CMS Case Study
BBA
Portfolio Inventory Summary By Security Group: Entire Portfolio Cloyd Bank & Trust - Greenbow , AL
As Of 12/31/2021
Page 10 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 1,562,992.42 1,547,766.36 1,450,361.89 1,420,414.10 1,812,347.21 1,784,102.58 1,781,403.53 1,746,941.04 1,802,417.49 1,778,433.14 1,848,197.32 1,799,449.04 1,863,865.50 1,823,425.38 1,788,598.68 1,755,968.91 1,800,642.79 1,759,987.66 1,862,070.55 1,822,098.09 448,846.83 465,112.38 2,769,501.04 2,755,815.17 2,842,408.48 2,812,740.59 793,773.09 816,945.68 2,834,150.31 2,818,212.62 2,746,555.44 2,711,453.30 1,822,117.51 1,809,561.53
Gain/(Loss) Mkt Price
Prev Mkt Value Prev Mkt Price
% Change
Maturity
PreRefund
as of 12/31/21
Safekeeping
3140X7AZ2 FNMA 15YR
3.0000 FM3623 FM3936 2.5000 2.0000 RC1546 FM4470 2.0000 2.0000 QN4220 RC1808 1.5000 CA9132 1.5000 2.0000 FM5493 SB8100 1.0000 1.5000 RC1853 AL8690 3.5000 SB8097 1.5000 1.5000 QN5942 AL8811 4.0000 CB0310 1.5000 1.0000 MA4301 MA4302 1.5000
2,000,000.00 1,461,581.46 2,000,000.00 2,100,000.00 1,370,417.45 2,100,000.00 2,100,000.00 1,727,956.42 2,100,000.00 2,000,000.00 1,694,239.58 2,000,000.00 2,000,000.00 1,725,514.78 2,000,000.00 2,000,000.00 1,786,817.70 2,000,000.00 2,000,000.00 1,812,304.28 0.00 2,000,000.00 1,710,676.18 0.00 2,000,000.00 1,811,236.04 0.00 2,000,000.00 1,811,535.26 2,000,000.00 1,050,000.00 430,709.19 1,050,000.00 3,030,000.00 2,739,859.62 3,030,000.00 3,000,000.00 2,796,426.21 3,000,000.00 2,170,000.00 748,587.53 2,170,000.00 3,000,000.00 2,801,018.79 0.00 3,000,000.00 2,768,361.93 3,000,000.00 2,000,000.00 1,799,638.70 0.00
0.881 0.881 0.191 0.191 0.890 0.890 0.929 0.929 1.068 1.068 0.707 0.707 0.869 0.869 0.728 0.728 1.113 1.113 0.864 0.864 2.199 2.199 1.236 1.236 1.109 1.109 1.920 1.920 1.230 1.230 1.152 1.152 1.205 1.205
3.701
3.543
1,595,473.08 106.542259 103.817815 1,473,962.22 103.215366 1,808,349.20 103.114167 1,770,846.88 102.834263 1,791,979.95 100.714759 1,817,719.67 100.544272 1,842,726.67 102.386967 1,792,464.24 1,772,205.05 96.964457 100.498066 1,840,216.43 108.054882 477,315.50 100.304556 2,779,171.12 100.304926 2,828,220.78 109.518760 840,290.60 100.335688 2,829,791.43 2,730,137.18 97.614982 100.273524 1,828,257.98
105.896688 (15,226.06) 103.648279 (29,947.79) 103.249281 (28,244.63) 103.110626 (34,462.49) 103.066816 (23,984.35) 100.706918 (48,748.28) 100.613644 (40,440.12) 102.647651 (32,629.77) 97.170530 (40,655.13) 100.583087 (39,972.46) 107.987568 16,265.55 100.582349 (13,685.87) 100.583401 (29,667.89) 109.131618 23,172.59 100.613842 (15,937.69) 97.944321 (35,102.14) 100.551379 (12,555.98)
(0.61)
%
CNTB
6/1/35
3140X7LS6 FNMA 15YR
2.899
2.842
(0.16)
%
CNTB
8/1/35
3133L7WF0 FRLMC 15YR
4.320
4.155
0.03
%
CNTB
9/1/35
3140X76G9 FNMA 15YR
4.278
4.125
0.00
%
CNTB
9/1/35
3133GAVM5 FRLMC 15YR
4.275
4.103
0.23
%
CNTB
11/1/35
3133L8AH8 FRLMC 15YR
4.566
4.412
(0.01)
%
CNTB
2/1/36
3140QHEE1 FNMA 15YR
4.616
4.808
0.07
%
CNTB
2/1/36
3140X9C78 FNMA 15YR
3.768
3.651
0.25
%
CNTB
2/1/36
3132D57M8 FRLMC 15YR
4.896
4.681
0.21
%
CNTB
3/1/36
3133L8BW4 FRLMC 15YR
4.678
4.495
0.08
%
CNTB
3/1/36
3138ETUQ7 FNMA 20YR
4.239
3.860
(0.06)
%
CNTB
3/1/36
3132D57J5 FRLMC 15YR
4.627
4.395
0.28
%
CNTB
4/1/36
3133GCS78 FRLMC 15YR
4.402
4.615
0.28
%
CNTB
4/1/36
3138ETYH3 FNMA 20YR
3.926
3.595
(0.35)
%
CNTB
4/1/36
3140QKKY3 FNMA 15YR
4.920
4.665
0.28
%
CNTB
4/1/36
31418DX72 FNMA 15YR
5.051
4.819
0.34
%
CNTB
4/1/36
31418DX80 FNMA 15YR
4.732
4.497
0.28
%
CNTB
4/1/36
(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.
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12/29/2021 1:09 PM - DAW / GUNT
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