CMS Case Study

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Derivatives Market Indications - 9/30/2020

Financial Institutions Group - Market Update

Friday, November 13, 2020

90 Day History - 5 Year Swap (1m LIBOR)

Index Rates

Treasury Rates

Fed Funds Swap Rates

Term

Rate

Term

Rate

Term

Rate

1m LIBOR 3m LIBOR 6m LIBOR 12m LIBOR

0.136% 3Month Bill 0.222% 6Month Bill 0.246% 2 Year Note 0.339% 3 Year Note 3.250% 5 Year Note

0.08% 1 Year 0.09% 2 Year 0.18% 3 Year 0.23% 4 Year 0.41% 5 Year

0.07% 0.08% 0.11% 0.17% 0.25% 0.44% 0.67%

0.35%

0.25%

Prime

Eff. Fed Funds 0.090% 10 Year Note 0.90% 7 Year

SOFR Rate

0.090% 30 Year Bond 1.65% 10 Year

8/14

8/21

8/28

9/4

9/11

9/18

9/25

10/2

10/9

10/16

10/23

10/30

11/6

11/13

1m LIBOR Swap Rates

3m LIBOR Swap Rates

PRIME Swap Rates

Amortization Period

Term Bullet

1 2 3 4 5 7

0.16% 0.16% 0.16% 0.16% 0.16% 0.16% 0.17% 0.17% 0.17% 0.17% 0.17% 0.17% 0.21% 0.20% 0.20% 0.21% 0.21% 0.21% 0.27% 0.25% 0.26% 0.26% 0.26% 0.26% 0.35% 0.32% 0.33% 0.34% 0.34% 0.34% 0.53% 0.44% 0.48% 0.50% 0.51% 0.52% 0.76% 0.50% 0.65% 0.70% 0.72% 0.73%

1 2 3 4 5 7

0.22% 0.22% 0.22% 0.22% 0.22% 0.22% 0.26% 0.26% 0.26% 0.26% 0.26% 0.26% 0.31% 0.30% 0.30% 0.30% 0.30% 0.30% 0.37% 0.36% 0.36% 0.37% 0.37% 0.37% 0.46% 0.42% 0.44% 0.45% 0.45% 0.45% 0.64% 0.55% 0.60% 0.62% 0.63% 0.63% 0.88% 0.62% 0.77% 0.82% 0.84% 0.85%

1 2 3 4 5 7

3.26% 3.26% 3.26% 3.26% 3.26% 3.26% 3.26% 3.26% 3.26% 3.26% 3.26% 3.26% 3.29% 3.28% 3.28% 3.28% 3.28% 3.29% 3.34% 3.33% 3.33% 3.33% 3.33% 3.33% 3.41% 3.39% 3.40% 3.40% 3.41% 3.41% 3.59% 3.51% 3.55% 3.57% 3.57% 3.58% 3.80% 3.56% 3.70% 3.75% 3.77% 3.78%

10 11 12 13 14 15 20 25 30

0.81% 0.87% 0.91% 0.95% 0.98% 1.10% 1.14% 1.16%

0.68% 0.74% 0.77% 0.78% 0.71% 0.78% 0.81% 0.83% 0.72% 0.81% 0.85% 0.87% 0.72% 0.83% 0.88% 0.90% 0.71% 0.85% 0.90% 0.93%

0.94% 0.99% 1.03% 1.07% 1.11% 1.22% 1.27% 1.29%

0.80% 0.86% 0.89% 0.90% 0.83% 0.90% 0.93% 0.95% 0.84% 0.93% 0.97% 0.99% 0.85% 0.96% 1.00% 1.03% 0.84% 0.84% 1.03% 1.06%

3.86% 3.90% 3.94% 3.98% 4.01% 4.11% 4.16% 4.17%

3.73% 3.79% 3.81% 3.83% 3.76% 3.82% 3.85% 3.87% 3.77% 3.85% 3.89% 3.91% 3.77% 3.87% 3.91% 3.94% 3.76% 3.89% 3.94% 3.96%

0.86% 0.97% 1.02%

0.98% 1.09% 1.14%

3.89% 4.00% 4.04%

0.95% 1.03%

1.08% 1.16%

3.98% 4.06%

1.01%

1.14%

4.03%

Forward Starting 3m LIBOR Swaps

Forward Starting PRIME Swaps

Forward Starting 1m LIBOR Swaps

Forward Period

Term

3m 6m 9m 12m 24m 36m 0.23% 0.25% 0.28% 0.31% 0.41% 0.59% 0.28% 0.30% 0.33% 0.36% 0.50% 0.71% 0.34% 0.36% 0.40% 0.44% 0.61% 0.82% 0.41% 0.45% 0.49% 0.53% 0.72% 0.92% 0.51% 0.55% 0.59% 0.64% 0.82% 1.00% 0.70% 0.73% 0.78% 0.82% 0.98% 1.14% 0.92% 0.95% 0.99% 1.02% 1.15% 1.27%

3m 6m 9m 12m 24m 36m 3.26% 3.26% 3.25% 3.26% 3.34% 3.48% 3.26% 3.27% 3.28% 3.30% 3.41% 3.60% 3.30% 3.31% 3.33% 3.36% 3.51% 3.72% 3.36% 3.38% 3.41% 3.45% 3.62% 3.82% 3.44% 3.48% 3.51% 3.55% 3.72% 3.90% 3.62% 3.66% 3.69% 3.73% 3.88% 4.03% 3.83% 3.86% 3.89% 3.91% 4.03% 4.15%

3m 6m 9m 12m 24m 36m 0.16% 0.17% 0.18% 0.19% 0.27% 0.44% 0.18% 0.19% 0.21% 0.23% 0.36% 0.56% 0.23% 0.24% 0.27% 0.30% 0.46% 0.67% 0.29% 0.32% 0.35% 0.39% 0.57% 0.77% 0.38% 0.41% 0.45% 0.49% 0.67% 0.86% 0.56% 0.60% 0.64% 0.68% 0.84% 1.00% 0.79% 0.82% 0.85% 0.88% 1.01% 1.13%

1 2 3 4 5 7

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

3m LIBOR Structures – quarterly resets/payments, ACT/360

PRIME Structures – Daily weighted average reset, monthly payments, ACT/360

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