back all the TARP money


My bank is targeting x for a tangible common equity ratio post stress test

0

My bank is targeting X for a tangible common equity ratio post stress test

  • 3%

  • 4%

  • 5%

  • 6%

  • Higher


Bank analysts have adequate information on which to base investment recommendations on banks

0

Bank analysts have adequate information on which to base investment recommendations on banks

  • Agree

  • Disagree


Nims in 12 months will be

0

NIMS in 12 months will be

  • 20 bp higher

  • 10-20 bp higher

  • flat - 10 bp higher

  • 10 bp lower

  • 10-20 bp lower


Peak in loan loss provisions will be was

10

Peak in loan loss provisions will be / was

  • 4Q 08

  • 1Q 09


Peak in loan loss provisions will be was1

0

PEAK IN LOAN LOSS PROVISIONS WILL BE / WAS

  • 4Q 08

  • 1Q 09

  • 2Q 09

  • 3Q 09

  • 4Q 09

  • 2010

  • 2011


The fasb s new proposal to revamp other than temporary impairment is a reasonable fix

0

The FASB’s new proposal to revamp other-than-temporary impairment is a reasonable fix?

  • Agree

  • Disagree

  • What’s FASB?


Is it operational

0

IS IT OPERATIONAL

  • YES

  • NO


2009 financial institutions conference

0

Existing hedge accounting rules pose a significant challenge to my bank’s asset-liability management

  • Agree

  • Disagree


The greatest threat to financial market stability is

10

The greatest threat to financial market stability is

  • Mark to market in illiquid markets

  • Leverage

  • Bad assets in accrual books

  • AIG

  • Tim and Ben

  • Defaults, foreclosure

  • Plunging real estate prices


Concerning the new public private investment fund my bank is likely to

10

Concerning the new Public-Private Investment Fund, my bank is likely to

  • Sell securities

  • Sell loans

  • Sell both

  • Limited or no participation


Will the republicans seats after the 2010 house races

Will the republicans ___ seats after the 2010 House races?

Pick up

Lose

Hold the same

0


2009 financial institutions conference1

2009 Financial Institutions Conference

Armonk Conference Center, NY

April 3, 2009


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