CMS Case Study

Cloyd Bank & Trust as of 9/30/2020

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Section I ‐ Executive Summary Current Position Assessment

Section IV ‐ Strategy Development Strategy Formulation Summary of Potential Strategies

4 5 6 7 8 9

36 37

Executive Risk Summary

Balance Sheet Mix

Historical Balance Sheet & NII Inventory of Liquidity Resources

Section V ‐ Stress Test Analysis

Deposit Sensitivity Stress Methodology Stress Test: Non‐Maturity Deposit Migration Stress Test: Alternative Non‐Maturity Deposit Betas Stress Test: Alternative Time Deposit Sensitivity

41 42 43 44

Capital Analysis

Section II ‐ Liquidity & Cash Flow Analysis Basic Surplus Report

11 12 13 14 15 16 17 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33

Liquidity Projection Investment Cash Flows

Appendix

Derivatives Market Indications

46 48 49 50 52 58 59 60 61 62 65

Loan Cash Flows

Market Rate Summary

Wholesale Funding Maturities

NII Reconciliation

Time Deposit Migration

Summary of Simulation Assumption Methodologies

Deposit Pricing & Activity Analysis

Summary of Rates

Loan Cap Report 3m Comparison Loan Cap Report 12m Comparison Loan Floor Report 3m Comparison Loan Floor Report 12m Comparison Detailed Simulation Assumptions

Section III ‐ Interest Rate Risk 2 Year Net Interest Income ﴾NII﴿ Simulation ‐ 12M Ramps

5 Year NII Simulation ‐ 12M Ramps

5 Year NII Simulation ‐ 12M Ramps YOY Comparison 5 Year NII Simulation ‐ Alt. Ramp Scenarios 5 Year NII Simulation ‐ Alt. Ramp Scenarios Cont. 5 Year NII Simulation ‐ Rising & Falling Rate Ramp Scenarios 5 Year NII Simulation ‐ Alt. Delayed Ramp Scenarios

Balance Sheet Comparison

5 Year NII Simulation ‐ Parallel Shock Scenarios 2 Year Net Income ﴾NI﴿ Simulation ‐ 12M Ramps

Yield Curve Twist Assumptions

Yield Curve Assumptions

Economic Value of Equity ﴾EVE﴿ Summary Graphs and Charts

Core Funding Utilization

Disclaimer The information contained herein consists of data supplied by various third parties, and by the institution itself. While Darling Consulting Group ﴾DCG﴿ obtains the data from sources we believe to be reliable, we do not guarantee its accuracy. It is the responsibility of the user to independently verify all information contained in the report.

Funding Matrix

Static Gap