CMS Case Study

BBA

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

As Of 12/31/2021

Page 18 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 3,011,164.79 2,972,138.45 2,996,353.79 2,937,182.27 3,043,347.60 2,985,113.07 2,936,288.46 2,885,359.29 3,000,611.01 2,963,935.49 2,996,612.58 2,955,605.42 3,036,406.03 3,017,180.36 3,023,974.18 3,009,634.55 330,720,922.79 333,579,336.48 Unrealized Gain: Unrealized Loss:

Gain/(Loss) Mkt Price

Prev Mkt Value Prev Mkt Price

% Change

Maturity

PreRefund

as of 12/31/21

Safekeeping

31418D3X8 FNMA 30YR

2.0000 MA4413 RE6110 2.0000 BU1032 2.0000 1.5000 MA4436 MA4437 2.0000 2.0000 MA4478 BU5838 2.0000 CB2058 2.0000 1.3000 BL9244 BL9260 1.3300 BL9645 1.5000 BS0898 1.4900 BS1196 1.4800 BS0970 1.5600 BS1228 1.3400

3,025,000.00 2,971,904.26 3,025,000.00 3,000,000.00 2,956,859.58 0.00 3,000,000.00 2,986,463.19 3,000,000.00 3,000,000.00 2,978,932.35 3,000,000.00 3,000,000.00 2,963,701.95 0.00 3,000,000.00 2,965,179.78 0.00 3,000,000.00 2,994,351.99 0.00 3,025,000.00 3,009,397.41 0.00 3,000,000.00 3,000,000.00 0.00 3,000,000.00 3,000,000.00 3,000,000.00 2,500,000.00 2,500,000.00 2,500,000.00 1,000,000.00 1,000,000.00 0.00 1,000,000.00 1,000,000.00 1,000,000.00 1,000,000.00 1,000,000.00 1,000,000.00 2,000,000.00 2,000,000.00 2,000,000.00

1.779 1.779 1.780 1.780 1.577 1.577 1.675 1.675 1.799 1.799 1.826 1.826 1.687 1.687 1.917 1.917 1.409 1.409 1.488 1.488 1.469 1.469 1.425 1.425 1.599 1.599 1.652 1.652 1.662 1.662

7.106

6.343

2,982,263.66 99.881245 2,951,641.67 99.249933 2,988,339.43 99.869432 2,880,322.17 96.475817 2,973,788.99 99.881245 2,967,188.94 99.592423 101.406250 3,042,187.50 100.484375 3,034,452.20 102.071874 334,618,964.34 2,874,905.04 95.830168 2,881,704.39 96.056813 2,435,501.73 97.420069 973,857.17 97.385717 97.207692 972,076.92 97.846601 978,466.01 96.236573 1,924,731.46

100.007880 (39,026.34) 99.334520 (59,171.52) 99.954792 (58,234.53) 96.858839 (50,929.17) 100.007880 (36,675.52) 99.677107 (41,007.16) 100.762381 (19,225.67) 100.007880 (14,339.63) 1,287,501.45 (4,145,915.14) (2,858,413.69) 100.882819

0.13

%

CNTB

9/1/51

3133N3YF5 FR RE6110

7.219

6.434

0.09

%

CNTB

10/1/51

3140M2EE8 FNMA RELO 30YR

5.119

4.729

0.09

%

CNTB

10/1/51

31418D4W9 FNMA 30YR

8.859

7.848

0.40

%

CNTB

10/1/51

31418D4X7 FNMA 30YR

7.415

6.587

0.13

%

CNTB

10/1/51

31418D6Q0 FNMA Conv <30 Jumbo-conforming loans

7.381

6.550

0.09

%

CNTB

10/1/51

3140M7PY1 FNMA RELO 30YR

5.218

4.790

(0.63)

%

CNTB

11/1/51

3140QMJC9 FNMA 30YR

7.718

6.787

(0.47)

%

CNTB

11/1/51

0.05 %

MBS - Fixed Rate

284,862,076.00 460,369,576.00 327,826,804.69 1.492 5.493 5.067 1.492

183

3140J2HW9 FNMA DUS

8.900

8.349

2,975,765.02 2,925,300.15 2,963,953.23 2,907,991.47 2,508,843.63 2,456,685.75 1,006,127.71 982,587.28 991,168.62 980,613.74 993,503.06 987,028.28 1,950,708.89 1,942,375.06

97.510005 (50,464.87) 96.933049 (55,961.76) 98.267430 (52,157.88) 98.258728 (23,540.43) 98.061374 (10,554.88) 98.702828 (6,474.78) 97.118753 (8,333.83)

1.75

%

CNTB

11/1/30

3140J2JE7 FNMA DUS

8.834

8.273

0.91

%

CNTB

12/1/30

3140J2WF9 FNMA DUS

9.067

8.423

0.87

%

CNTB

1/1/31

3140LA7L3 FNMA DUS

8.814

8.204

0.90

%

CNTB

2/1/31

3140LBKJ1 FNMA DUS

9.150

8.493

0.88

%

CNTB

2/1/31

3140LBCG6 FNMA DUS

8.533

9.233

0.88

%

CNTB

3/1/31

3140LBLJ0 FNMA DUS

8.615

8.046

0.92

%

CNTB

3/1/31

(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.

529 529

12/29/2021 1:09 PM - DAW / GUNT