CMS Case Study

Economic Value of Equity (EVE) Summary Graphs and Charts - 12/31/2020

Rate Shock Scenarios

ASSETS

0 Shock

+100BP

+200BP

+300BP

+400BP

-100BP

BOOK

Investments

263,690 405,939 50,239 719,869 -0.80% 495,426 111,654 41,996

267,808 412,722 50,239 730,770

263,836 411,621 50,239 725,697

258,734 403,547 50,239 712,521 -1.82% 501,173 111,096 42,015

251,825 395,201 50,239 697,265 -3.92% 483,414 109,914 42,041

244,196 387,592 50,239 682,028 -6.02% 466,978 108,766 42,067

236,583 380,352 50,239 667,175 -8.06% 451,742 107,652 42,067

Loans

Other Assets Total Assets

% Change from 0 Shock LIABILITIES Non-Maturity Deposits

0.70%

537,566 112,630 40,317

520,393 112,314 41,552

Time Deposits

Borrowings

Other Liabilities Total Liabilities

4,347

4,347

4,347

4,347

4,347

4,347

4,347

653,422 -3.71%

694,860

678,605

658,630 -2.94%

639,715 -5.73%

622,158 -8.32%

605,808 -10.73%

% Change from 0 Shock

2.40%

ECONOMIC VALUE OF EQUITY (EVE)

66,446

35,910

47,092

53,890

57,550

59,870

61,367

EVE % Change from 0 Shock

-23.7% -10.0%

14.4% -10.0%

22.2% -20.0%

27.1% -30.0%

30.3% -40.0%

Policy Limits

EVE Ratio (EVE/EVA)

9.2%

4.9% 6.0%

6.5%

7.6% 6.0%

8.3% 6.0%

8.8% 6.0%

9.2% 6.0%

Policy Limits

EVE Ratio BP Change from 0 Shock

-158

107

176

229

271

EVE % Change from 0 Shock

EVE Ratio (EVE/EVA)

EVE Ratio BP Change from 0 Shock

10.0%

50.0%

300

200

7.5%

25.0%

100

5.0%

0.0%

0

2.5%

-25.0%

-100

0.0%

-50.0%

-200

Policy Limit -100BP +100BP +200BP +300BP +400BP

-100BP

0 Shock

+100BP

+200BP

+300BP

+400BP

-100BP +100BP +200BP +300BP +400BP

Policy Limit

*The average life on non-maturity deposits is assumed to be 5 years

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