CMS Case Study
BBA
Portfolio Inventory Summary By Security Group: Entire Portfolio Cloyd Bank & Trust - Greenbow , AL
As Of 12/31/2021
Page 14 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 2,987,373.40 2,925,389.72 2,966,240.51 2,919,124.53 2,998,742.47 2,925,676.04 3,022,745.14 3,006,325.60 3,068,968.43 3,068,968.43 2,981,750.24 2,918,122.65 2,982,090.32 2,939,315.51 3,047,940.44 3,047,940.44 2,981,424.26 2,946,924.97 3,030,204.27 3,015,767.13 769,030.91 812,907.26 3,042,592.27 3,026,538.05 2,955,937.50 2,955,937.50 3,045,000.00 3,045,000.00 3,032,812.50 3,032,812.50 204,878.14 214,121.38 312,404.23 327,581.48
Gain/(Loss) Mkt Price
Prev Mkt Value Prev Mkt Price
% Change
Maturity
PreRefund
as of 12/31/21
Safekeeping
3133KYVX4 FRLMC 20YR
1.5000 RB5130 BQ6568 1.5000 1.5000 MA4421 RB5131 2.0000 BT6795 2.0000 1.5000 MA4445 RB5134 1.5000 RB5135 2.0000 1.5000 MA4473 MA4474 2.0000 784470 4.5000 2.0000 MA4501 RB5140 1.5000 RB5141 2.0000 2.0000 MA4520 MA1310 3.0000 3.0000 MA1491
3,000,000.00 2,963,429.34 0.00 3,000,000.00 2,958,954.45 0.00 3,025,000.00 2,965,528.86 0.00 3,000,000.00 2,952,821.13 0.00 3,050,000.00 3,013,871.10 0.00 3,000,000.00 2,957,910.03 0.00 3,000,000.00 2,978,448.18 3,000,000.00 3,025,000.00 3,001,049.05 0.00 3,000,000.00 2,977,774.14 3,000,000.00 3,000,000.00 2,978,245.38 0.00 2,000,000.00 727,328.14 500,000.00 3,000,000.00 2,990,344.56 0.00 3,000,000.00 3,000,000.00 0.00 3,000,000.00 3,000,000.00 0.00 3,000,000.00 3,000,000.00 0.00 1,500,000.00 208,620.59 0.00 2,000,000.00 319,184.44 2,000,000.00
1.353 1.353 1.448 1.448 1.285 1.285 1.482 1.482 1.650 1.650 1.347 1.347 1.468 1.468 1.681 1.681 1.466 1.466 1.622 1.622 2.336 2.336 1.636 1.636 1.726 1.726 1.709 1.709 1.767 1.767 4.122 4.122 4.304 4.304
6.445
5.983
2,937,811.04 98.644010 2,917,955.08 98.271907 2,927,228.98 98.274248 101.727343 3,018,769.90 101.828125 3,068,968.43 2,934,591.33 98.582171 2,947,639.08 98.581576 101.562500 3,047,940.44 2,947,492.59 98.581921 101.750000 3,044,101.99 111.992636 858,304.42 101.750000 3,052,500.00 2,955,937.50 98.531250 101.500000 3,045,000.00 101.093750 3,032,812.50 102.969710 220,436.93 102.965879 344,550.40
98.716365 (61,983.68) 98.653919 (47,115.98) 98.656131 (73,066.43) 101.811978 (16,419.54) 101.828125 98.654882 (63,627.59) 98.686139 (42,774.81) 101.562500 98.964019 (34,499.29) 101.259861 (14,437.14) 111.766233 43,876.35 101.210345 (16,054.22) 98.531250 0.00 0.00
0.07
%
CNTB
9/1/41
3140KSJN8 FNMA 20YR
6.634
6.125
0.39
%
CNTB
9/1/41
31418D4F6 FNMA 20YR
5.938
5.550
0.39
%
CNTB
9/1/41
3133KYVY2 FRLMC 20YR
5.099
4.749
0.08
%
CNTB
10/1/41
3140LVRR2 FNMA 20YR
5.960
5.463
0.00
%
CNTB
10/1/41
31418D5F5 FNMA 20YR
6.172
5.743
0.07
%
CNTB
10/1/41
3133KYV30 FRLMC 20YR
6.059
6.564
0.11
%
CNTB
11/1/41
3133KYV48 FRLMC 20YR
5.641
5.181
0.00
%
CNTB
11/1/41
31418D6K3 FNMA 20YR
6.217
5.753
0.39
%
CNTB
11/1/41
31418D6L1 FNMA 20YR
5.256
4.859
(0.48)
%
CNTB
11/1/41
3622A26F4 GNMA 30YR
4.709
4.108
(0.20)
%
CNTB
11/15/41
31418EAB6 FNMA 20YR
5.476
5.048
(0.53)
%
CNTB
12/1/41
3133KYV97 FRLMC 20YR
6.216
6.824
0.00
%
0.00
CNTB
1/1/42
3133KYWA3 FRLMC 20YR
5.967
5.455
101.500000
0.00
%
CNTB
1/1/42
0.00
31418EAW0 FNMA 20YR
5.548
5.082
101.093750
0.00
%
CNTB
1/1/42
0.00
31418AN46 FNMA Conv <30 Jumbo-conforming loans
3.539
3.136
102.636744
(0.32)
%
FHLB
1/1/43
9,243.24
31418AUR7 FNMA Conv <30 Jumbo-conforming loans
3.592
3.168
102.630781 15,177.25
(0.33)
%
CNTB
7/1/43
(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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