CMS Case Study

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Derivatives Market Indications - 6/30/2021

Financial Institutions Group ‐ Market Update

Friday, August 13, 2021

Index Rates

Treasury Rates

OIS Swap Rates

90 Day History ‐ 5 Year Swap (1m LIBOR)

Term

Rate

Term

Rate

Term

SOFR

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

0.093% 3 Month Bill 0.124% 6 Month Bill 0.157% 2 Year Note 0.239% 3 Year Note 3.250% 5 Year Note

0.05% 1 Year 0.04% 2 Year 0.21% 3 Year 0.43% 4 Year 0.77% 5 Year

0.10% 0.06% 0.21% 0.18% 0.39% 0.35% 0.55% 0.51% 0.68% 0.65% 0.88% 0.84% 1.07% 1.03%

0.79%

0.75%

Prime

Eff. Fed Funds

0.100% 10 Year Note 1.28% 7 Year 0.050% 30 Year Bond 1.93% 10 Year

SOFR Rate

5/14

5/21

5/28

6/4

6/11

6/18

6/25

7/2

7/9

7/16

7/23

7/30

8/6

8/13

3m LIBOR Swap Rates

1m LIBOR Swap Rates

PRIME Swap Rates

Amortization Period

Term

Bullet

Term Bullet

1 2 3 4 5 7

0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.30% 0.29% 0.29% 0.29% 0.30% 0.30% 0.52% 0.49% 0.51% 0.51% 0.52% 0.52% 0.71% 0.66% 0.68% 0.69% 0.70% 0.70% 0.85% 0.78% 0.81% 0.83% 0.84% 0.84% 1.07% 0.93% 1.00% 1.02% 1.04% 1.05% 1.27% 0.98% 1.15% 1.20% 1.23% 1.24%

1 2 3 4 5 7

0.12% 0.12% 0.12% 0.12% 0.12% 0.12% 0.26% 0.25% 0.26% 0.26% 0.26% 0.26% 0.45% 0.43% 0.44% 0.44% 0.45% 0.45% 0.62% 0.58% 0.60% 0.61% 0.61% 0.61% 0.75% 0.68% 0.72% 0.73% 0.74% 0.74% 0.96% 0.82% 0.89% 0.92% 0.93% 0.94% 1.15% 0.88% 1.04% 1.09% 1.11% 1.12%

1 2 3 4 5 7

3.26% 3.26% 3.26% 3.26% 3.26% 3.26% 3.36% 3.36% 3.36% 3.36% 3.36% 3.36% 3.54% 3.52% 3.53% 3.53% 3.53% 3.53% 3.70% 3.66% 3.68% 3.68% 3.69% 3.69% 3.83% 3.76% 3.79% 3.81% 3.81% 3.82% 4.02% 3.90% 3.96% 3.99% 4.00% 4.01% 4.19% 3.94% 4.09% 4.14% 4.16% 4.17%

10 11 12 13 14 15 20 25 30

1.20% 1.24% 1.28% 1.31% 1.34% 1.44% 1.47% 1.48%

1.07% 1.12% 1.15% 1.17% 1.08% 1.16% 1.19% 1.21% 1.09% 1.18% 1.22% 1.24% 1.10% 1.20% 1.24% 1.27% 1.09% 1.22% 1.27% 1.29%

1.32% 1.36% 1.40% 1.44% 1.47% 1.57% 1.60% 1.61%

1.18% 1.24% 1.27% 1.29% 1.20% 1.28% 1.31% 1.33% 1.21% 1.30% 1.34% 1.36% 1.21% 1.32% 1.37% 1.39% 1.20% 1.34% 1.39% 1.42%

4.23% 4.26% 4.29% 4.32% 4.34% 4.41% 4.43% 4.43%

4.11% 4.16% 4.19% 4.20% 4.13% 4.19% 4.22% 4.23% 4.13% 4.21% 4.24% 4.26% 4.14% 4.22% 4.26% 4.28% 4.13% 4.24% 4.28% 4.30%

1.22% 1.32% 1.36%

4.24% 4.32% 4.35%

1.34% 1.45% 1.49%

1.30% 1.37%

4.30% 4.36%

1.43% 1.50%

1.35%

4.34%

1.48%

Forward Starting 3m LIBOR Swaps

Forward Starting PRIME Swaps

Forward Starting 1m LIBOR Swaps

Forward Period

Term

3m 6m 9m 12m 24m 36m 0.21% 0.27% 0.36% 0.49% 1.01% 1.29% 0.41% 0.52% 0.63% 0.75% 1.15% 1.37% 0.65% 0.74% 0.83% 0.93% 1.25% 1.44% 0.82% 0.90% 0.98% 1.06% 1.33% 1.50% 0.95% 1.02% 1.09% 1.16% 1.40% 1.54% 1.14% 1.20% 1.25% 1.31% 1.50% 1.62% 1.33% 1.37% 1.42% 1.46% 1.60% 1.70%

3m 6m 9m 12m 24m 36m 3.28% 3.32% 3.38% 3.46% 3.88% 4.19% 3.42% 3.49% 3.58% 3.67% 4.03% 4.27% 3.60% 3.68% 3.76% 3.84% 4.14% 4.34% 3.76% 3.83% 3.90% 3.97% 4.22% 4.40% 3.88% 3.94% 4.00% 4.07% 4.29% 4.44% 4.07% 4.12% 4.17% 4.21% 4.38% 4.49% 4.23% 4.26% 4.30% 4.33% 4.45% 4.54%

3m 6m 9m 12m 24m 36m 0.15% 0.20% 0.29% 0.40% 0.84% 1.14% 0.34% 0.42% 0.51% 0.62% 0.99% 1.21% 0.54% 0.62% 0.70% 0.79% 1.09% 1.28% 0.69% 0.77% 0.84% 0.91% 1.17% 1.34% 0.82% 0.88% 0.95% 1.02% 1.24% 1.39% 1.01% 1.06% 1.11% 1.16% 1.34% 1.47% 1.19% 1.23% 1.27% 1.31% 1.45% 1.55%

1 2 3 4 5 7

1m LIBOR Structures ‐ monthly resets/payments, ACT/360.

3m LIBOR Structures – quarterly resets/payments, ACT/360

PRIME Structures – Daily weighted average reset, monthly payments, ACT/360

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