CMS Case Study

Stress Test: Alternative Non-Maturity Deposit Betas - 9/30/2021

Stress Test: Alternative Non-Maturity Deposit Betas

Base Simulation as of 09/30/2021

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

8,300

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,125

5,950

4,775

3,600

2,425

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

Up 400BP 24M Up 200BP

Base

Up 400BP 24M Up 200BP

Base

NII RESULTS

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

UP 400BP 24M

19,588 15,497 15,586 18,557 21,190 -1,664 -4,729 -6,138 -6,130 -6,134 21,252 20,227 21,724 24,687 27,324 19,508 17,736 18,829 20,088 21,254 -1,664 -3,069 -3,071 -3,067 -3,069 21,172 20,805 21,900 23,154 24,323

UP 200BP

21,498 20,401 19,800 19,416 19,297

-1

-1

-1

-1

-1 21,499 20,401 19,800 19,416 19,297

BASE

DIFFERENCE 1. In the Up 200bps and Up 400bps scenarios, the rate sensitivity of interest bearing non-maturity deposit betas is doubled. 2. Rate betas are capped at the full market move. Note, NOW Prime Accounts increase by 100bps (assumed 25% beta which is then doubled for this stress). 3. Please refer to the Stress Test Methodology page for additional documentation.

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