CMS Case Study

5 Year NII Simulation - Alt. Ramp Scenarios Cont. - 12/31/2020

Base Simulation as of 12/31/2020

Base Simulation as of 09/30/2020

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

8,375

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,175

5,975

4,775

3,575

2,375

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

Up 400BP 24M

Yield Curve Twist

Up 200BP 24M

Up 400BP 24M

Yield Curve Twist

Up 200BP 24M

Base

Base

Down 100BP

Down 100BP

NII RESULTS

YEAR 1 19,784 19,221 19,373 18,789 18,619

YEAR 2 20,609 18,848 19,066 17,151 16,629

YEAR 3 23,058 19,836 20,021 16,317 15,584

YEAR 4 25,621 20,920 21,048 15,631 14,762

YEAR 5 27,873 21,947 22,010 15,242 14,302

YEAR 1 19,372 19,064 19,135 18,727 18,608

YEAR 2 19,577 18,644 18,740 17,560 17,200

YEAR 3 20,767 18,673 18,841 16,316 15,792

YEAR 4 23,178 19,705 19,847 15,698 15,072

YEAR 5 25,445 20,708 20,783 15,266 14,576

UP 400BP 24M

UP 400BP 24M

YIELD CURVE TWIST

YIELD CURVE TWIST

UP 200BP 24M

UP 200BP 24M

BASE

BASE

DOWN 100BP

DOWN 100BP

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