CMS Case Study

BBA

Portfolio Inventory Summary By Security Group: Entire Portfolio Cloyd Bank & Trust - Greenbow , AL

As Of 12/31/2021

Page 8 of 19

CUSIP

Description

Coupon Pool/Type

Orig Face Face Pledged

Par Value

Yield TEY

Proj. Avg Life

Dur Mod

as of 12/31/21 Market Value Book Value 359,640.15 373,488.51 1,260,449.69 1,296,860.70 656,065.62 687,365.74 566,616.86 576,550.90 361,704.55 382,008.10 694,125.66 719,302.17 595,632.26 621,667.42 561,391.14 575,126.92 961,937.44 1,031,952.67 874,287.22 917,434.65 2,990,622.37 2,992,981.51 3,006,115.55 2,986,176.67 3,009,635.15 3,007,821.36 657,961.84 702,314.28 1,255,695.30 1,242,289.56 442,571.39 460,916.04 498,502.94 526,574.64

Gain/(Loss) Mkt Price

Prev Mkt Value Prev Mkt Price

% Change

Maturity

PreRefund

as of 12/31/21

Safekeeping

3138WFAC0 FNMA 15YR

2.5000 AS5402 AL9377 3.0000 AL7912 3.0000 AL7963 3.5000 3.0000 MA2561 G15916 2.5000 4.0000 MA0695 G07890 4.5000 AS7827 2.5000 4.0000 MA0878 MA4448 1.5000 1.5000 RD5075 MA4503 1.5000 G18630 2.0000 ZT1964 3.5000 G16447 3.5000 AL2523 3.5000

1,200,000.00 357,651.19 0.00 3,650,000.00 1,232,295.74 3,650,000.00 2,000,000.00 653,078.68 2,000,000.00 1,875,000.00 543,576.96 1,875,000.00 1,485,000.00 362,966.00 1,485,000.00 2,055,824.00 688,356.79 2,055,824.00 6,187,000.00 579,888.02 6,187,000.00 3,775,000.00 536,568.04 3,775,000.00 2,685,000.00 985,576.34 2,685,000.00 7,997,737.00 849,823.14 7,997,737.00 3,050,000.00 2,953,061.06 0.00 3,000,000.00 2,970,111.96 0.00 3,000,000.00 2,969,981.04 0.00 1,670,000.00 681,800.03 1,670,000.00 2,550,000.00 1,169,100.69 2,550,000.00 1,530,000.00 434,701.29 1,530,000.00 3,284,159.00 490,035.60 3,284,159.00

2.217 2.217 2.038 2.038 2.768 2.768 1.774 1.774 3.087 3.087 2.148 2.148 2.803 2.803 2.285 2.285 3.319 3.319 2.715 2.715 1.098 1.098 1.138 1.138 1.095 1.095 3.389 3.389 0.273 0.273 2.499 2.499 2.622 2.622

2.804

2.648

384,321.66 104.492842 105.816170 1,333,737.92 105.668599 704,628.67 106.469021 593,857.28 105.290047 395,083.02 104.587870 741,219.95 107.606593 639,669.24 107.855965 594,577.02 104.746008 1,051,811.95 108.352733 941,354.25 101.281250 3,027,121.07 101.218750 3,036,562.50 101.343750 3,040,312.50 102.753209 714,690.33 106.858545 1,322,884.11 106.373637 477,623.76 107.523971 544,235.85

104.428147 13,848.36 105.239405 36,411.01 105.250066 31,300.12 106.066104 105.246250 20,303.55 104.495544 25,176.51 107.204736 26,035.16 107.186206 13,735.78 104.705504 70,015.23 107.955951 43,147.43 101.351833 100.540879 (19,938.88) 101.274093 (1,813.79) 103.008837 44,352.44 106.260271 (13,405.74) 106.030521 18,344.65 107.456406 28,071.70 9,934.04 2,359.14

(0.06)

%

FHLB

7/1/30

3138ERM31 FNMA 15YR

2.786

2.635

(0.55)

%

CNTB

10/1/30

3138EQYJ5 FNMA 15YR

2.901

2.699

(0.40)

%

CNTB

12/1/30

3138EQZ54 FNMA 15YR

2.870

2.714

(0.38)

%

CNTB

12/1/30

31418BZ33 FNMA 15YR

2.896

2.674

(0.04)

%

CNTB

3/1/31

3128MEYM7 FHLMC 15YR

2.885

2.722

(0.09)

%

CNTB

4/1/31

31417YXZ5 FNMA 20YR

2.823

3.072

(0.37)

%

CNTB

4/1/31

3128MAC31 FHLMC 30YR

2.617

2.441

(0.62)

%

CNTB

7/1/31

3138WHVV1 FNMA 15YR

3.092

2.840

(0.04)

%

CNTB

9/1/31

31417Y6Q5 FNMA 20YR

3.201

2.933

(0.37)

%

CNTB

10/1/31

31418D5J7 FNMA 10YR

3.492

3.369

0.07

%

CNTB

10/1/31

3133LPT80 FR RD5075

3.714

3.574

(0.67)

%

CNTB

12/1/31

31418EAD2 FNMA 10YR

3.498

3.629

(0.07)

%

CNTB

12/1/31

3128MMVY6 FHLMC 15YR

3.174

2.917

0.25

%

CNTB

2/1/32

3132AEFD3 FRLMC 15YR

3.055

2.940

(0.56)

%

CNTB

6/1/32

3128MFL48 FHLMC 15YR

2.222

2.095

(0.32)

%

CNTB

9/1/32

3138EJYV4 FNMA Mortgages with LTV ratios >125%

3.313

3.039

(0.06)

%

CNTB

9/1/32

(1) Previous market price is zero. Current market price used. Weighted average Yields, Avg Life, and Mod Dur are weighted by Market Value. Avg Life is Projected Average Life.

(2) Using Current Yield

Although the information in this report has been obtained from sources believed to be reliable, its accuracy cannot be guaranteed.

BBA - Baker Bond Accounting ®

The Baker Group Software Solutions, Inc.

519 519

12/29/2021 1:09 PM - DAW / GUNT