CMS Case Study

Stress Test: Alternative Non-Maturity Deposit Betas - 9/30/2020

Stress Test: Alternative Non-Maturity Deposit Betas

Base Simulation as of 09/30/2020

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

7,500

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

6,575

5,650

4,725

3,800

2,875

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

18,843 18,072 18,813 21,224 23,493 18,756 18,378 18,640 19,433 20,168 18,727 17,560 16,316 15,698 15,266

-529 -1,506 -1,953 -1,955 -1,952 19,372 19,577 20,767 23,178 25,445 -529 -977 -977 -977 -976 19,285 19,355 19,617 20,411 21,144

UP 200BP

0

0

0

0

0 18,727 17,560 16,316 15,698 15,266

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. 3. Please refer to the Stress Test Methodology page for additional documentation.

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