CMS Case Study

Stress Test: BKFS Prepayment Assumptions - 03/31/2021

Stress Test: BKFS Prepayment Assumptions

Base Simulation as of 03/31/2021

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

8,175

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,025

5,875

4,725

3,575

2,425

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 Up 200BP

Base

Down 100BP

Up 400BP 24M Up 200BP

Base

Down 100BP

NII RESULTS

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

UP 400BP 24M

20,670 20,641 22,571 25,073 27,333 20,605 20,327 21,140 22,004 22,844 19,867 18,124 17,325 16,697 16,427 19,601 17,137 15,832 14,899 14,425

25 25

22 28

-8 20

-31

-42 20,645 20,619 22,579 25,105 27,375 -5 20,580 20,298 21,120 22,001 22,850

UP 200BP

3

-113 -188 -188 -158 -131 19,980 18,312 17,513 16,855 16,557 -133 -265 -278 -240 -198 19,734 17,402 16,110 15,139 14,623 DIFFERENCE

BASE

DOWN 100BP

1. In the Base and Down 100bps scenarios, projected BKFS loan prepayment speeds (Residential, Home Equity, and Auto) are increased. 2. In all rising rate scenarios, projected BKFS loan prepayment speeds are slowed. 3. Please refer to the Stress Test Methodologies page for additional documentation.

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