CMS Case Study

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Derivatives Market Indications - 12/31/2020

Financial Institutions Group - Market Update

Friday, February 12, 2021

90Day History - 5 Year Swap (1mLIBOR)

Index Rates

Treasury Rates

Fed Funds Swap Rates

Term

Rate

Term

Rate

Term

Rate

0.52%

1m LIBOR 3m LIBOR 6m LIBOR 12m LIBOR

0.107% 3Month Bill 0.194% 6Month Bill 0.201% 2 Year Note 0.300% 3 Year Note 3.250% 5 Year Note

0.04% 1 Year 0.05% 2 Year 0.11% 3 Year 0.19% 4 Year 0.49% 5 Year

0.08% 0.09% 0.16% 0.28% 0.43% 0.74% 1.08%

Prime

0.35%

Eff. Fed Funds 0.080% 10 Year Note 1.21% 7 Year

11/13

11/20

11/27

12/4

12/11

12/18

12/25

1/1

1/8

1/15

1/22

1/29

2/5

2/12

SOFR Rate

0.050% 30 Year Bond 2.01% 10 Year

1m LIBOR Swap Rates

3m LIBOR Swap Rates

PRIME Swap Rates

Amortization Period

Term Bullet

Term

Bullet

Term Bullet

1 2 3 4 5 7

0.12% 0.12% 0.12% 0.12% 0.12% 0.12% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.23% 0.22% 0.23% 0.23% 0.23% 0.23% 0.36% 0.34% 0.35% 0.35% 0.36% 0.36% 0.52% 0.46% 0.49% 0.50% 0.51% 0.51% 0.82% 0.66% 0.74% 0.77% 0.79% 0.80% 1.15% 0.75% 0.99% 1.06% 1.09% 1.11%

1 2 3 4 5 7

0.18% 0.18% 0.18% 0.18% 0.18% 0.18% 0.20% 0.20% 0.20% 0.20% 0.20% 0.20% 0.29% 0.28% 0.28% 0.29% 0.29% 0.29% 0.44% 0.41% 0.42% 0.43% 0.43% 0.43%

1 2 3 4 5 7

3.25% 3.25% 3.25% 3.25% 3.25% 3.25% 3.27% 3.27% 3.27% 3.27% 3.27% 3.27% 3.34% 3.33% 3.33% 3.33% 3.33% 3.33% 3.45% 3.43% 3.44% 3.45% 3.45% 3.45% 3.60% 3.54% 3.57% 3.58% 3.59% 3.59% 3.89% 3.74% 3.82% 3.85% 3.87% 3.87% 4.21% 3.83% 4.05% 4.12% 4.15% 4.17%

0.60%

0.54% 0.57% 0.58% 0.59% 0.59%

0.92% 0.75% 0.84% 0.87% 0.89% 0.90% 1.26% 0.85% 1.09% 1.16% 1.20% 1.22%

10 11 12 13 14 15 20 25 30

1.23% 1.30% 1.35% 1.40% 1.44% 1.57% 1.62% 1.65%

1.03% 1.12% 1.16% 1.18% 1.06% 1.17% 1.22% 1.24% 1.08% 1.21% 1.26% 1.29% 1.08% 1.24% 1.30% 1.33% 1.06% 1.26% 1.33% 1.37%

1.34% 1.41% 1.47% 1.52% 1.56% 1.69% 1.75% 1.78%

4.28% 4.34% 4.39% 4.44% 4.47% 4.59% 4.64% 4.66%

1.14% 1.23% 1.27% 1.29% 1.17% 1.28% 1.33% 1.35%

4.09% 4.18% 4.21% 4.23% 4.12% 4.22% 4.27% 4.29% 4.14% 4.26% 4.31% 4.34% 4.14% 4.28% 4.34% 4.37% 4.12% 4.30% 4.37% 4.41%

1.19% 1.32% 1.37%

1.40%

1.19% 1.35% 1.41% 1.45% 1.17% 1.18% 1.44% 1.48%

1.26% 1.40% 1.46%

1.37% 1.52% 1.58%

4.30% 4.43% 4.49%

1.37% 1.48%

1.49% 1.60%

4.41% 4.51%

1.45%

1.57%

4.48%

Forward Starting PRIME Swaps

Forward Starting 3m LIBOR Swaps

Forward Starting 1m LIBOR Swaps

Forward Period

Term

3m 6m 9m 12m 24m 36m 3.26% 3.26% 3.27% 3.29% 3.46% 3.81% 3.29% 3.31% 3.33% 3.37% 3.63% 3.99% 3.37% 3.41% 3.46% 3.52% 3.81% 4.17% 3.50% 3.56% 3.62% 3.68% 3.99% 4.32%

3m 6m 9m

12m 24m 36m

3m 6m 9m 12m 24m 36m 0.13% 0.15% 0.16% 0.18% 0.39% 0.77% 0.17% 0.20% 0.24% 0.28% 0.58% 0.96% 0.27% 0.32% 0.38% 0.45% 0.77% 1.12% 0.42% 0.48% 0.55% 0.62% 0.94% 1.27% 0.58% 0.65% 0.71% 0.78% 1.09% 1.39% 0.88% 0.94% 1.00% 1.07% 1.32% 1.56% 1.20% 1.25% 1.30% 1.35% 1.54% 1.72%

1 2 3 4 5 7

0.18% 0.19%

0.21% 0.24% 0.50% 0.93%

1 2 3 4 5 7

0.23% 0.27% 0.31% 0.37% 0.71% 1.12% 0.35% 0.41% 0.48% 0.55% 0.91% 1.28% 0.52% 0.59% 0.66% 0.74% 1.08% 1.43% 0.69% 0.76% 0.84% 0.91% 1.24% 1.54%

3.65% 3.71%

3.78% 3.85% 4.14% 4.44%

3.95% 4.01% 4.07% 4.13% 4.37% 4.60% 4.25% 4.29% 4.34% 4.38% 4.57% 4.73%

1.00% 1.07% 1.13% 1.20%

1.47% 1.72%

1.33% 1.38% 1.43% 1.48% 1.68% 1.86%

3m LIBOR Structures – quarterly resets/payments, ACT/360

1m LIBOR Structures - monthly resets/payments, ACT/360.

PRIME Structures – Daily weighted average reset, monthly payments, ACT/360

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