CMS Case Study

BBA

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

As Of 12/31/2021

Page 12 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 365,119.05 390,216.64 406,220.32 425,150.64 516,502.15 524,621.35 971,293.04 998,660.02 1,572,144.77 1,534,386.34 1,717,569.76 1,680,445.84 1,877,337.75 1,797,652.02 2,869,920.34 2,840,988.03 1,877,978.62 1,828,310.94 1,951,491.16 1,902,045.41 1,844,446.77 1,781,164.26 1,853,994.69 1,819,155.61 1,874,076.80 1,805,481.60 1,863,703.23 1,805,481.60 2,840,887.34 2,790,821.30 1,866,685.48 1,837,988.01 2,844,067.22 2,839,550.35

Gain/(Loss) Mkt Price

Prev Mkt Value Prev Mkt Price

% Change

Maturity

PreRefund

as of 12/31/21

Safekeeping

3128P8G39 FHLMC 20YR

3.5000 C92018 BM5780 4.0000 3.5000 MA3742 RB5036 2.5000 CA6464 2.5000 BP6675 2.5000 CA7922 1.5000 RB0373 2.0000 2.0000 BQ4310 SC0115 2.0000 RB5099 1.5000 2.0000 MA4268 MA4286 1.5000 1.5000 MA4286 QK0705 1.5000 RB5107 1.5000 RB5108 2.0000

2,000,000.00 367,688.92 2,000,000.00 1,015,000.00 389,857.08 1,015,000.00 2,000,000.00 496,513.80 2,000,000.00 2,500,000.00 967,862.75 2,500,000.00 2,000,000.00 1,486,533.58 2,000,000.00 2,025,000.00 1,627,855.46 2,025,000.00 2,000,000.00 1,826,725.56 0.00 3,000,000.00 2,803,825.23 0.00 2,000,000.00 1,797,986.76 2,000,000.00 2,000,000.00 1,868,302.48 2,000,000.00 2,000,000.00 1,810,006.94 2,000,000.00 2,000,000.00 1,786,795.74 2,000,000.00 2,000,000.00 1,834,640.46 0.00 2,000,000.00 1,834,640.46 0.00 3,025,000.00 2,846,904.55 0.00 2,000,000.00 1,867,751.58 2,000,000.00 3,000,000.00 2,789,020.11 3,000,000.00

3.935 3.935 1.994 1.994 0.539 0.539 2.202 2.202 0.865 0.865 1.165 1.165 1.108 1.108 1.693 1.693 1.297 1.297 1.130 1.130 1.137 1.137 1.116 1.116 1.097 1.097 1.198 1.198 1.524 1.524 1.497 1.497 1.554 1.554

2.900

2.599

399,929.04 106.180421 109.459143 440,558.43 105.446080 548,181.21 102.820352 1,036,980.09 102.842849 1,534,497.54 102.854161 1,726,977.33 1,806,847.61 98.025208 101.364657 2,852,394.97 101.725890 1,871,916.37 101.723585 1,908,096.93 1,793,384.11 98.024499 101.727083 1,846,476.71 1,818,037.99 98.028652 1,818,037.99 98.028652 2,790,491.13 97.647973 1,847,214.40 98.024413 101.727136 2,871,322.87

106.126843 25,097.59 109.052949 18,930.32 105.660981 103.181987 27,366.98 103.219084 (37,758.43) 103.230654 (37,123.92) 98.408434 (79,685.73) 101.325432 (28,932.31) 101.686563 (49,667.68) 101.806074 (49,445.75) 98.406488 (63,282.51) 101.811056 (34,839.08) 98.410650 (68,595.20) 98.410650 (58,221.63) 98.030027 (50,066.04) 98.406449 (28,697.47) 101.811756 (4,516.87) 8,119.20

(0.05)

%

CNTB

9/1/38

3140JAM62 FNMA 20YR

3.585

3.262

(0.37)

%

CNTB

3/1/39

31418DEQ1 FNMA 20YR

2.864

2.700

0.20

%

CNTB

8/1/39

3133KYSZ3 FRLMC 20YR

3.585

3.302

0.35

%

CNTB

1/1/40

3140QEFE7 FNMA 20YR

4.370

4.155

0.37

%

CNTB

7/1/40

3140KEMZ8 FNMA 20YR

4.437

4.204

0.37

%

CNTB

9/1/40

3140QFYU7 FNMA 20YR

5.580

5.893

0.39

%

CNTB

11/1/40

3133KTMW7 FRLMC 20YR

6.459

5.913

(0.04)

%

CNTB

12/1/40

3140KPYG2 FNMA 20YR

5.427

5.113

(0.04)

%

CNTB

12/1/40

3132D9DU5 FRLMC 20YR

5.529

5.201

0.08

%

CNTB

1/1/41

3133KYUY3 FRLMC 20YR

5.773

5.438

0.39

%

CNTB

1/1/41

31418DW65 FNMA 20YR

4.589

4.358

0.08

%

CNTB

2/1/41

31418DXQ0 FNMA 20YR

5.507

5.840

0.39

%

CNTB

3/1/41

31418DXQ0 FNMA 20YR

5.840

5.484

0.39

%

CNTB

3/1/41

3133D3YA7 FRLMC 20YR

6.277

5.797

0.39

%

CNTB

4/1/41

3133KYU80 FRLMC 20YR

6.010

5.568

0.39

%

CNTB

4/1/41

3133KYU98 FRLMC 20YR

4.984

4.635

0.08

%

CNTB

4/1/41

(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