CMS Case Study

Yield Curve Assumptions - 9/30/2021

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

11/05/2021

06/30/2021

03/31/2021

09/30/2020

HISTORICAL RATES

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

10 YEAR

30 YEAR

11/05/2021 06/30/2021 03/31/2021 09/30/2020

0.09 0.10 0.11 0.15

0.14 0.15 0.19 0.23

0.22 0.16 0.21 0.26

0.28 0.18 0.22 0.22

0.60 0.33 0.29 0.22

0.86 0.57 0.51 0.24

1.15 0.96 1.06 0.35

1.33 1.22 1.45 0.50

1.48 1.44 1.78 0.71

1.67 1.77 2.20 1.12

Model LIBOR Yield Curve Assumptions - 11/05/2021

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 Flat Up 200BP

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 FLAT UP 200BP

4.09 2.09 2.09 0.09 0.09

4.14 2.14 2.14 0.14 0.14

4.22 2.28 2.22 0.22 0.22

4.28 2.32 2.28 0.28 0.25

4.60 2.37 2.60 0.60 0.25

4.86 2.38 2.86 0.86 0.25

5.15 2.38 3.15 1.15 0.25

5.33 2.39 3.33 1.33 0.33

5.48 2.49 3.48 1.48 0.48

5.67 2.47 3.67 1.67 0.67

UP 200BP

BASE

DOWN 100BP

Cloyd Bank & Trust - Page 28