CMS Case Study

2 Year Net Interest Income (NII) Simulation - 12M Ramps - 12/31/2020

Base Simulation as of 12/31/2020

Base Simulation as of 09/30/2020

Monthly Net Interest Income (NII) Projections

Monthly Net Interest Income (NII) Projections

1,850

YEAR 1

YEAR 2

YEAR 1

YEAR 2

1,725

1,600

1,475

1,350

1,225

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 12/31/2020 UP 200BP

19,702 18,789

914 4.9%

19,997 1,208 6.4% 17,151 -1,638 -8.7% 16,629 -2,160 -11.5%

39,700 3,760 10.5%

35,940

BASE

DOWN 100BP

18,619 -169 -0.9%

35,249 -691 -1.9%

Base Simulation as of 09/30/2020 UP 200BP

19,285 18,727

558 3.0%

19,355

628 3.4%

38,639 2,353 6.5%

17,560 -1,167 -6.2% 17,200 -1,527 -8.2%

36,287

BASE

DOWN 100BP

18,608 -119 -0.6%

35,808 -479 -1.3%

Difference UP 200BP

418

1.9%

642

3.1% -2.5% -3.3%

1,060 -347 -559

4.0%

62 12

-409 -571

BASE

DOWN 100BP -0.6% 1. This quarter's NII model includes $26.6MM of PPP loans of which 85% will be forgiven in Q1/Q2 2021, with the remaining 15% amortized off evenly over the following 12 months. Accordingly, 100% of PPP loan cash flows are assumed to be parked in short-term cash (@ 0.10%). 2. The NII model also includes PPP fee income totaling $673K (following the same schedule as PPP forgiveness). -0.3%

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