CMS Case Study

Economic Value of Equity (EVE) Summary Graphs and Charts - 6/30/2021

Rate Shock Scenarios

ASSETS

0 Shock

+100BP

+200BP

+300BP

+400BP

-100BP

BOOK

Investments

384,663 390,119 55,614 830,396 -0.53% 601,511 104,427 44,493

395,864 398,180 55,614 849,659

384,600 394,622 55,614 834,835

370,523 386,199 55,614 812,336 -2.70% 597,921 103,525 44,192

354,266 377,393 55,614 787,273 -5.70% 577,504 102,369 44,513

337,941 369,420 55,614 762,975 -8.61% 558,594 101,247 44,541

322,390 361,841 55,614 739,845 -11.38% 541,054 100,158 44,569

Loans

Other Assets Total Assets

% Change from 0 Shock LIABILITIES Non-Maturity Deposits

1.78%

644,362 105,320 43,310

620,003 104,717 44,493

Time Deposits

Borrowings

Other Liabilities Total Liabilities

2,838

2,838

2,838

2,838

2,838

2,838

2,838

753,269 -2.43%

795,830

772,051

748,477 -3.05%

727,224 -5.81%

707,220 -8.40%

688,619 -10.81%

% Change from 0 Shock

3.08%

ECONOMIC VALUE OF EQUITY (EVE)

77,126

53,829

62,784

63,859

60,050

55,755

51,226

EVE % Change from 0 Shock

-14.3% -10.0%

1.7%

-4.4% -20.0%

-11.2% -30.0%

-18.4% -40.0%

Policy Limits

-10.0%

EVE Ratio (EVE/EVA)

9.3%

6.3% 6.0%

7.5%

7.9% 6.0%

7.6% 6.0%

7.3% 6.0%

6.9% 6.0%

Policy Limits

EVE Ratio BP Change from 0 Shock

-119

34

11

-21

-60

EVE % Change from 0 Shock

EVE Ratio (EVE/EVA)

EVE Ratio BP Change from 0 Shock

10.0%

10.0%

50

0.0%

7.5%

0

-10.0%

5.0%

-20.0%

-50

2.5%

-30.0%

-100

-40.0%

0.0%

-50.0%

-150

Policy Limit -100BP +100BP +200BP +300BP +400BP

-100BP

0 Shock

+100BP

+200BP

+300BP

+400BP

-100BP +100BP +200BP +300BP +400BP

Policy Limit

*The average life on non-maturity deposits is assumed to be 5 years

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