CMS Case Study

5 Year NII Simulation - Parallel Shock Scenarios - 3/31/2021

Base Simulation as of 03/31/2021

Base Simulation as of 12/31/2020

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

8,850

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,525

6,200

4,875

3,550

2,225

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

Shock Up 400BP

Shock Up 300BP

Shock Up 200BP

Shock Up 400BP

Shock Up 300BP

Shock Up 200BP

Shock Up 100BP

Base

Shock Down 100BP

Shock Up 100BP

Base

Shock Down 100BP

NII RESULTS

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

SHOCK UP 400BP SHOCK UP 300BP SHOCK UP 200BP SHOCK UP 100BP

22,086 23,057 24,696 26,325 27,747 -1,796 -2,134 -2,009 -1,882 -1,853 23,882 25,192 26,705 28,207 29,600 21,618 22,019 23,121 24,223 25,231 -1,116 -1,390 -1,286 -1,164 -1,107 22,734 23,409 24,408 25,387 26,338

21,113 20,925 21,487 22,047 22,639 20,597 19,794 19,741 19,729 19,868 19,980 18,312 17,513 16,855 16,557

-400 -609 -508 -402 -318 21,513 21,534 21,995 22,448 22,957

328

204

296

401

515 20,269 19,590 19,445 19,328 19,353

1,191 1,161 1,196 1,224 1,315 18,789 17,151 16,317 15,631 15,242

BASE

SHOCK DOWN 100BP

19,405 17,238 16,170 15,343 14,928

1,168

876

784

726

734 18,237 16,362 15,386 14,616 14,194

DIFFERENCE

Cloyd Bank & Trust - Page 26