CMS Case Study

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

Alternative Parallel Up 200BP Scenario

Alternative Yield Curve Twist Scenario

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

6,325

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

5,700

5,075

4,450

3,825

3,200

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

Delayed Up 200BP

Up 200BP

Base

Delayed Yield Curve Twist

Yield Curve Twist

Base

NII RESULTS

YEAR 1 18,789 19,702 18,789

YEAR 2 17,151 19,997 17,151

YEAR 3 17,258 20,839 16,317

YEAR 4 18,819 21,627 15,631

YEAR 5 20,528 22,386 15,242

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

DELAYED UP 200BP

DELAYED YIELD CURVE TWIST

18,789

17,193

17,400

18,864

20,473

UP 200BP

YIELD CURVE TWIST

19,221 18,789

18,848 17,151

19,836 16,317

20,920 15,631

21,947 15,242

BASE

BASE

1. In the Delayed Up 200BP scenario, market rate movements are delayed by 24 months and then ramp up 200BP in year three. 2. In the Delayed Yield Curve Twist scenario, intermediate/long term market rates are assumed to lag 18 months and short term rates 24 months. Thereafter, they follow a similar trajectory as the Yield Curve Twist scenario.

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