CMS Case Study

Yield Curve Assumptions - 9/30/2020

Historical LIBOR Yield Curves

3.00

2.00

1.00

0.00

1 Month 3 Month 6 Month

1 Year

2 Year

3 Year

5 Year

7 Year

10 Year

30 Year

11/13/2020

06/30/2020

03/31/2020

09/30/2019

HISTORICAL RATES

1 MONTH 3 MONTH 6 MONTH 1 YEAR 2 YEAR 3 YEAR 5 YEAR 7 YEAR

10 YEAR

30 YEAR

11/13/2020 06/30/2020 03/31/2020 09/30/2019

0.14 0.16 0.99 2.02

0.22 0.30 1.45 2.09

0.25 0.37 1.18 2.06

0.22 0.26 0.67 1.83

0.26 0.23 0.49 1.63

0.31 0.23 0.46 1.55

0.47 0.33 0.52 1.50

0.66 0.47 0.61 1.51

0.89 0.64 0.72 1.56

1.31 0.92 0.88 1.71

Model LIBOR Yield Curve Assumptions - 11/06/2020

7.50

5.00

2.50

0.00

1 Month 3 Month 6 Month

1 Year

2 Year

3 Year

5 Year

7 Year

10 Year

30 Year

Up 400BP 24M Up 200BP

Base

Down 100BP

SCENARIOS

1 MONTH 3 MONTH 6 MONTH 1 YEAR 2 YEAR 3 YEAR 5 YEAR 7 YEAR

10 YEAR

30 YEAR

UP 400BP 24M

4.13 2.13 0.13 0.13

4.21 2.21 0.21 0.21

4.24 2.24 0.24 0.24

4.21 2.21 0.21 0.21

4.24 2.24 0.24 0.24

4.28 2.28 0.28 0.25

4.42 2.42 0.42 0.25

4.61 2.61 0.61 0.25

4.84 2.84 0.84 0.25

5.27 3.27 1.27 0.27

UP 200BP

BASE

DOWN 100BP

Cloyd Bank & Trust - Page 29