CMS Case Study

Alt. Cash Extension - 12/31/2020

Alt. Cash Extension

Base Simulation as of 12/31/2020

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

6,350

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

5,650

4,950

4,250

3,550

2,850

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 200BP

Base

Down 100BP

Up 200BP

Base

Down 100BP

NII RESULTS

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

UP 200BP

19,727 20,145 20,919 21,654 22,370 18,633 16,995 16,161 15,475 15,086 18,455 16,474 15,439 14,626 14,173

25

148

80

27

-16 19,702 19,997 20,839 21,627 22,386

-156 -156 -156 -156 -156 18,789 17,151 16,317 15,631 15,242 -164 -156 -144 -136 -129 18,619 16,629 15,584 14,762 14,302 DIFFERENCE

BASE

DOWN 100BP

1. Alternative simulation assumes $15MM in MBS purchases are made in month 1 of the model (which reflects actual purchases made YTD). 2. 12/31 model assumes 33% of cash will be redeployed in to 15Y MBS in month 1 of the model (totaling $35MM).

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