CMS Case Study

Alt. Cash Extension - $40MM MBS/DUS Purchases - 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

6,375

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

5,675

4,975

4,275

3,575

2,875

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 Yield Curve Twist

Yield Curve Twist

Up 200BP

Delayed Yield Curve Twist

Yield Curve Twist

Up 200BP

Base

Base

Down 100BP

Down 100BP

NII RESULTS

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

DELAYED YIELD CURVE TWIST

19,087 17,490 17,615 18,923 20,421

299

297

215

59

-52 18,789 17,193 17,400 18,864 20,473

YIELD CURVE TWIST

19,470 18,976 19,829 20,822 21,784 19,870 20,015 20,759 21,474 22,182 19,087 17,449 16,616 15,929 15,541 18,934 16,965 15,932 15,119 14,665

250 167 299 315

127

-7 -98 -163 19,221 18,848 19,836 20,920 21,947 -80 -152 -204 19,702 19,997 20,839 21,627 22,386

UP 200BP

18

299 335

299 349

298 358

299 18,789 17,151 16,317 15,631 15,242 363 18,619 16,629 15,584 14,762 14,302

BASE

DOWN 100BP

DIFFERENCE 1. Alternative simulation assumes $40MM in bond purchases @ a weighted average rate of 1.50% ($20MM in 30Y MBS @ 1.55% and $20MM in 10Y DUS @ 1.47%) funded with cash. 2. 12/31 model assumes $35MM of cash will be redeployed in to 15Y MBS @ 0.85% in month 1 of the model.

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