CMS Case Study

5 Year NII Simulation - Parallel Shock Scenarios - 12/31/2021

Base Simulation as of 12/31/2021

Base Simulation as of 09/30/2021

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

9,575

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

8,150

6,725

5,300

3,875

2,450

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

Shock Up 400BP

Shock Up 300BP

Shock Up 200BP

Shock Up 400BP

Shock Up 300BP

Shock Up 200BP

Shock Up 100BP

Base

Shock Down 100BP

Shock Up 100BP

Base

Shock Down 100BP

NII RESULTS

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

SHOCK UP 400BP SHOCK UP 300BP SHOCK UP 200BP SHOCK UP 100BP

20,030 22,616 25,446 28,647 31,394 20,914 22,859 24,996 27,483 29,638 21,754 23,067 24,488 26,236 27,831 22,558 23,233 23,935 24,989 25,896 23,196 23,003 22,844 23,031 23,253

-537

451

998 1,895 2,644 20,567 22,164 24,448 26,752 28,751

-2 921 1,413 2,218 2,867 20,916 21,938 23,583 25,265 26,770 537 1,415 1,855 2,559 3,140 21,217 21,652 22,632 23,676 24,691 1,079 1,954 2,406 3,076 3,544 21,479 21,279 21,529 21,912 22,352 1,697 2,601 3,043 3,615 3,956 21,499 20,401 19,800 19,416 19,297 1,459 2,160 2,179 2,275 2,234 19,998 17,843 16,690 15,922 15,532 DIFFERENCE

BASE

SHOCK DOWN 100BP

21,457 20,003 18,869 18,197 17,766

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