NYCB 2017 Annual Report

76 Interest Rate Sensitivity Analysis At December 31, 2017 Three Four to More Than More Than More Than More Months Twelve One Year Three Years Five Years Than (dollars in thousands) or Less Months to Three Years to Five Years to 10 Years 10 Years Total INTEREST-EARNING ASSETS: Mortgage and other loans (1) $ 3,182,859 $ 4,729,234 $16,579,975 $10,898,656 $2,845,843 $112,980 $38,349,547 Mortgage-related securities (2)(3) 21,268 58,354 385,627 681,573 1,226,274 245,650 2,618,746 Other securities (2) 978,343 1,421 3,869 15,802 323,106 193,959 1,516,500 Interest-earning cash and cash equivalents 2,373,803 -- -- -- -- -- 2,373,803 Total interest-earning assets 6,556,273 4,789,009 16,969,471 11,596,031 4,395,223 552,589 44,858,596 INTEREST-BEARING LIABILITES: Interest-bearing checking and money market accounts 7,313,506 348,915 673,669 1,980,433 2,619,778 -- 12,936,301 Savings accounts 1,145,791 947,315 234,823 192,785 2,689,287 -- 5,210,001 Certificates of deposit 2,002,350 4,812,757 1,759,923 59,319 9,297 -- 8,643,646 Borrowed funds 1,733,926 2,653,500 7,781,000 600,000 -- 145,253 12,913,679 Total interest-bearing liabilities 12,195,573 8,762,487 10,449,415 2,832,537 5,318,362 145,253 39,703,627 Interest rate sensitivity gap per period (4) $ (5,639,300) $(3,973,478) $ 6,520,056 $ 8,763,494 $ (923,139) $407,336 $ 5,154,969 Cumulative interest rate sensitivity gap $(5,639,300) $(9,612,778) $(3,092,722) $5,670,772 $4,747,633 $5,154,969 Cumulative interest rate sensitivity gap as a percentage of total assets (11..48)% (19.57)% (6.30)% 11.54% 9.66% 10.49% Cumulative net interest-earning assets as a percentage of net interest-bearing liabilities 53.76 % 54.13 % 90.15 % 116.56% 112.00% 112.98% (1) For the purpose of the gap analysis, non-performing non-covered loans and the allowances for loan losses have been excluded. (2) Mortgage-related and other securities, including FHLB stock, are shown at their respective carrying amounts. (3) Expected amount based, in part, on historical experience. (4) The interest rate sensitivity gap per period represents the difference between interest-earning assets and interest-bearing liabilities.