CMS Case Study

5 Year NII Simulation - Parallel Shock Scenarios - 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

8,225

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,075

5,925

4,775

3,625

2,475

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

Shock Up 400BP

Shock Up 300BP

Shock Up 200BP

Shock Up 400BP

Shock Up 300BP

Shock Up 200BP

Shock Up 100BP

Base

Shock Down 100BP

Shock Up 100BP

Base

Shock Down 100BP

NII RESULTS

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

SHOCK UP 400BP SHOCK UP 300BP SHOCK UP 200BP SHOCK UP 100BP

21,818 22,929 23,899 25,370 26,846 21,197 21,846 22,315 23,298 24,292 20,479 20,646 20,606 21,096 21,605 19,719 19,352 18,742 18,677 18,682 18,727 17,560 16,316 15,698 15,266

-764 -1,156 -881 -851 -787 22,582 24,086 24,780 26,221 27,633 -731 -1,097 -813 -792 -730 21,928 22,943 23,128 24,090 25,022 -712 -1,061 -762 -758 -705 21,191 21,707 21,368 21,854 22,311 -695 -1,027 -736 -748 -705 20,415 20,379 19,477 19,425 19,387 -608 -998 -697 -742 -675 19,335 18,558 17,012 16,440 15,941 -894 -1,257 -973 -1,027 -1,002 19,184 18,275 16,638 16,009 15,514 DIFFERENCE

BASE

SHOCK DOWN 100BP

18,290 17,018 15,664 14,982 14,512

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