CMS Case Study

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

Alternative Parallel Up 200 Scenario

Alternative Yield Curve Twist Scenario

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

5,900

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

5,375

4,850

4,325

3,800

3,275

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

Delayed Up 200BP

Up 200BP

Base

Delayed Yield Curve Twist

Yield Curve Twist

Base

NII RESULTS

YEAR 1 18,727 19,285 18,727

YEAR 2 17,560 19,355 17,560

YEAR 3 16,789 19,617 16,316

YEAR 4 17,720 20,411 15,698

YEAR 5 19,347 21,144 15,266

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

DELAYED UP 200BP

DELAYED YIELD CURVE TWIST

18,727

17,600

17,056

17,905

19,303

UP 200BP

YIELD CURVE TWIST

19,064 18,727

18,644 17,560

18,673 16,316

19,705 15,698

20,708 15,266

BASE

BASE

1. In the Delayed Up 200BP scenario, market rate movement are delayed by 24 months and then ramp up 200BP in year three. 2. In the Delayed Yield Curve Twist scenario, intermediate/long term market rates are assumed to lag 18 months and short term rates 24 months. Thereafter, they follow a similar trajectory as the Yield Curve Twist scenario.

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