CMS Case Study

BBA

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

As Of 12/31/2021

Page 17 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 2,091,972.44 1,993,406.58 1,852,552.87 1,789,815.79 2,108,826.06 2,026,124.39 944,414.09 933,852.88 1,862,691.19 1,833,170.03 1,834,195.34 1,831,725.29 1,821,818.17 1,808,253.99 3,017,150.46 2,965,228.77 1,875,584.23 1,843,071.32 952,186.39 940,737.40 1,896,302.05 1,881,474.80 1,896,302.05 1,881,474.80 1,925,464.68 1,909,198.24 2,854,716.81 2,840,110.38 1,948,809.90 1,919,379.92 2,925,147.62 2,889,795.84 1,966,694.85 1,922,641.47

Gain/(Loss) Mkt Price

Prev Mkt Value Prev Mkt Price

% Change

Maturity

PreRefund

as of 12/31/21

Safekeeping

3140QGEX1 FNMA 30YR

1.5000 CA8249 RE6089 1.5000 2.0000 FM5265 CA9235 1.5000 RA4731 1.5000 RE6090 1.5000 2.0000 FM6185 FM6857 2.0000 1.5000 MA4304 MA4319 2.0000 2.0000 MA4319 MA4319 2.0000 2.0000 MA4340 RE6100 2.0000 BT1284 2.0000 2.0000 MA4391 BT2783 2.0000

2,200,000.00 2,057,823.83 2,200,000.00 2,000,000.00 1,851,493.08 0.00 2,200,000.00 2,021,645.54 2,200,000.00 1,000,000.00 968,958.33 0.00 2,000,000.00 1,890,879.68 0.00 2,000,000.00 1,886,736.60 0.00 2,000,000.00 1,807,352.36 0.00 3,125,000.00 2,942,887.75 3,125,000.00 2,000,000.00 1,902,740.42 0.00 1,000,000.00 946,414.43 0.00 2,000,000.00 1,892,828.86 0.00 2,000,000.00 1,892,828.86 0.00 2,000,000.00 1,920,724.62 0.00 3,000,000.00 2,859,126.66 0.00 2,000,000.00 1,920,245.12 0.00 3,000,000.00 2,909,035.47 0.00 2,000,000.00 1,923,509.16 0.00

1.323 1.323 1.487 1.487 1.482 1.482 1.821 1.821 1.702 1.702 1.870 1.870 1.830 1.830 1.614 1.614 1.684 1.684 1.900 1.900 1.962 1.962 1.962 1.962 1.953 1.953 2.012 2.012 1.632 1.632 1.903 1.903 1.469 1.469

8.340

7.603

2,026,454.87 96.480879 1,798,626.68 96.041261 100.137217 2,071,760.64 929,758.14 95.748456 96.565232 1,840,160.31 1,829,749.20 96.456216 100.081147 1,851,640.33 100.740122 2,990,808.67 1,850,207.67 96.480986 949,201.79 99.253739 99.253739 1,898,403.58 1,898,403.58 99.253739 1,922,667.64 99.253453 2,863,560.77 99.250336 1,921,697.63 2,904,129.11 99.254090 1,924,678.36 99.869603 99.869711

96.869642 (98,565.86) 96.668781 (62,737.08) 100.221545 (82,701.67) 96.376991 (10,561.21) 96.948000 (29,521.16) 97.084314 (2,470.05) 100.049887 (13,564.18) 100.759153 (51,921.69) 96.864044 (32,512.91) 99.400154 (11,448.99) 99.400154 (14,827.25) 99.400154 (14,827.25) 99.399894 (16,266.44) 99.334892 (14,606.43) 99.954943 (29,429.98) 99.338625 (35,351.78) 99.954890 (44,053.38)

0.40

%

CNTB

12/1/50

3133N3XS8 FR RE6089

8.242

7.429

0.65

%

CNTB

1/1/51

3140X8Z75 FNMA 30YR

6.849

6.293

0.08

%

CNTB

1/1/51

3140QHHM0 FNMA Conv <30 Jumbo-conforming loans

8.782

7.723

0.66

%

CNTB

2/1/51

3133KLHG5 FRLMC 30YR

7.918

7.066

0.40

%

CNTB

3/1/51

3133N3XT6 FR RE6090

8.384

7.379

0.65

%

CNTB

3/1/51

3140X92T1 FNMA 30YR

5.788

5.239

(0.03)

%

CNTB

3/1/51

3140XATP7 FNMA 30YR

7.497

6.730

0.02

%

CNTB

4/1/51

31418DYA4 FNMA 30YR

8.340

7.421

0.40

%

CNTB

4/1/51

31418DYR7 FNMA Conv <30 Jumbo-conforming loans

7.799

6.862

0.15

%

CNTB

4/1/51

31418DYR7 FNMA Conv <30 Jumbo-conforming loans

7.799

6.838

0.15

%

CNTB

4/1/51

31418DYR7 FNMA Conv <30 Jumbo-conforming loans

7.799

6.838

0.15

%

CNTB

4/1/51

31418DZE5 FNMA Conv <30 Jumbo-conforming loans

7.864

6.893

0.15

%

CNTB

5/1/51

3133N3X58 FR RE6100

6.769

5.992

0.09

%

CNTB

6/1/51

3140LPNA6 FNMA RELO 30YR

4.649

4.312

0.09

%

CNTB

7/1/51

31418D2Z4 FNMA Conv <30 Jumbo-conforming loans

7.385

6.526

0.09

%

CNTB

7/1/51

3140LRCV8 FNMA RELO 30YR

4.732

4.415

0.09

%

CNTB

8/1/51

(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