CMS Case Study

Combined Prepayment Stress Tests - 03/31/2021

Combined Prepayment Stress Tests

Base Simulation as of 03/31/2021

Quarterly Net Interest Income (NII) Projections

Quarterly Net Interest Income (NII) Projections

8,200

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

YEAR 1

YEAR 2

YEAR 3

YEAR 4

YEAR 5

7,025

5,850

4,675

3,500

2,325

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

20,746 20,622 22,281 24,573 26,776 20,694 20,365 21,055 21,813 22,624 19,225 17,480 16,745 16,267 16,116 18,993 16,114 14,960 14,314 14,041

101 114 2 -297 -532 -599 20,645 20,619 22,579 25,105 27,375 -65 -188 -226 20,580 20,298 21,120 22,001 22,850 -755 -832 -769 -588 -441 19,980 18,312 17,513 16,855 16,557 -741 -1,288 -1,150 -825 -582 19,734 17,402 16,110 15,139 14,623 DIFFERENCE 67

UP 200BP

BASE

DOWN 100BP

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

Cloyd Bank & Trust - Page 47