CMS Case Study

BBA

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

As Of 12/31/2021

Page 9 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 281,990.54 289,958.45 612,415.66 642,611.42 1,177,224.87 1,235,958.03 1,149,785.26 1,145,125.15 693,006.42 727,046.84 385,330.04 396,293.00 658,213.86 680,478.75 377,580.95 389,934.80 369,076.09 379,086.38 722,232.69 736,122.51 621,519.08 636,331.81 1,379,785.72 1,356,078.03 1,462,813.53 1,435,207.12 1,214,544.80 1,197,662.17 763,136.68 758,223.33 659,234.21 684,170.67 1,619,853.92 1,603,941.76

Gain/(Loss) Mkt Price

Prev Mkt Value Prev Mkt Price

% Change

Maturity

PreRefund

as of 12/31/21

Safekeeping

31418AJK5 FNMA 20YR

3.0000 MA1165 MA1200 3.0000 M30379 2.5000 3.0000 FM3626 G18689 3.5000 3.0000 MA1527 G30987 4.0000 AL5708 4.0000 AL5119 4.0000 4.0000 MA1858 MA1890 4.0000 3.5000 FM1907 FM1812 4.0000 2.5000 FM2574 MA3986 3.5000 AL7333 3.5000 CA6202 3.0000

1,500,000.00 274,746.21 0.00 3,150,000.00 612,415.66 3,150,000.00 3,745,808.00 1,211,596.09 3,745,808.00 2,000,000.00 1,090,021.06 2,000,000.00 3,100,000.00 686,162.77 3,100,000.00 1,500,000.00 375,911.60 0.00 2,050,000.00 629,916.39 2,050,000.00 1,140,000.00 355,283.90 625,000.00 1,200,000.00 346,744.82 1,200,000.00 3,170,000.00 675,656.65 3,170,000.00 3,000,000.00 584,060.19 3,000,000.00 2,200,000.00 1,264,753.97 2,200,000.00 2,636,246.00 1,335,717.81 2,636,246.00 2,110,000.00 1,150,916.63 2,110,000.00 2,040,000.00 717,752.68 2,040,000.00 1,700,000.00 630,563.76 1,700,000.00 2,000,000.00 1,509,691.38 2,000,000.00

1.808 1.808 2.935 2.935 4.520 4.520 0.396 0.396 2.806 2.806 1.997 1.997 1.990 1.990 2.075 2.075 1.982 1.982 1.565 1.565 1.525 1.525 0.121 0.121 -0.059 -0.059 0.058 0.058 -1.027 -1.027 2.101 2.101 0.904 0.904

3.448

3.219

300,190.65 105.880823 105.271171 660,522.52 102.230780 1,248,037.45 105.237403 1,211,184.91 106.331939 769,686.47 105.765510 406,781.54 108.405750 704,182.82 110.131564 404,299.76 109.706137 388,838.02 109.327555 753,012.31 109.328056 659,692.27 107.714647 1,420,281.25 107.964487 1,487,630.21 104.340625 1,236,593.64 106.009587 817,199.71 108.576401 697,339.82 107.133992 1,682,770.26

105.536832

(0.32)

%

CNTB

9/1/32

7,967.91

31418AKN7 FNMA 20YR

3.476

3.182

104.930599 30,195.76 102.010731 58,733.16 105.055323 105.958363 34,040.42 105.421860 10,962.96 108.026837 22,264.89 109.753016 12,353.85 109.327192 10,010.29 108.949200 13,889.82 108.949697 14,812.73 107.220698 (23,707.69) 107.448378 (27,606.41) 104.061592 (16,882.63) 105.638523 (4,913.35) 108.501425 24,936.46 106.243023 (15,912.16) (4,660.11)

(0.32)

%

CNTB

10/1/32

31282CM46 FHLMC RELO 15YR

3.007

2.732

(0.22)

%

CNTB

2/1/33

3140X7A41 FNMA 15YR

2.872

2.774

(0.17)

%

CNTB

4/1/33

3128MMXT5 FHLMC 15YR

2.796

2.569

(0.35)

%

CNTB

5/1/33

31418AVV7 FNMA 20YR

3.677

3.410

(0.32)

%

FHLB

8/1/33

3132J4J91 FHLMC 20YR

2.636

2.817

(0.35)

%

CNTB

3/1/34

3138ENKW8 FNMA 20YR

3.915

3.595

(0.34)

%

CNTB

3/1/34

3138EMVM0 FNMA 20YR

3.825

3.524

(0.35)

%

CNTB

4/1/34

31418BB47 FNMA 20YR

3.672

3.410

(0.35)

%

CNTB

4/1/34

31418BC46 FNMA 20YR

3.651

3.381

(0.35)

%

CNTB

5/1/34

3140X5DM2 FNMA 15YR

3.672

3.516

(0.46)

%

CNTB

9/1/34

3140X5AN3 FNMA 15YR

3.238

3.390

(0.48)

%

CNTB

10/1/34

3140X52G7 FNMA 15YR

2.652

2.609

(0.27)

%

CNTB

2/1/35

31418DNC2 FNMA 15YR

2.787

2.690

(0.35)

%

CNTB

4/1/35

3138EQEF5 FNMA 20YR

4.184

3.827

(0.07)

%

CNTB

6/1/35

3140QD3L6 FNMA 15YR

3.919

3.739

(0.83)

%

CNTB

6/1/35

(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.

520 520

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