CMS Case Study

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Derivatives Market Indications - 12/31/2021

Financial Institutions Group - Market Update

Friday, February 11, 2022

90Day History - 5 Year Swap (SOFR)

Index Rates

Treasury Rates

Term

Rate

Term

Rate

SOFR 0.050% 1MTerm SOFR 0.095% 3MTerm SOFR 0.376% Eff. Fed Funds 0.080% Prime 3.250% 1MLIBOR 0.191% 3MLIBOR 0.506%

3Month Bill 6Month Bill 2 Year Note 3 Year Note 5 Year Note

0.34% 0.68% 1.50% 1.73%

1.64%

1.85% 10 Year Note 1.94% 30 Year Bond 2.24%

1.06%

11/12

11/19

11/26

12/3

12/10

12/17

12/24

12/31

1/7

1/14

1/21

1/28

2/4

2/11

1Month Term SOFR Swap Rates

Prime Swap Rates

Market Rates

Amortization Period

Term Bullet

Term

SOFR OIS

Fed Funds OIS

3Month Term SOFR

1 2 3 4 5 7

1.04% 1.03% 1.03% 1.03% 1.04% 1.04% 1.46% 1.44% 1.45% 1.45% 1.46% 1.46% 1.59% 1.56% 1.58% 1.58% 1.59% 1.59% 1.63% 1.60% 1.61% 1.62% 1.62% 1.62% 1.64% 1.61% 1.63% 1.63% 1.64% 1.64% 1.67% 1.64% 1.65% 1.66% 1.66% 1.67%

1 2 3 4 5 7

4.25% 4.24% 4.24% 4.24% 4.25% 4.25% 4.65% 4.63% 4.64% 4.64% 4.65% 4.65% 4.78% 4.75% 4.76% 4.77% 4.77% 4.77% 4.81% 4.78% 4.80% 4.80% 4.80% 4.81% 4.82% 4.79% 4.80% 4.81% 4.81% 4.81% 4.84% 4.81% 4.83% 4.83% 4.83% 4.84% 4.87% 4.82% 4.85% 4.86% 4.86% 4.86%

1 2 3 4 5 7

1.73% 1.75% 1.76% 1.77% 1.78% 1.79% 1.77% 1.04% 1.46% 1.59% 1.63% 1.64% 1.67% 1.72% 1.73%

1.72% 1.74% 1.75% 1.76% 1.77% 1.78% 1.76% 1.65% 1.68% 1.71% 1.73% 1.03% 1.47% 1.61% 1.64%

1.73% 1.75% 1.76% 1.77% 1.78% 1.79% 1.78% 1.03% 1.46% 1.59% 1.63% 1.64% 1.67% 1.72% 1.73%

10 11 12 13 14 15 20 25 30

1.72% 1.65% 1.69% 1.70%

1.71% 1.71%

10 11 12 13 14 15 20 25 30

1.73% 1.75% 1.76% 1.77% 1.78% 1.79% 1.77% 1.73%

1.70% 1.71% 1.72% 1.72% 1.71% 1.72% 1.73% 1.74% 1.71% 1.73% 1.74% 1.75% 1.72% 1.74% 1.75% 1.76% 1.72% 1.75% 1.76% 1.76%

4.87% 4.87% 4.88% 4.88% 4.88% 4.88% 4.84% 4.79%

4.85% 4.86% 4.86% 4.87% 4.85% 4.86% 4.87% 4.87% 4.85% 4.86% 4.87% 4.87%

4.85%

4.86% 4.87% 4.87%

4.85% 4.87% 4.87% 4.88%

1.75% 1.77% 1.78%

4.86% 4.87% 4.87%

1.75% 1.76%

4.86% 4.85%

1.75%

4.85%

Forward Starting PRIME Swaps

Forward Starting Fed Funds OIS Swaps

Forward Starting SOFR OIS Swaps

Forward Period

Term

3m 6m 9m 12m 24m 36m 4.58% 4.84% 4.99% 5.06% 5.04% 4.91% 4.83% 4.96% 5.03% 5.05% 4.98% 4.87% 4.89% 4.97% 5.00% 5.01% 4.93% 4.87% 4.89% 4.94% 4.96% 4.96% 4.92% 4.89% 4.88% 4.92% 4.94% 4.95% 4.92% 4.90% 4.89% 4.92% 4.94% 4.95% 4.93% 4.91% 4.90% 4.93% 4.94% 4.94% 4.92% 4.91%

3m 6m 9m 12m 24m 36m 1.39% 1.64% 1.81% 1.92% 1.90% 1.72% 1.68% 1.80% 1.88% 1.91% 1.81% 1.70% 1.73% 1.77% 1.80% 1.81% 1.76% 1.73% 1.72% 1.76% 1.78% 1.79% 1.76% 1.74% 1.73% 1.76% 1.78% 1.79% 1.77% 1.76% 1.74% 1.81% 1.84% 1.85% 1.77% 1.71%

3m 6m 9m 12m 24m 36m 1.35% 1.60% 1.77% 1.89% 1.87% 1.74% 1.64% 1.77% 1.84% 1.88% 1.80% 1.72% 1.70% 1.77% 1.81% 1.83% 1.77% 1.72% 1.71% 1.76% 1.79% 1.80% 1.76% 1.73% 1.70% 1.75% 1.77% 1.78% 1.76% 1.74% 1.72% 1.75% 1.77% 1.78% 1.78% 1.77% 1.75% 1.78% 1.80% 1.81% 1.81% 1.81%

1 2 3 4 5 7

1.75%

1.78% 1.80% 1.80% 1.80% 1.80%

Fed Funds Compound Structures – daily reset, monthly payments, ACT/360

SOFR Compound Structures- daily reset, monthly payments, ACT/360

PRIME Structures – daily weighted average reset, monthly payments, ACT/360

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