CMS Case Study

5 Year NII Simulation - Parallel Shock Scenarios - 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

8,850

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,525

6,200

4,875

3,550

2,225

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

23,882 25,192 26,705 28,207 29,600 22,734 23,409 24,408 25,387 26,338 21,513 21,534 21,995 22,448 22,957 20,269 19,590 19,445 19,328 19,353 18,789 17,151 16,317 15,631 15,242

2,065 2,262 2,806 2,837 2,754 21,818 22,929 23,899 25,370 26,846 1,537 1,563 2,093 2,089 2,046 21,197 21,846 22,315 23,298 24,292 888 1,389 1,353 1,351 20,479 20,646 20,606 21,096 21,605 1,034

549

238

704

651 -68

671 19,719 19,352 18,742 18,677 18,682 -24 18,727 17,560 16,316 15,698 15,266

62 -409

2

BASE

SHOCK DOWN 100BP

18,237 16,362 15,386 14,616 14,194

-53 -656 -278 -366 -318 18,290 17,018 15,664 14,982 14,512 DIFFERENCE

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