CMS Case Study

2 Year Net Interest Income (NII) Simulation - 12M Ramps - 9/30/2020

Base Simulation as of 09/30/2020

Base Simulation as of 06/30/2020

Monthly Net Interest Income (NII) Projections

Monthly Net Interest Income (NII) Projections

1,850

YEAR 1

YEAR 2

YEAR 1

YEAR 2

1,725

1,600

1,475

1,350

1,225

M1 M2 M3 M4 M5 M6 M7 M8 M9

M1 M2 M3 M4 M5 M6 M7 M8 M9

M1 M2 M3 M4 M5 M6 M7 M8 M9

M1 M2 M3 M4 M5 M6 M7 M8 M9

M10

M11

M12

M10

M11

M12

M10

M11

M12

M10

M11

M12

Up 200BP

Base

Down 100BP

Up 200BP

Base

Down 100BP

NII RESULTS

Y1

Y2

2Y CML

NII

$Δ %Δ

NII

$Δ %Δ

NII

$Δ %Δ

Base Simulation as of 09/30/2020 UP 200BP

19,285 18,727

558 3.0%

19,355

628 3.4%

38,639 2,353 6.5%

17,560 -1,167 -6.2% 17,200 -1,527 -8.2%

36,287

BASE

DOWN 100BP

18,608 -119 -0.6%

35,808 -479 -1.3%

Base Simulation as of 06/30/2020 UP 200BP

19,989 19,335 19,329

653 3.4%

20,453 1,118 5.8% 18,558 -778 -4.0% 18,382 -954 -4.9%

40,442 2,549 6.7%

37,893

BASE

DOWN 100BP

-6 0.0%

37,711 -182 -0.5%

Difference UP 200BP

-704 -608 -722

-0.4%

-1,099

-2.4% -2.2% -3.2%

-1,803 -1,606 -1,903

-0.2%

-998

BASE

DOWN 100BP -0.8% 1. This quarter's NII model includes $40.3MM of PPP loans of which 85% will be forgiven in Q4 2020 and Q1 2021 (evenly over each quarter), with the remaining 15% amortized off evenly over the following 15 months. Accordingly, 50% PPP loan cash flows are assumed to be parked in short-term cash (@ 0.10%) and 50% are assumed to roll off in tandem with DDA-PPP. 2. The NII model also includes PPP fee income totaling $1.26MM (60K/month over 21 months). -0.6% -1,181

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