CMS Case Study

BBA

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

As Of 12/31/2021

Page 16 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 380,197.09 384,461.98 515,537.87 522,635.27 785,923.84 768,199.90 1,322,336.15 1,300,530.00 447,799.44 450,332.88 730,662.94 751,777.55 430,883.39 429,940.02 2,895,374.16 2,860,446.93 618,724.50 614,274.48 768,315.01 763,938.60 1,713,537.55 1,661,030.78 2,994,929.00 2,943,242.60 2,769,766.58 2,748,242.26 2,203,312.17 2,109,042.76 2,018,754.01 1,936,892.89 2,198,754.26 2,102,964.02 2,751,086.47 2,699,830.05

Gain/(Loss) Mkt Price

Prev Mkt Value Prev Mkt Price

% Change

Maturity

PreRefund

as of 12/31/21

Safekeeping

31418DF23 FNMA Conv <30 Jumbo-conforming loans

1.262 1.262 1.633 1.633 -0.168 -0.168 0.385 0.385 1.693 1.693 3.168 3.168 0.861 0.861 1.248 1.248 0.375 0.375 0.779 0.779 1.022 1.022 1.746 1.746 1.744 1.744 1.653 1.653 1.330 1.330 1.574 1.574 1.638 1.638

3.5000 MA3784 MA3812 3.5000 BR8118 3.0000 3.0000 QA5174 MA3876 3.0000 2.5000 MA3878 RE6031 3.0000 2.5000 FM2629 MA4025 2.5000 RE6049 2.5000 2.5000 FM3576 CA7106 2.0000 CA6917 2.5000 SE9014 2.0000 2.0000 FM4585 FM4870 2.0000 RA4258 1.5000

2,500,000.00 371,311.45 2,500,000.00 2,500,000.00 504,433.33 2,500,000.00 2,125,000.00 751,638.13 2,125,000.00 2,100,000.00 1,237,033.54 2,100,000.00 2,500,000.00 442,695.95 2,500,000.00 2,500,000.00 738,522.38 2,500,000.00 2,000,000.00 422,463.90 2,000,000.00 4,230,000.00 2,788,342.65 0.00 2,000,000.00 604,352.62 2,000,000.00 2,000,000.00 751,961.94 2,000,000.00 2,100,000.00 1,614,353.10 0.00 3,300,000.00 2,941,206.05 3,300,000.00 3,300,000.00 2,678,071.04 0.00 2,200,000.00 2,113,914.59 2,200,000.00 2,200,000.00 1,932,617.90 0.00 2,200,000.00 2,098,008.92 2,200,000.00 3,000,000.00 2,787,471.24 0.00

1.919

1.835

407,352.36 103.601571 103.671410 577,736.25 102.299539 814,671.42 105.318836 1,346,113.53 102.040866 476,993.85 101.969543 754,421.95 102.069953 442,259.21 102.707794 2,960,013.70 101.813556 640,754.25 101.758550 792,636.38 102.975307 1,710,742.45 100.065728 2,966,776.50 102.804109 2,786,466.03 2,111,813.57 99.684777 100.137117 1,962,786.67 100.151355 2,119,241.01 2,704,754.33 96.472386

103.541643

(0.06)

%

CNTB

9/1/49

4,264.89

31418DGW6 FNMA Conv <30 Jumbo-conforming loans

1.965

1.871

103.608393

(0.06)

%

CNTB

9/1/49

7,097.40

3617M7AT5 GNMA II 30YR

3.713

102.203423 (17,723.94) 105.132962 (21,806.15) 101.725095 101.794823 21,114.61 101.769647 102.585919 (34,927.23) 101.641734 (4,450.02) 101.592721 (4,376.41) 102.891417 (52,506.77) 100.069242 (51,686.40) 102.620215 (21,524.32) 99.769535 (94,269.41) 100.221202 (81,861.12) 100.236181 (95,790.24) 96.855889 (51,256.42) 2,533.44 (943.37)

(0.09)

3.990

%

11/20/49

CNTB

31346YXB4 FRLMC 30YR

4.646

4.348

(0.18)

%

CNTB

12/1/49

31418DJW3 FNMA Conv <30 Jumbo-conforming loans

2.425

2.276

(0.31)

%

CNTB

12/1/49

31418DJY9 FNMA Conv <30 Jumbo-conforming loans

4.655

4.121

(0.17)

%

CNTB

12/1/49

3133N3VY7 FR RE6031

2.420

2.293

(0.29)

%

CNTB

3/1/50

3140X54P5 FNMA 30YR

4.903

4.529

(0.12)

%

CNTB

3/1/50

31418DPK2 FNMA Conv <30 Jumbo-conforming loans

3.652

3.417

(0.17)

%

CNTB

5/1/50

3133N3WJ9 FR RE6049

3.767

3.509

(0.16)

%

CNTB

6/1/50

3140X66N6 FNMA 30YR

5.305

4.962

(0.08)

%

CNTB

6/1/50

3140QE3Q3 FNMA 30YR

6.603

5.964

0.00

%

CNTB

9/1/50

3140QEVK5 FNMA 30YR

5.388

4.910

(0.18)

%

CNTB

9/1/50

3133SKAP6 FR SE9014

8.445

7.582

0.09

%

CNTB

10/1/50

3140X8CX3 FNMA 30YR

6.207

6.736

0.08

%

CNTB

10/1/50

3140X8MU8 FNMA 30YR

8.348

7.537

0.08

%

CNTB

11/1/50

3133KKWT2 FRLMC 30YR

8.001

7.149

0.40

%

CNTB

12/1/50

(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