CMS Case Study

Executive Risk Summary - 9/30/2020

LIQUIDITY: LOW RISK

BASIC SURPLUS Tier 1 Basic Surplus Tier 2 Basic Surplus Tier 3 Basic Surplus

POLICY SEP20 JUN20 MAR20 DEC19 SEP19 OTHER LIQUIDITY MEASURES

POLICY SEP20 JUN20 MAR20 DEC19 SEP19

9.4 9.9

2.9 0.0 2.9

0.0 4.0 8.0

11.3 12.3

8.6 9.5

7.1 7.4 Borrowings / Assets (Max.) 7.9 7.4 Brokered Deposits / Assets (Max.)

15.0 15.0 20.0

2.9 0.0 2.9

3.3 0.0 3.3

1.8 0.0 1.8

1.8 0.0 1.8

24.9

27.3 24.5 22.9 22.4 Total Wholesale Funds / Assets (Max.)

70.5 58.6

Net Loans / Deposits Net Loans / Assets

100.0 85.0

68.8 70.9 74.3 73.8 58.0 59.9 63.3 63.4

INTEREST RATE RISK: LOW-MODERATE RISK

EARNINGS AT RISK RAMP SCENARIOS YEAR 1 NII % ∆ FROM YEAR 1 BASE

POLICY SEP20 JUN20 MAR20 DEC19 SEP19 YEAR 2 NII % ∆ FROM YEAR 1 BASE

POLICY SEP20 JUN20 MAR20 DEC19 SEP19

3.4 1.8 2.2 3.0 $19 -0.6

4.5 -0.4 0.1 3.4 -6.2 -8.2 22.4 16.7 10.2 3.3 -9.1

Up 400BP 24M Yield Curve Twist Up 200BP 24M

3.8 2.2 2.4 3.4

1.0 -0.5 -0.3 Up 400BP 24M

7.2 -0.3 -3.6 -3.7 2.5 -0.8 -2.0 -2.2 2.5 -0.8 -2.5 -2.5 -4.0 -3.6 -2.8 -2.7 -4.9 -2.2 -7.2 -7.1 5.8 1.4 -1.5 -1.7

1.8 1.3

0.4 0.4 Yield Curve Twist 0.0 0.2 Up 200BP 24M

Up 200BP

-15.0

0.9 -0.6 -0.3 Up 200BP

-15.0

Base ($ MILLIONS)

$19 $18 $18 $17 Base

Down 100BP

-15.0

0.0

0.9 -0.8 -1.0 Down 100BP

-15.0

EARNINGS AT RISK SHOCK SCENARIOS Shock Up 400BP

16.5 13.2

-20.0 -15.0 -10.0 -5.0 -5.0

16.8 13.4

7.3 -0.4 1.6 Shock Up 400BP 0.1 1.7 Shock Up 300BP 0.6 1.7 Shock Up 200BP 0.5 1.3 Shock Up 100BP 0.5 -3.5 -3.6 Shock Down 100BP 6.2 4.9 3.4

-25.0 -20.0 -15.0 -10.0 -10.0

24.6 14.3 18.7 11.1

6.5 4.8 2.9 0.6

5.7 4.3 2.7 0.8

Shock Up 300BP Shock Up 200BP Shock Up 100BP Shock Down 100BP

9.4 5.3

9.6 5.6

12.3

7.6 3.6

5.4

-2.3

-0.8

-5.5 -3.5 -10.9 -10.6

ECONOMIC VALUE OF EQUITY SHOCK SCENARIOS EVE % ∆ FROM 0 SHOCK

POLICY SEP20 JUN20 MAR20 DEC19 SEP19 POST SHOCK EVE RATIO

POLICY SEP20 JUN20 MAR20 DEC19 SEP19

24.6 23.8 20.7 14.1

9.2 9.0 8.6 7.9 6.8 5.3

+400BP +300BP +200BP +100BP 0 Shock -100BP

-40.0 -30.0 -20.0 -10.0

23.2 22.7 20.0 13.9

2.0 -13.0 -6.4 +400BP 6.0 -7.4 -1.9 +300BP 8.3 -2.5 1.6 +200BP

6.0 6.0 6.0 6.0

8.8 8.6 8.2 7.7 6.6 4.8

8.6 8.7 8.7 8.5 7.7 6.1

9.1 9.4 9.7 9.8 9.5 8.5

9.5 9.7 9.8 9.7 9.2 8.1

8.3 0.0

1.1 3.4 +100BP 0.0 0.0 0 Shock

0.0

0.0

-22.2

-10.0

-26.5 -19.8 -8.4 -10.3 -100BP

6.0

CAPITAL: LOW RISK

POLICY SEP20 JUN20 MAR20 DEC19 SEP19

POLICY SEP20 JUN20 MAR20 DEC19 SEP19

9.00 N/A

N/A N/A

Tier 1 Leverage Ratio

8.00

9.21 9.46 9.87 9.99 Tier 1 Capital Ratio Risk Based N/A N/A 13.64 14.10 Total Capital Ratio Risk Based

N/A N/A 13.64 14.10 N/A N/A 14.89 15.17

Tier 1 Common Capital (CET1) Risk Based

0.00

Based on stated policy

For info purposes only. Not based on stated policy.

RISK ASSESSMENTS

LOW-MODERATE

MODERATE

MODERATE-HIGH

HIGH

RISK LEGEND

1. Borrowings / Assets and Total Wholesale Funds / Assets ratios do not include Retail Repurchase Agreements or Sweeps. 2. Net Loans / Assets and Net Loans / Deposits policies are representing the maximum allowable percentage (both policies have a 60% minimum). 3. Tier 1 Leverage Ratio is based upon schedule RC-R of the Call Report. As of 3/31/2020, the Bank is only required to report the Tier 1 Leverage Ratio per the CBLR framework.

Cloyd Bank & Trust - Page 5