CMS Case Study

Yield Curve Twist Assumptions - 12/31/2020

Yield Curve Twist

3.50

3.00

2.50

2.00

1.50

1.00

0.50

0.00

3mo

6mo

1yr

2yr

3yr

5yr

7yr

10yr

Jan 2021 CMT Rates

Jan 2022 (12 Months)

Jan 2023 (24 Months)

Cloyd Bank & Trust - Page 28