CMS Case Study

Derivatives Market Indications - 9/30/2021

Financial Institutions Group - Market Update

Friday, November 5, 2021

1m LIBOR Floor Pricing (% of Notional)

Estimated Cost to Cancel - 1M LIBOR Index - Modified Mortgage Amortization - Monthly Bermudan Options Cost Shown in Basis Points Running

Term

Strike

1

2

3

4

5

7

10

Years to Option

Bank Fee 30bps

0.00% 0.10% 0.25% 0.40% 0.50% 0.60% 0.75% 0.85% 1.00% 1.25% 1.50% 1.75% 2.00% 0.15% 0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50% 2.75% 3.00% Strike

0.03% 0.06% 0.15% 0.28% 0.45% 0.86% 1.60% 0.05% 0.11% 0.20% 0.35% 0.55% 1.01% 1.82% 0.14% 0.23% 0.36% 0.54% 0.77% 1.30% 2.23% 0.25% 0.39% 0.55% 0.77% 1.04% 1.65% 2.71% 0.34% 0.51% 0.70% 0.94% 1.23% 1.90% 3.03% 0.43% 0.65% 0.87% 1.15% 1.47% 2.20% 3.43% 0.57% 0.87% 1.15% 1.48% 1.86% 2.69% 4.07% 0.67% 1.03% 1.35% 1.72% 2.13% 3.03% 4.51% 0.81% 1.27% 1.66% 2.09% 2.56% 3.56% 5.19% 1.06% 1.71% 2.24% 2.80% 3.39% 4.61% 6.53% 1.31% 2.17% 2.86% 3.56% 4.28% 5.73% 7.97% 1.57% 2.64% 3.52% 4.39% 5.26% 6.98% 9.59% 1.82% 3.12% 4.20% 5.25% 6.28% 8.29% 11.28%

Amort

1m 1y

2y

Chatham 3bps

0.55% 0.17% 0.08% 0.59% 0.18% 0.09% 0.61% 0.18% 0.09% 0.62% 0.18% 0.09% 0.63% 0.19% 0.09%

10y

Dealer 2bps

15y

20y

3 Yr Swap 5 Yr Swap

25y

30y

Years to Option

Amort

1m 1y

2y

3y

4y

7y

8y

9y

10y

11y

0.63% 0.30% 0.21% 0.14% 0.06% 0.69% 0.34% 0.24% 0.16% 0.07% 0.73% 0.36% 0.25% 0.17% 0.08% 0.75% 0.37% 0.26% 0.17% 0.08% 0.76% 0.37% 0.27% 0.18% 0.08%

10y

15y

20y

25y

1m LIBOR Cap Pricing (% of Notional)

30y

Term

1

2

3

4

5

7

10

Years to Option

0.14% 0.89% 2.08% 3.44% 4.93% 8.23% 13.32% 0.78% 1.88% 3.17% 4.59% 7.75% 12.65% 0.11%

Amort

1m 1y

2y

3y

4y

5y

6y

0.69% 0.37% 0.28% 0.21% 0.14% 0.09% 0.04% 0.80% 0.45% 0.34% 0.27% 0.19% 0.12% 0.06% 0.85% 0.48% 0.37% 0.29% 0.21% 0.13% 0.06% 0.87% 0.50% 0.39% 0.30% 0.22% 0.14% 0.07% 0.89% 0.52% 0.40% 0.31% 0.22% 0.14% 0.07%

10y

0.05% 0.55% 1.47% 2.57% 3.81%

6.62% 11.04%

15y

0.03% 0.41% 1.16% 2.11% 3.19% 5.69% 9.66% 0.03% 0.30% 0.92% 1.72% 2.64% 4.84% 8.37% 0.03% 0.24% 0.74% 1.42% 2.23% 4.16% 7.31% 0.03% 0.19% 0.61% 1.18% 1.87% 3.56% 6.34% 0.03% 0.15% 0.51% 1.01% 1.61% 3.08% 5.55% 0.03% 0.13% 0.43% 0.86% 1.38% 2.67% 4.83% 0.03% 0.11% 0.37% 0.75% 1.21% 2.35% 4.27% 0.03% 0.09% 0.33% 0.66% 1.06% 2.07% 3.76% 0.03% 0.08% 0.29% 0.59% 0.95% 1.85% 3.35% 0.03% 0.07% 0.26% 0.53% 0.85% 1.65% 3.00%

20y

25y 7 Yr Swap 10 Yr Swap 30y

Years to Option

Amort

1m 1y

2y

3y

4y

5y

6y

7y

8y

9y

10y 0.67% 0.38% 0.29% 0.23% 0.17% 0.12% 0.08% 0.05% 0.02% 0.01% 15y 0.87% 0.54% 0.44% 0.37% 0.30% 0.24% 0.18% 0.13% 0.08% 0.04% 20y 0.95% 0.62% 0.51% 0.42% 0.35% 0.28% 0.21% 0.16% 0.10% 0.05% 25y 1.00% 0.66% 0.54% 0.46% 0.38% 0.30% 0.23% 0.17% 0.11% 0.05% 30y 1.03% 0.68% 0.56% 0.47% 0.39% 0.32% 0.25% 0.18% 0.12% 0.06%

1m LIBOR Structures - monthly resets/payments, ACT/360.

*Indications reflect pricing based on a $10million notional amount. All caps/floors are subject to a transaction cost; for certain caps/floors this cost may be greater than the economic value of the option. Please call for refined price indications. Transactions in over-the- counter derivatives (or “swaps”)have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. Mortgage Amortization Rate is 5% Options pricing for out-of-the money strikes assumes an estimate of dealer minimum transaction fees.

Years to Option

Amort

1m 1y

2y

3y

4y

5y

6y

7y

8y

9y

20y 0.94% 0.67% 0.58% 0.51% 0.44% 0.39% 0.34% 0.29% 0.24% 0.21% 25y 1.10% 0.81% 0.72% 0.65% 0.58% 0.52% 0.46% 0.41% 0.36% 0.32% 30y 1.19% 0.90% 0.80% 0.72% 0.65% 0.59% 0.53% 0.47% 0.42% 0.38% 20 Yr Swap

Proprietary & Confidential

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