CMS Case Study

5 Year NII Simulation - Alt. Ramp Scenarios Cont. - 3/31/2021

Base Simulation as of 03/31/2021

Base Simulation as of 12/31/2020

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

8,375

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,175

5,975

4,775

3,575

2,375

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 400BP 24M Flat Up 200BP

Up 200BP 24M Base

Up 400BP 24M

Yield Curve Twist

Up 200BP 24M

Base

Down 100BP

Down 100BP

NII RESULTS

YEAR 1 20,645 20,491 20,385 19,980 19,734

YEAR 2 20,619 20,138 19,633 18,312 17,402

YEAR 3 22,579 21,015 20,369 17,513 16,110

YEAR 4 25,105 21,963 21,409 16,855 15,139

YEAR 5 27,375 22,843 22,436 16,557 14,623

YEAR 1 19,784 19,221 19,373 18,789 18,619

YEAR 2 20,609 18,848 19,066 17,151 16,629

YEAR 3 23,058 19,836 20,021 16,317 15,584

YEAR 4 25,621 20,920 21,048 15,631 14,762

YEAR 5 27,873 21,947 22,010 15,242 14,302

UP 400BP 24M FLAT UP 200BP UP 200BP 24M

UP 400BP 24M

YIELD CURVE TWIST

UP 200BP 24M

BASE

BASE

DOWN 100BP

DOWN 100BP

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