CMS Case Study

Executive Risk Summary - 3/31/2021

LIQUIDITY: LOW RISK

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

POLICY MAR21 DEC20 SEP20 JUN20MAR20 OTHER LIQUIDITY MEASURES

POLICY MAR21 DEC20 SEP20 JUN20 MAR20

18.2 19.4 34.4

2.5 0.0 2.5

0.0 4.0 8.0

13.4 14.4 9.4 11.3 8.6 Borrowings / Assets (Max.) 9.9 12.3 9.5 Brokered Deposits / Assets (Max.) 29.4 24.9 27.3 24.5 Total Wholesale Funds / Assets (Max.)

15.0 15.0 20.0

2.8 0.0 2.8

2.9 0.0 2.9

2.9 0.0 2.9

3.3 0.0 3.3

58.5 50.2

Net Loans / Deposits Net Loans / Assets

100.0 85.0

66.9 70.5 68.8 70.9 56.4 58.6 58.0 59.9

INTEREST RATE RISK: LOW-MODERATE RISK

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

POLICY MAR21 DEC20 SEP20 JUN20MAR20 YEAR 2 NII % ∆ FROM YEAR 1 BASE

POLICY MAR21 DEC20 SEP20 JUN20 MAR20

3.3 2.6 2.0 3.0 $20 -1.2

3.2 0.8

Up 400BP 24M Flat Up 200BP Up 200BP 24M

5.3

3.4

3.8 1.0 Up 400BP 24M

9.7

4.5

7.2 -0.3

Flat Up 200BP

-1.7 1.6 -8.3

3.1 4.9

2.2 3.0

2.4 1.3 Up 200BP 24M 3.4 0.9 Up 200BP

1.5 6.4

0.1 3.4

2.5 -0.8

Up 200BP

-15.0

-15.0

5.8

1.4

Base ($ MILLIONS)

$19 $19 $19 $18 Base

-8.7 -6.2 -4.0 -3.6 -11.5 -8.2 -4.9 -2.2

-12.9

Down 100BP

-15.0

-0.9 -0.6

0.0 0.9 Down 100BP

-15.0

EARNINGS AT RISK SHOCK SCENARIOS Shock Up 400BP

10.5

15.4 10.2 4.7 -0.9 -13.7

-20.0 -15.0 -10.0 -5.0 -5.0

27.1 16.5 16.8 7.3 Shock Up 400BP 21.0 13.2 13.4 6.2 Shock Up 300BP

-25.0 -20.0 -15.0 -10.0 -10.0

34.1 22.4 24.6 14.3 24.6 16.7 18.7 11.1

8.2 5.7 3.1

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

14.5

9.4 5.3

9.6 4.9 Shock Up 200BP 5.6 3.4 Shock Up 100BP

14.6 10.2 12.3

7.6 3.6

7.9

4.3

3.3

5.4

-2.9

-2.9 -2.3 -0.8 0.5 Shock Down 100BP

-12.9 -9.1 -5.5 -3.5

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

POLICY MAR21 DEC20 SEP20 JUN20MAR20 POST SHOCK EVE RATIO

POLICY MAR21 DEC20 SEP20 JUN20 MAR20

10.5 10.1

8.6 8.4 8.1 7.8 7.1 5.7

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

-40.0 -30.0 -20.0 -10.0

30.3 24.6 23.2 2.0 +400BP 27.1 23.8 22.7 6.0 +300BP 22.2 20.7 20.0 8.3 +200BP 14.4 14.1 13.9 8.3 +100BP

6.0 6.0 6.0 6.0

9.2 8.8 8.3 7.6 6.5 4.9

9.2 9.0 8.6 7.9 6.8 5.3

8.8 8.6 8.2 7.7 6.6 4.8

8.6 8.7 8.7 8.5 7.7 6.1

8.9 6.9 0.0

0.0

0.0

0.0 0.0 0 Shock

-19.2

-10.0

-23.7 -22.2 -26.5 -19.8 -100BP

6.0

CAPITAL: LOW-MODERATE RISK

POLICY MAR21 DEC20 SEP20 JUN20MAR20

POLICY MAR21 DEC20 SEP20 JUN20 MAR20

8.51 14.70

14.70 15.95

Tier 1 Leverage Ratio

8.00

9.00 9.00 9.21 9.46 Tier 1 Capital Ratio Risk Based 14.41 14.92 14.54 13.40 Total Capital Ratio Risk Based

14.41 14.92 14.54 13.40 15.66 16.17 15.79 14.65

Tier 1 Common Capital (CET1) Risk Based

12.50

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).

Cloyd Bank & Trust - Page 5