CMS Case Study
Investment Cash Flows - 12/31/2021
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5 CASH FLOW
275MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
3,000
0 5,000 16,000
220MM
MBS & CMO'S MUNICIPALS
10,339 9,467 8,796 7,443
6,420 6,950 7,414 6,936 28,255 27,842 27,535 212,571
165MM
1,805
0 525 67 1,014
0
900 263
0
240 255
755 311
2,390 2,760 4,810 26,000
110MM
OTHER INVESTMENTS
278
316
66
620
591 2,814 9,223
55MM
TOTAL
12,423 9,534 10,336 7,760 7,583 7,016 7,909 8,002 34,265 31,193 40,159 263,793 12,423 21,957 32,292 40,052 47,635 54,651 62,560 70,561 104,826 136,019 176,178 439,971 -935 -3,066 -6,922 -10,655 -15,417 -19,259 -24,912 -28,077 -43,225 -51,483 -51,973 0
0
CUMULATIVE
UP 200BP RATE SCENARIO
Y1
Y2
Y3
Y4
Y5
>Y5
CML Δ FROM BASE
>Y5 CASH FLOW
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
275MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
3,000
0 5,000 16,000
220MM
MBS & CMO'S
10,674 11,598 11,872 10,432
9,352 10,792 11,372 10,100 38,683 33,840 30,365 170,887
165MM
MUNICIPALS
2,405
0 1,305
745
2,730
0 1,935
755
7,110 5,020 2,470 15,710
110MM
OTHER INVESTMENTS
278
67 1,014
316
263
66
255
311
620
591 2,814 9,223
55MM
0
TOTAL
13,358 11,665 14,191 11,493 12,345 10,858 13,563 11,166 49,413 39,451 40,649 211,820
BASE RATE SCENARIO
Y1
Y2
Y3
Y4
Y5
>Y5
CUMULATIVE
13,358 25,023 39,214 50,707 63,052 73,909 87,472 98,638 148,051 187,502 228,151 439,971
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5 CASH FLOW
275MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
3,000
0 5,000 16,000
220MM
MBS & CMO'S MUNICIPALS
10,910 14,964 21,756 26,301 29,367 30,232 24,566 18,056 45,554 28,296 21,698 88,267
165MM
2,405
0 1,305 67 1,014
745 316
2,730
0 1,935
755 311
7,110 5,020 2,470 15,710
110MM
OTHER INVESTMENTS
278
263
66
255
620
591 2,814 9,223
55MM
TOTAL
13,594 15,031 24,075 27,363 32,360 30,298 26,756 19,122 56,284 33,907 31,982 129,200 13,594 28,625 52,700 80,063 112,423 142,721 169,477 188,599 244,882 278,789 310,772 439,971 236 3,602 13,486 29,356 49,371 68,812 82,005 89,960 96,831 91,287 82,621 0
0
CUMULATIVE
Y1
Y2
Y3
Y4
Y5
DOWN 100BP RATE SCENARIO
>Y5
CML Δ FROM BASE
Cloyd Bank & Trust - Page 13
Made with FlippingBook PDF to HTML5