CMS Case Study

BBA

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

As Of 12/31/2021

Page 15 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 1,701,515.14 1,728,349.58 1,938,980.68 1,916,686.80 2,801,422.37 2,775,329.83 1,587,811.08 1,616,970.84 3,013,541.28 2,993,462.89 3,042,498.35 2,980,644.50 3,043,472.91 2,992,300.65 279,353.10 289,721.16 585,901.55 618,448.91 394,965.41 416,011.06 303,918.88 320,314.17 652,212.19 689,259.95 245,655.24 256,139.29 161,430.19 167,953.27 191,078.31 197,119.55 1,641,265.26 1,687,823.44 180,356.23 179,457.11

Gain/(Loss) Mkt Price

Prev Mkt Value Prev Mkt Price

% Change

Maturity

PreRefund

as of 12/31/21

Safekeeping

3128MAD30 FGLMC 30YR - 265 WAM

3.5000 G07922 FM6474 2.0000 1.5000 FM6746 FM0034 3.5000 CB1898 2.0000 2.0000 FM8962 FM9470 2.0000 3.0000 MA2842 AS9585 4.0000 BJ4555 3.0000 3.5000 MA3257 BJ4760 3.0000 T65467 3.5000 3.5000 MA3343 MA5126 3.5000 BF0294 3.5000 3.5000 MA6030

4,900,000.00 1,600,662.18 4,900,000.00 2,000,000.00 1,916,485.70 0.00 3,000,000.00 2,848,940.88 0.00 2,600,000.00 1,494,571.31 2,600,000.00 3,000,000.00 2,968,260.81 3,000,000.00 3,000,000.00 2,980,409.64 3,000,000.00 3,000,000.00 2,992,064.88 0.00 1,535,082.00 282,598.34 1,535,082.00 1,600,000.00 565,286.26 1,600,000.00 2,100,000.00 403,625.86 2,100,000.00 2,100,000.00 308,104.94 2,100,000.00 2,100,000.00 668,704.81 2,100,000.00 1,500,000.00 246,135.05 1,500,000.00 1,500,000.00 161,640.18 1,500,000.00 2,030,000.00 191,515.32 2,030,000.00 2,750,000.00 1,561,559.07 2,750,000.00 2,525,000.00 175,800.20 2,525,000.00

1.604 1.604 1.756 1.756 1.752 1.752 1.348 1.348 1.726 1.726 1.649 1.649 1.669 1.669 3.723 3.723 2.436 2.436 4.247 4.247 4.425 4.425 4.685 4.685 3.570 3.570 3.429 3.429 3.570 3.570 2.030 2.030 0.045 0.045

5.084

4.579

1,766,226.56 108.054486 1,920,292.74 99.925779 2,774,369.46 97.032614 108.273258 1,657,046.97 100.764222 3,008,975.58 2,984,342.95 99.881245 101.718750 3,051,562.50 102.847671 302,640.87 109.302532 632,935.87 103.410257 434,057.86 103.974074 335,142.96 103.408108 716,143.57 104.099184 268,366.25 103.975211 182,900.02 103.109457 200,581.54 108.152898 1,731,761.35 102.260470 192,478.34

107.977161 26,834.44 100.010493 (22,293.88) 97.416196 (26,092.54) 108.189608 29,159.76 100.849052 (20,078.39) 100.007880 (61,853.85) 100.007880 (51,172.26) 102.520474 10,368.06 109.404554 32,547.36 103.068486 21,045.65 103.962686 16,395.29 103.073873 37,047.76 104.064533 10,484.05 103.905641

(0.07)

%

CNTB

1/1/44

3140XAFQ0 FNMA 30YR

5.681

5.181

0.08

%

CNTB

4/1/46

3140XAP89 FNMA 30YR

7.047

6.358

0.40

%

CNTB

4/1/46

3140X3BC1 FNMA 30YR - 272 WAM

4.898

4.438

(0.08)

%

CNTB

8/1/46

3140QMDC5 FNMA 30YR

6.494

5.874

0.08

%

CNTB

10/1/46

3140XC5Y0 FNMA 30YR

6.811

6.163

0.13

%

CNTB

10/1/46

3140XDQY5 FNMA 30YR

5.456

5.981

(1.68)

%

CNTB

11/1/46

31418CEQ3 FNMA Conv <30 Jumbo-conforming loans

3.727

3.303

(0.32)

%

CNTB

12/1/46

3138WKUK9 FNMA 30YR

4.341

3.824

0.09

%

CNTB

5/1/47

3140H6BZ1 FNMA RELO 30YR

2.960

2.642

(0.33)

%

CNTB

1/1/48

31418CTP9 FNMA Conv <30 Jumbo-conforming loans

2.577

2.313

(0.01)

%

CNTB

1/1/48

3140H6JE0 FNMA RELO 30YR

3.897

3.391

(0.32)

%

CNTB

2/1/48

31323ACC4 FHLMC Conv 30 Jumbo Conforming

2.370

2.162

(0.03)

%

CNTB

3/1/48

31418CWD2 FNMA Conv <30 Jumbo-conforming loans

2.266

2.081

(0.07)

%

CNTB

4/1/48

6,523.08

36179TVT9 GNMA II 30 FHA Jumbo

2.269

2.079

102.926259

(0.18)

%

CNTB

4/20/48

6,041.24

3140FXKG6 FNMA Reperforming Modified

5.599

4.935

108.085789 46,558.18 102.080152

(0.06)

%

CNTB

8/1/48

36179UVX7 GNMA II 30 FHA Jumbo

1.689

1.629

(0.18)

%

CNTB

7/20/49

(899.12)

(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