CMS Case Study

2 Year Net Interest Income (NII) Simulation - 12M Ramps - 12/31/2021

Base Simulation as of 12/31/2021

Base Simulation as of 09/30/2021

Monthly Net Interest Income (NII) Projections

Monthly Net Interest Income (NII) Projections

2,200

YEAR 1

YEAR 2

YEAR 1

YEAR 2

2,025

1,850

1,675

1,500

1,325

M1 M2 M3 M4 M5 M6 M7 M8 M9

M1 M2 M3 M4 M5 M6 M7 M8 M9

M1 M2 M3 M4 M5 M6 M7 M8 M9

M1 M2 M3 M4 M5 M6 M7 M8 M9

M10

M11

M12

M10

M11

M12

M10

M11

M12

M10

M11

M12

Up 200BP

Base

Down 100BP

Up 200BP

Base

Down 100BP

NII RESULTS

Y1

Y2

2Y CML

NII

$Δ %Δ

NII

$Δ %Δ

NII

$Δ %Δ

Base Simulation as of 12/31/2021 UP 200BP

22,243 -952 -4.1%

22,206 -990 -4.3% 23,003 -193 -0.8% 20,959 -2,237 -9.6% 20,805 -694 -3.2% 20,401 -1,097 -5.1% 18,626 -2,873 -13.4%

44,449 -1,749 -3.8%

23,196

46,198

BASE

DOWN 100BP

22,662 -533 -2.3%

43,621 -2,577 -5.6%

Base Simulation as of 09/30/2021 UP 200BP

21,172 -327 -1.5%

41,976 41,900

76 0.2%

21,499

BASE

DOWN 100BP

21,012 -486 -2.3%

39,638 -2,262 -5.4%

Difference UP 200BP

1,072 1,697 1,650

-2.6%

1,401 2,601 2,333

-1.0% 4.3% 3.7%

2,473 4,298 3,983

-4.0%

BASE

DOWN 100BP

0.0%

-0.2%

1. This quarter's NII model includes $2.6MM of PPP loans of which 100% will be forgiven in Q1 2022, Accordingly, 100% of PPP loan cash flows are assumed to be parked in short-term cash (@ 0.15%). 2. The NII model also includes PPP fee income totaling $37K (following the same schedule as PPP forgiveness).

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