CMS Case Study
Investment Cash Flows - 12/31/2020
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5 CASH FLOW
70MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
0
0
0
0
56MM
MBS & CMO'S MUNICIPALS
8,850 6,906 4,362 3,193
2,595 2,767 2,903 2,570
9,774 1,700
8,747 5,170
7,726 41,461 2,450 21,915
42MM
440
0
0
705 245
905 127
0 0
0
0
28MM
OTHER INVESTMENTS
134 980 2,595
868
250
483
227
215
4,389
14MM
TOTAL
9,424 7,886 6,957 4,143 3,627 2,767 3,771 2,820 11,957 14,143 10,391 67,765 9,424 17,310 24,267 28,410 32,038 34,804 38,575 41,395 53,352 67,496 77,887 145,652 -228 -2,439 -6,727 -10,057 -13,763 -16,004 -18,900 -20,735 -26,623 -28,773 -30,452 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
70MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
0
0
0
0
56MM
MBS & CMO'S
9,078 9,118 8,050 6,523
5,401 5,007 4,494 3,660 11,942
8,957
6,835 22,790
42MM
MUNICIPALS
440
0 600
705
1,805
0 1,305
745
5,420
7,110
5,020 10,135
28MM
OTHER INVESTMENTS
134 980 2,595
245
127
0
868
250
483
227
215
4,389
14MM
0
TOTAL
9,652 10,098 11,245 7,473 7,334 5,007 6,667 4,655 17,845 16,293 12,070 37,314
BASE RATE SCENARIO
Y1
Y2
Y3
Y4
Y5
>Y5
CUMULATIVE
9,652 19,749 30,995 38,467 45,801 50,808 57,475 62,130 79,975 96,268 108,339 145,652
ASSETS
Q1Y1 Q2Y1 Q3Y1 Q4Y1 Q1Y2 Q2Y2 Q3Y2 Q4Y2
Y3
Y4
Y5
>Y5 CASH FLOW
70MM
TREASURIES & AGENCIES
0
0
0
0
0
0
0
0
0
0
0
0
56MM
MBS & CMO'S MUNICIPALS
9,169 9,776 9,376 8,394
7,700 7,313 6,422 5,050 13,318
7,391 7,110
5,056 12,890 5,020 10,135
42MM
440
0 600
705 245
1,805
0 1,305
745 250
5,420
28MM
OTHER INVESTMENTS
134 980 2,595
127
0
868
483
227
215
4,389
14MM
TOTAL
9,743 10,756 12,571 9,344 9,632 7,313 8,595 6,045 19,221 14,728 10,291 27,414 9,743 20,499 33,070 42,414 52,046 59,359 67,954 73,998 93,219 107,947 118,238 145,652 92 750 2,075 3,947 6,245 8,551 10,479 11,868 13,244 11,679 9,900 0
0
CUMULATIVE
Y1
Y2
Y3
Y4
Y5
DOWN 100BP RATE SCENARIO
>Y5
CML Δ FROM BASE
Cloyd Bank & Trust - Page 13
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