CMS Case Study

5 Year NII Simulation - Rising & Falling Rate Ramp Scenarios - 6/30/2021

Rising Rate Scenarios as of 06/30/2021

Falling Rate Scenarios as of 06/30/2021

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

7,700

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

6,650

5,600

4,550

3,500

2,450

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 Up 200BP

Base

Base

Down 100BP

NII RESULTS

YEAR 1 21,000 20,813 20,928 20,922 20,721

YEAR 2 19,560 19,287 19,135 19,621 18,315

YEAR 3 20,981 19,839 19,595 20,366 17,466

YEAR 4 23,524 20,538 20,649 21,256 16,771

YEAR 5 25,789 21,190 21,666 22,091 16,410

YEAR 1 20,721 20,375

YEAR 2 18,315 17,091

YEAR 3 17,466 15,676

YEAR 4 16,771 14,693

YEAR 5

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

16,410 14,156

BASE

DOWN 100BP

UP 200BP

BASE

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