CMS Case Study

Stress Test: Investment Prepayment Assumptions - 03/31/2021

Stress Test: Investment Prepayment Assumptions

Base Simulation as of 03/31/2021

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

8,175

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,025

5,875

4,725

3,575

2,425

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

Up 400BP 24M Up 200BP

Base

Down 100BP

Up 400BP 24M Up 200BP

Base

Down 100BP

NII RESULTS

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

Y1

Y2

Y3

Y4

Y5

UP 400BP 24M

20,727 20,710 22,595 25,045 27,245 20,675 20,418 21,193 22,022 22,827 19,423 17,850 17,131 16,558 16,331 19,264 16,780 15,657 14,803 14,366

82 95

91

16 72

-60 -130 20,645 20,619 22,579 25,105 27,375 -22 20,580 20,298 21,120 22,001 22,850 21

UP 200BP

120

-557 -462 -382 -297 -227 19,980 18,312 17,513 16,855 16,557 -470 -622 -453 -336 -257 19,734 17,402 16,110 15,139 14,623 DIFFERENCE

BASE

DOWN 100BP

1. In the Base and Down 100bps scenarios, projected investment prepayment speeds (MBS and CMO) are increased. 2. In all rising rate scenarios, projected investment prepayment speeds (MBS and CMO) are slowed. 3. Please refer to the Stress Test Methodologies page for additional documentation.

Cloyd Bank & Trust - Page 44