CMS Case Study

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Derivatives Market Indications - 03/31/2021

Financial Institutions Group - Market Update

Friday, May 14, 2021

Index Rates

Treasury Rates

OIS Swap Rates

90Day History - 5 Year Swap (1mLIBOR)

Term

Rate

Term

Rate Term 0.00% 1 Year 0.03% 2 Year 0.15% 3 Year 0.33% 4 Year 0.81% 5 Year

FF SOFR

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

0.098% 3Month Bill 0.155% 6Month Bill 0.188% 2 Year Note 0.266% 3 Year Note 3.250% 5 Year Note

0.08% 0.04% 0.13% 0.11% 0.29% 0.28% 0.50% 0.48% 0.70% 0.68% 1.05% 1.00%

0.79%

Prime

0.52%

Eff. Fed Funds 0.060% 10 Year Note 1.63% 7 Year

SOFR Rate

0.010% 30 Year Bond 2.34% 10 Year 1.38% 1.34%

2/12

2/19

2/26

3/5

3/12

3/19

3/26

4/2

4/9

4/16

4/23

4/30

5/7

5/14

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% 0.20% 0.19% 0.20% 0.20% 0.20% 0.20% 0.37% 0.35% 0.36% 0.36% 0.36% 0.36% 0.58% 0.53% 0.55% 0.56% 0.57% 0.57% 0.79% 0.70% 0.74% 0.76% 0.77% 0.77% 1.13% 0.93% 1.04% 1.07% 1.09% 1.11% 1.45% 1.02% 1.27% 1.35% 1.38% 1.41%

1 2 3 4 5 7

0.18% 0.18% 0.18% 0.18% 0.18% 0.18% 0.25% 0.25% 0.25% 0.25% 0.25% 0.25% 0.44% 0.42% 0.43% 0.43% 0.44% 0.44% 0.67% 0.62% 0.64% 0.65% 0.66% 0.66%

1 2 3 4 5 7

3.24% 3.24% 3.24% 3.24% 3.24% 3.24% 3.30% 3.29% 3.30% 3.30% 3.30% 3.30% 3.46% 3.44% 3.44% 3.45% 3.45% 3.45% 3.67% 3.62% 3.64% 3.65% 3.66% 3.66% 3.87% 3.78% 3.82% 3.84% 3.85% 3.85% 4.21% 4.01% 4.12% 4.15% 4.17% 4.18% 4.51% 4.10% 4.34% 4.41% 4.45% 4.47%

0.89%

0.79% 0.84% 0.86% 0.87% 0.87%

1.24% 1.04% 1.14% 1.18% 1.20% 1.22% 1.57% 1.13% 1.39% 1.47% 1.50% 1.52%

10 11 12 13 14 15 20 25 30

1.52% 1.58% 1.63% 1.67% 1.71% 1.82% 1.85% 1.86%

1.31% 1.41% 1.45% 1.47% 1.34% 1.45% 1.50% 1.53% 1.35% 1.48% 1.54% 1.57% 1.35% 1.51% 1.57% 1.61% 1.34% 1.53% 1.60% 1.64%

1.64% 1.71% 1.76% 1.80% 1.84% 1.95% 1.99% 2.00%

4.57% 4.62% 4.66% 4.69% 4.72% 4.80% 4.82% 4.83%

1.43% 1.52% 1.57% 1.59% 1.46% 1.57% 1.62% 1.65%

4.37% 4.46% 4.50% 4.52% 4.39% 4.50% 4.54% 4.57% 4.40% 4.52% 4.57% 4.60% 4.40% 4.54% 4.60% 4.63% 4.39% 4.56% 4.62% 4.66%

1.47% 1.61% 1.66%

1.69%

1.48% 1.63% 1.70% 1.73% 1.46% 1.45% 1.73% 1.76%

1.52% 1.66% 1.72%

1.65% 1.78% 1.84%

4.55% 4.67% 4.72%

1.63% 1.72%

1.76% 1.85%

4.64% 4.72%

1.69%

1.82%

4.69%

Forward Starting PRIME Swaps

Forward Starting 3m LIBOR Swaps

Forward Starting 1m LIBOR Swaps

Forward Period

Term

3m 6m 9m 12m 24m 36m 3.24% 3.26% 3.30% 3.35% 3.76% 4.30% 3.33% 3.39% 3.47% 3.56% 4.03% 4.49% 3.52% 3.61% 3.70% 3.80% 4.24% 4.66% 3.74% 3.83% 3.92% 4.02% 4.43% 4.79%

3m 6m 9m

12m 24m 36m

3m 6m 9m 12m 24m 36m 0.14% 0.17% 0.21% 0.28% 0.71% 1.23% 0.25% 0.32% 0.40% 0.49% 0.97% 1.43% 0.45% 0.54% 0.63% 0.74% 1.19% 1.60% 0.67% 0.76% 0.86% 0.96% 1.37% 1.73% 0.88% 0.97% 1.06% 1.15% 1.52% 1.82% 1.21% 1.28% 1.36% 1.43% 1.72% 1.95% 1.51% 1.56% 1.62% 1.67% 1.88% 2.05%

1 2 3 4 5 7

0.20% 0.24%

0.29% 0.36% 0.87% 1.41%

1 2 3 4 5 7

0.34% 0.42% 0.51% 0.62% 1.14% 1.61% 0.56% 0.66% 0.77% 0.88% 1.36% 1.77% 0.80% 0.90% 1.00% 1.11% 1.54% 1.90% 1.01% 1.11% 1.20% 1.30% 1.68% 1.98%

3.94% 4.03%

4.12% 4.21% 4.58% 4.89%

4.28% 4.35% 4.42% 4.50% 4.77% 4.99% 4.56% 4.61% 4.66% 4.71% 4.90% 5.05%

1.35% 1.43% 1.51% 1.58%

1.88% 2.11%

1.65% 1.71% 1.77% 1.82% 2.04% 2.21%

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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