Deputy Seminar, Denver, CO

Comments on LIBOR/SOFE

• LIBOR fading away? • SOFE is secured, based on actual transactions. • Transitions on exiting contract will be challenging. • Derivatives have longest exposure

CSBS - 2018 DEPUTY SEMINAR Denver, CO– July 16, 2018

10-Year Treasury Bonds (Source: Board of Governors of Federal Reserve System)

0% 1% 2% 3% 4% 5% 6% 7%

Jul-02

Jul-07

Jul-12

Jul-17

Jan-00

Jan-05

Jan-10

Jan-15

Mar-04

Mar-09

Mar-14

Nov-00

Sep-01

Nov-05

Sep-06

Nov-10

Sep-11

Nov-15

Sep-16

May-03

May-08

May-13

CSBS - 2018 DEPUTY SEMINAR Denver, CO– July 16, 2018