CMS Case Study

Cloyd Bank & Trust as of 03/31/2021

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Section I ‐ Executive Summary Current Position Assessment

Section IV ‐ Strategy Development Strategy Formulation Summary of Potential Strategies

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35 36 39 40 41

Executive Risk Summary

Balance Sheet Mix

Sub Activity Removal Deposit Surge Runoff

Historical Balance Sheet & NII Inventory of Liquidity Resources

Loan Growth ﴾funded w/ Cash﴿

Capital Analysis

Section V ‐ Stress Test Analysis

Section II ‐ Liquidity & Cash Flow Analysis Basic Surplus Report

Option Risk Stress Methodology: Investment and Loan Portfolio Stress Test: Investment Prepayment Assumptions Stress Test: BKFS Prepayment Assumptions Stress Test: Non‐BKFS Prepayment Assumptions

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Liquidity Projection Investment Cash Flows

Loan Cash Flows

Combined Prepayment Stress Tests

Wholesale Funding Maturities

Time Deposit Migration

Appendix

Deposit Pricing & Activity Analysis

Derivatives Market Indications

49 51 52 53 55 61 62 63 64 65 69

Market Rate Summary

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

NII Reconciliation

Summary of Simulation Assumption Methodologies

5 Year NII Simulation ‐ 12M Ramps

Summary of Rates

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 5 Year NII Simulation ‐ Alt. Delayed Ramp Scenarios

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

Balance Sheet Comparison

Yield Curve Assumptions

Economic Value of Equity ﴾EVE﴿ Summary Graphs and Charts

Core Funding Utilization

Funding Matrix

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.

Static Gap