CMS Case Study

BBA

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

As Of 12/31/2021

Page 19 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 1,709,836.41 1,681,797.46 1,976,554.19 1,944,208.14 976,571.79 976,329.09 1,982,747.60 1,968,378.68 1,989,433.76 1,983,903.90 1,960,569.81 1,951,632.95 23,688,831.95 23,985,783.72 2,001,053.97 1,965,076.00 1,981,537.95 1,945,898.40 1,974,789.17 1,969,765.00 1,969,395.26 1,956,603.20 7,837,342.60 7,926,776.35 Unrealized Gain: Unrealized Loss: Unrealized Gain: Unrealized Loss: 445,138,529.21 447,066,393.60 Unrealized Gain: Unrealized Loss:

Gain/(Loss) Mkt Price

Prev Mkt Value Prev Mkt Price

% Change

Maturity

PreRefund

as of 12/31/21

Safekeeping

3140LBLT8 FNMA DUS

1.5200 BS1237 BS1270 1.3800 BS1290 1.4300 BS3248 1.5700 BS3411 1.6600 BS3262 2.0300

1,706,000.00 1,706,000.00 0.00 2,000,000.00 2,000,000.00 2,000,000.00 1,000,000.00 1,000,000.00 0.00 2,000,000.00 2,000,000.00 0.00 2,000,000.00 2,000,000.00 0.00 1,935,000.00 1,935,000.00 0.00

1.504 1.504 1.535 1.535 1.730 1.730 1.683 1.683 1.736 1.736 1.918 1.918

8.614

8.005

1,667,130.75 97.721615 1,926,486.12 96.324306 967,510.87 96.751087 97.702667 1,954,053.34 1,989,375.00 99.468750 1,922,353.17 99.346417 1,946,951.20 97.347560 1,928,260.00 96.413000 1,949,554.80 97.477740 1,936,072.60 96.803630 7,760,838.60 97.010482 23,468,151.97 97.212841

98.581328 (28,038.95) 97.210407 (32,346.05) 97.632909 98.418934 (14,368.92) 99.195195 (5,529.86) 100.859584 (8,936.86) 0.00 (296,951.77) (296,951.77) 98.126971 98.253800 (35,977.97) 97.294920 (35,639.55) 98.488250 (5,024.17) 97.830160 (12,792.06) 0.00 (89,433.75) (89,433.75) 97.966783 101.174486 2,954,844.31 (4,882,708.70) (1,927,864.39) (242.70)

0.88

%

CNTB

3/1/31

3140LBMU4 FNMA DUS

8.902

8.308

0.92

%

CNTB

3/1/31

3140LBNG4 FNMA DUS

8.895

8.270

0.91

%

CNTB

3/1/31

3140LDTE9 FNMA DUS

9.676

8.903

0.73

%

CNTB

10/1/31

3140LDYH6 FNMA DUS

9.817

8.985

(0.28)

%

CNTB

10/1/31

3140LDTU3 FNMA DUS

10.889

9.683

1.52

%

CNTB

10/1/33

0.94 %

CMBS Pools - Fixed Rate

11,500,000.00 24,141,000.00 24,141,000.00 1.587 9.191 8.508 1.587

13

8.848

%

3136BFRV7 FNA 2021-M1G A2

CSTR,SEQ

2,000,000.00 2,000,000.00 0.00 2,000,000.00 2,000,000.00 0.00 2,000,000.00 2,000,000.00 0.00 2,000,000.00 2,000,000.00 0.00

1.514 1.514 1.507 1.507 1.631 1.631 1.653 1.653

8.227

0.93

CNTB

11/25/30

1.5100

3136BDXH6 FNA 2021-M1S A2

CSTR,SEQ

8.138

0.91

8.700

%

12/25/30

1.3830

CNTB

3136BDZA9 FNA 2021-M4 A2

CSTR,SEQ

8.985

8.352

1.04

%

CNTB

2/25/31

1.4660

3136BF4D2 FNA 2021-M11 A2

CSTR,SEQ

9.183

8.524

1.06

%

CNTB

3/25/31

1.4590

0.99 %

Structured CMBS - FR

0.00 8,000,000.00 8,000,000.00 1.576 8.929 8.310 1.576

4

0.17 %

319,457,076.00 575,484,576.00 439,971,131.36 1.600 5.698 5.254 1.650

299

Total: Entire Portfolio

101.939041

448,502,353.80

(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