CMS Case Study

Derivatives Market Indications - 6/30/2021

Financial Institutions Group ‐ Market Update

Friday, August 13, 2021

1m LIBOR Floor Pricing (% of Notional)

Estimated Cost to Cancel - 1M LIBOR Index - Modified Mortgage Amortization - Monthly Bermudan Options Cost Shown in Basis Points Running

Term

0.00% 0.05% 0.10% 0.15% 0.20% 0.25% 0.30% 0.35% 0.40% 0.45% 0.50% 0.55% 0.60% Strike 0.15% 0.20% 0.25% 0.30% 0.35% 0.40% 0.45% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% Strike

1

2

3

4

5

7

10

Years to Option

Bank Fee 30bps Chatham 3bps

0.03% 0.06% 0.11% 0.23% 0.40% 0.81% 1.53% 0.03% 0.06% 0.14% 0.27% 0.45% 0.89% 1.64% 0.04% 0.08% 0.19% 0.33% 0.52% 0.98% 1.77% 0.07% 0.13% 0.25% 0.40% 0.61% 1.09% 1.92% 0.11% 0.19% 0.32% 0.49% 0.71% 1.22% 2.09% 0.16% 0.26% 0.41% 0.58% 0.82% 1.36% 2.27% 0.20% 0.33% 0.49% 0.68% 0.93% 1.50% 2.46% 0.25% 0.41% 0.59% 0.79% 1.06% 1.65% 2.65% 0.30% 0.49% 0.69% 0.91% 1.18% 1.81% 2.84% 0.35% 0.57% 0.79% 1.02% 1.31% 1.97% 3.04% 0.39% 0.65% 0.89% 1.14% 1.45% 2.13% 3.24% 0.44% 0.74% 1.00% 1.27% 1.60% 2.31% 3.47% 0.49% 0.83% 1.12% 1.41% 1.75% 2.50% 3.71% 0.04% 0.35% 1.16% 2.29% 3.62% 6.68% 11.65% 0.03% 0.31% 1.09% 2.18% 3.47% 6.46% 11.33% 0.03% 0.28% 1.02% 2.07% 3.33% 6.25% 11.02% 0.03% 0.25% 0.95% 1.97% 3.20% 6.04% 10.72% 0.03% 0.22% 0.89% 1.88% 3.07% 5.85% 10.42% 0.03% 0.20% 0.84% 1.79% 2.95% 5.66% 10.13% 0.03% 0.18% 0.79% 1.71% 2.83% 5.47% 9.84% 0.03% 0.16% 0.74% 1.62% 2.71% 5.28% 9.56% 0.03% 0.11% 0.57% 1.31% 2.25% 4.51% 8.34% 0.03% 0.08% 0.45% 1.06% 1.86% 3.82% 7.21% 0.03% 0.06% 0.36% 0.88% 1.57% 3.29% 6.28% 0.03% 0.06% 0.30% 0.74% 1.33% 2.81% 5.43% 0.03% 0.06% 0.26% 0.63% 1.15% 2.44% 4.75% 1m LIBOR Cap Pricing (% of Notional) Term 1 2 3 4 5 7 10

Amort

1m 1y

2y

0.57% 0.12% 0.05% 0.62% 0.13% 0.06% 0.65% 0.13% 0.06% 0.66% 0.13% 0.06% 0.67% 0.14% 0.06%

10y 15y 20y 25y 30y

Dealer 2bps

10y 15y 20y 25y 30y 3 Yr Swap 5 Yr Swap

Years to Option

Amort

1m 1y

2y

3y

4y

7y

8y

9y

10y

11y

0.60% 0.24% 0.15% 0.09% 0.04% 0.68% 0.28% 0.18% 0.11% 0.05% 0.72% 0.30% 0.19% 0.12% 0.06% 0.75% 0.31% 0.20% 0.12% 0.06% 0.76% 0.32% 0.20% 0.13% 0.06%

Years to Option

Amort

1m 1y

2y

3y

4y

5y

6y

0.61% 0.32% 0.23% 0.16% 0.11% 0.07% 0.03% 0.72% 0.39% 0.29% 0.21% 0.15% 0.10% 0.05% 0.77% 0.42% 0.31% 0.23% 0.17% 0.11% 0.05% 0.80% 0.44% 0.33% 0.24% 0.18% 0.11% 0.06% 0.82% 0.45% 0.33% 0.25% 0.18% 0.12% 0.06%

10y 15y 20y 25y 30y

Amort 7 Yr Swap 10 Yr Swap

Years to Option

1m 1y

2y

3y

4y

5y

6y

7y

8y

9y

10y 0.60% 0.34% 0.25% 0.19% 0.14% 0.10% 0.07% 0.04% 0.02% 0.01% 15y 0.78% 0.48% 0.38% 0.31% 0.25% 0.20% 0.15% 0.11% 0.07% 0.03% 20y 0.86% 0.55% 0.44% 0.36% 0.30% 0.24% 0.18% 0.13% 0.08% 0.04% 25y 0.91% 0.58% 0.47% 0.39% 0.32% 0.26% 0.20% 0.15% 0.09% 0.04% 30y 0.94% 0.60% 0.49% 0.40% 0.33% 0.27% 0.21% 0.15% 0.10% 0.05%

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

*Indications reflect pricing based on a $10million notional amount. All caps/floors are subject to a transaction cost; for certain caps/floors this cost may be greater than the economic value of the option. Please call for refined price indications.  Transactions in over‐the‐counter derivatives (or “swaps”)have significant risks, including, but not limited to, substantial  risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap  transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms  and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a  derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an  experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely  solely on this communication in making trading decisions. Mortgage Amortization Rate is 5% Options pricing for out‐of‐the money strikes assumes an estimate of dealer minimum  transaction fees.

Years to Option

Amort

1m 1y

2y

3y

4y

5y

6y

7y

8y

9y

20y 0.84% 0.59% 0.50% 0.44% 0.39% 0.34% 0.29% 0.25% 0.22% 0.18% 25y 0.98% 0.72% 0.63% 0.56% 0.51% 0.46% 0.41% 0.36% 0.32% 0.28% 30y 1.06% 0.79% 0.71% 0.63% 0.57% 0.52% 0.47% 0.42% 0.38% 0.34% 20 Yr Swap

Proprietary & Confidential 

Cloyd Bank & Trust - Page 45