CMS Case Study

5 Year NII Simulation - Alt. Ramp Scenarios Cont. - 9/30/2020

Base Simulation as of 09/30/2020

Base Simulation as of 06/30/2020

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

7,825

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

6,775

5,725

4,675

3,625

2,575

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

Yield Curve Twist

Up 200BP 24M

Up 400BP 24M

Yield Curve Twist

Up 200BP 24M

Base

Base

Down 100BP

Down 100BP

NII RESULTS

YEAR 1 19,372 19,064 19,135 18,727 18,608

YEAR 2 19,577 18,644 18,740 17,560 17,200

YEAR 3 20,767 18,673 18,841 16,316 15,792

YEAR 4 23,178 19,705 19,847 15,698 15,072

YEAR 5 25,445 20,708 20,783 15,266 14,576

YEAR 1 20,065 19,753 19,798 19,335 19,329

YEAR 2 20,730 19,810 19,824 18,558 18,382

YEAR 3 21,734 19,607 19,677 17,012 16,710

YEAR 4 24,156 20,642 20,692 16,440 16,060

YEAR 5 26,390 21,595 21,590 15,941 15,548

UP 400BP 24M

UP 400BP 24M

YIELD CURVE TWIST

YIELD CURVE TWIST

UP 200BP 24M

UP 200BP 24M

BASE

BASE

DOWN 100BP

DOWN 100BP

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