CMS Case Study

Derivatives Market Indications - 12/31/2021

Financial Institutions Group - Market Update

Friday, February 11, 2022

SOFR Floor Pricing (% of Notional)

Estimated Cost to Cancel - Modified Mortgage Amortization - Monthly Bermudan Options Cost Shown in Basis Points Running

Strike

2Y

3Y

4Y

5Y

7Y

10Y

Years to Option

Bank Fee 30bps

Amort

1m 1y

2y

Chatham 3bps

0.00% 0.10% 0.25% 0.40% 0.50% 0.60% 0.75% 0.85% 1.00% 1.25% 1.50% 1.75% 2.00% 0.15% 0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50% 2.75% 3.00% Strike

0.07% 0.18% 0.36% 0.59% 1.09% 1.93%

0.64% 0.28% 0.14% 0.67% 0.30% 0.16% 0.68% 0.31% 0.16% 0.69% 0.32% 0.16% 0.69% 0.32% 0.17%

10y

Dealer 2bps

0.09%

0.21% 0.40% 0.65% 1.19% 2.09%

15y

0.13% 0.27% 0.49% 0.76% 1.36% 2.36% 0.17% 0.34% 0.59% 0.89% 1.57% 2.67% 0.21% 0.40% 0.66% 0.99% 1.71% 2.89% 0.26% 0.46% 0.75% 1.11% 1.89% 3.14% 0.34% 0.57% 0.91% 1.31% 2.17% 3.56% 0.40% 0.66% 1.02% 1.45% 2.38% 3.86% 0.50% 0.80% 1.21% 1.69% 2.72% 4.34% 0.72% 1.10% 1.61% 2.20% 3.42% 5.32% 1.00% 1.48% 2.10% 2.79% 4.23% 6.44% 1.33% 1.93% 2.69% 3.52% 5.21% 7.76% 1.70% 2.44% 3.34% 4.32% 6.28% 9.20%

20y

25y 3 Yr Swap 5 Yr Swap 20 Yr Swap 7 Yr Swap 10 Yr Swap 30y 10y 15y 20y 25y 30y 10y 15y 20y 25y 30y

Years to Option

Amort

1m 1y

2y

3y

4y

7y

8y

9y

10y

11y

0.86% 0.51% 0.37% 0.23% 0.11% 0.94% 0.56% 0.41% 0.26% 0.12% 0.97% 0.59% 0.43% 0.28% 0.13% 0.99% 0.60% 0.44% 0.29% 0.14% 1.00% 0.61% 0.45% 0.29% 0.14%

SOFR Cap Pricing (% of Notional)

Years to Option

2Y

3Y

4Y

5Y

7Y

10Y

Amort

1m 1y

2y

3y

4y

5y

6y

0.96% 0.60% 0.47% 0.35% 0.23% 0.14% 0.06% 1.09% 0.71% 0.57% 0.42% 0.29% 0.18% 0.08% 1.15% 0.76% 0.61% 0.46% 0.32% 0.20% 0.09% 1.19% 0.79% 0.63% 0.47% 0.33% 0.21% 0.10% 1.21% 0.81% 0.64% 0.48% 0.34% 0.21% 0.10%

2.57% 4.39% 6.11% 7.82% 11.30% 16.66% 2.40% 4.13% 5.78% 7.41% 10.75% 15.91%

1.98%

3.51% 4.97% 6.42% 9.43% 14.11%

1.61% 2.94% 4.23% 5.52% 8.20% 12.44% 1.27% 2.42% 3.55% 4.68% 7.07% 10.89% 0.99% 1.98% 2.97% 3.97% 6.10% 9.54% 0.76% 1.61% 2.47% 3.35% 5.23% 8.32% 0.59% 1.32% 2.07% 2.85% 4.53% 7.31% 0.46% 1.09% 1.74% 2.43% 3.92% 6.42% 0.37% 0.91% 1.49% 2.10% 3.44% 5.69% 0.30% 0.77% 1.28% 1.83% 3.02% 5.05% 0.25% 0.66% 1.12% 1.61% 2.69% 4.53%

Years to Option

Amort

1m 1y

2y

3y

4y

5y

6y

7y

8y

9y

10y 0.95% 0.62% 0.49% 0.37% 0.27% 0.18% 0.12% 0.07% 0.03% 0.01% 15y 1.20% 0.84% 0.69% 0.55% 0.43% 0.33% 0.24% 0.17% 0.10% 0.05% 20y 1.31% 0.92% 0.77% 0.62% 0.49% 0.38% 0.29% 0.20% 0.13% 0.06% 25y 1.36% 0.97% 0.81% 0.66% 0.52% 0.41% 0.31% 0.22% 0.14% 0.07% 30y 1.40% 1.00% 0.84% 0.68% 0.54% 0.43% 0.32% 0.23% 0.15% 0.07%

0.21% 0.57%

0.98%

1.42% 2.40% 4.07%

*Indications reflect pricing based on a $10million notional amount. All caps/floors are subject to a transaction cost; for certain caps/floors this cost may be greater than the economic value of the option. Please call for refined price indications. Transactions in over-the- counter derivatives (or “swaps”)have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. SOFR Structures - monthly resets/payments, ACT/360. Options pricing for out-of-the money strikes assumes an estimate of dealer minimum transaction fees.

Years to Option

Amort

1m 1y

2y

3y

4y

5y

6y

7y

8y

9y

20y 1.22% 0.92% 0.80% 0.69% 0.58% 0.49% 0.42% 0.35% 0.29% 0.24% 25y 1.41% 1.08% 0.96% 0.84% 0.73% 0.64% 0.55% 0.48% 0.42% 0.36% 30y 1.50% 1.17% 1.04% 0.92% 0.81% 0.71% 0.63% 0.55% 0.48% 0.42%

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