CMS Case Study

Cloyd Bank & Trust - 12/31/2021

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Section I ‐ Executive Summary Current Position Assessment

Section IV ‐ Strategy Development Strategy Formulation Summary of Potential Strategies

4 5 6 7 8 9

34 35 38 39

Executive Risk Summary

Balance Sheet Mix

Year 1 Investment Cashflow into Loans

Historical Balance Sheet & NII Inventory of Liquidity Resources

Index MMDA to Prime

50BP Increase in Short Term Market Rates ﴾With Prime Indexed MMDA﴿ Index MMDA to Prime & Year 1 Investment Cashflow into Loans

40

Capital Analysis

41

Section II ‐ Liquidity & Cash Flow Analysis Basic Surplus Report

50BP Increase in Short Term Market Rates

42 43

11 12 13 14 15 16 17 19 20 21 22 23 24 25 26 27 28 29 30 31

50BP Increase in Short Term Market Rates & Deposit Rates

Liquidity Projection Investment Cash Flows

Section V ‐ Stress Test Analysis

Loan Cash Flows

Alternative EVE Stress Methodology

45

Wholesale Funding Maturities

Stress Test: EVE ‐ 50% Decreased Average Life on Non‐ Maturity Deposits Stress Test: EVE ‐ Remove Functional Costs on Deposits

Time Deposit Migration

46

Deposit Pricing & Activity Analysis

47

Section III ‐ Interest Rate Risk 2 Year Net Interest Income ﴾NII﴿ Simulation ‐ 12M Ramps

Appendix

Derivatives Market Indications

49 51 52 53 55 61 62 63 64 65 68

5 Year NII Simulation ‐ 12M Ramps

Market Rate Summary

5 Year NII Simulation ‐ 12M Ramps YOY Comparison 5 Year NII Simulation ‐ Alt. Ramp Scenarios 5 Year NII Simulation ‐ Alt. Ramp Scenarios Cont. 5 Year NII Simulation ‐ Rising & Falling Rate Ramp Scenarios

NII Reconciliation

Summary of Simulation Assumption Methodologies

Summary of Rates

Loan Cap Report 3m Comparison Loan Cap Report 12m Comparison Loan Floor Report 3m Comparison Loan Floor Report 12m Comparison Detailed Simulation Assumptions

5 Year NII Simulation ‐ Parallel Shock Scenarios 2 Year Net Income ﴾NI﴿ Simulation ‐ 12M Ramps

Yield Curve Assumptions

Economic Value of Equity ﴾EVE﴿ Summary Graphs and Charts

Core Funding Utilization

Balance Sheet Comparison

Funding Matrix

Static Gap

Disclaimer The information contained herein consists of data supplied by various third parties, and by the institution itself. While Darling Consulting Group ﴾DCG﴿ obtains the data from sources we believe to be reliable, we do not guarantee its accuracy. It is the responsibility of the user to independently verify all information contained in the report.