BAS Case Study - March 2023

Sunny State Bank

CALCULATIONS - ASSETS CONTINUED

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Formula

13. Securities Portfolio

Securities Appreciation/Depreciation % of Portfolio Securities Appreciation/Depreciation % of Tier 1 Capital

Total Fair Value of HTM Securities, Total Available-for-Sale Securities, Less Total Held-to-Maturity Securities, Less Total Amortized Cost Of Available-For-Sale Securities % Total Held-to-Maturity Securities, Total Amortized Cost Of Available-For Sale Securities ((UBPR1771+UBPR1773-UBPR1754-UBPR1772)/(UBPR1754+UBPR1772)) Total Fair Value of HTM Securities, Total Available-for-Sale Securities, Less Total Held-to-Maturity Securities, Less Total Amortized Cost Of Available-For-Sale Securities % Tier 1 Capital Allowable Under The Risk-Based Capital Guidelines ((UBPR1771+UBPR1773-UBPR1754-UBPR1772)/UBPR8274)

Securities Mix (Single Quarter)

Asset-Backed = Asset Backed Securities % Total Securities (UBPRM032) CMOs = Cmo and Remic Mortgage Backed Securities % Total Securities (UBPRM030) Comm. MBS = Commercial Mortgage Backed Securities % Total Securities (UBPRM031) Corporates = Other Domestic Debt Securities % Total Securities (UBPRM034) Municipals = Municipal Securities % Total Securities (UBPRM028)

Pass Thru MBS = Pass-Through Mortgage Backed Securities % Total Securities (UBPRM029) Treas./Agency = US Treasuries and Government Agencies % Total Securities (UBPRM027) Other = Structured Finance Products, Foreign Debt Securities, Investments in Mutual Funds and Other Marketable Securities % Total Securities (UBPRM033+UBPRM035+UBPRM036) Asset-Backed = Total (Asset-Backed Securities) Amortized Cost - Held To Maturity, Total (Asset-Backed Securities) Fair Value - Available-For-Sale (RCONC026+RCONC027) CMOs = Mortgage-Backed Securities: Other Residential Mbs (Include Cmos; Remics; And Stripped Mbs): Issued Or Guaranteed By Fnma; Fhlmc; Or Gnma - Held-To-Maturity Amortized Cost, Mortgage-Backed Securities: Other Residential Mbs (Include Cmos; Remics; And Stripped Mbs): Issued Or Guaranteed By Fnma; Fhlmc; Or Gnma - Available-For-Sale Fair Value (RCON)])+[G316 Mortgage-Backed Securities (Mbs): Other Residential Mbs (Include Cmos; Remics; And Stripped Mbs): Collateralized By Mbs Issued Or Guaranteed By Fnma; Fhlmc; Or Gnma - Held-To Maturity Amortized Cost, Mortgage-Backed Securities: Other Residential Mbs (Include Cmos; Remics; And Stripped Mbs): Collateralized By Mbs Issued Or Guaranteed By Fnma; Fhlmc; Or Gnma - Available-For-Sale Fair Value, Mortgage-Backed Securities: Other Residential Mbs (Include Cmos; Remics; And Stripped Mbs): All Other Residential Mbs - Held-To-Maturity Amortized Cost, Mortgage-Backed Securities: Other Residential Mbs (Include Cmos; Remics; And Stripped Mbs): All Other Residential Mbs - Available-For-Sale Fair Value (RCONG312+RCONG315+RCONG316+RCONG319+RCONG320+RCONG323) Comm. MBS = Mortgage-Backed Securities:Commercial Mbs: Commercial Mortgage Pass-Through Securities: Issued Or Guaranteed By Fnma;Fhlmc Or Gnma: Held-To-Maturity Amortized Cost, Mortgage-Backed Securities:Commercial Mbs: Commercial Mortgage Pass-Through Securities:Issued Or Guaranteed By Fnma;Fhlmc Or Gnma: Available-For-Sale Fair Value, Mortgage-Backed Securities:Commercial Mbs: Commercial Mortgage Pass-Through Securities:Other Pass Through Securities : Held-To-Maturity Amortized Cost, Mortgage-Backed Securities:Commercial Mbs: Commercial Mortgage Pass-Through Securities:Other Pass Through Securities : Available-For-Sale Fair Value, Mortgage-Backed Securities:Commercial Mbs: Other Commercial Mbs :Issued Or Guaranteed By Fnma;Fhlmc Or Gnma: Held-To-Maturity Amortized Cost, Mortgage-Backed Securities:Commercial Mbs: Other Commercial Mbs :Issued Or Guaranteed By Fnma;Fhlmc Or Gnma: Available-For-Sale Fair Value, Mortgage-Backed Securities:Commercial Mbs: Other Commercial Mbs :All Other Commercial Mbs : Held-To Maturity Amortized Cost, Mortgage-Backed Securities:Commercial Mbs: Other Commercial Mbs :All Other Commercial Mbs: Available-For-Sale Fair Value (RCONK142+RCONK145+RCONK146+RCONK149+RCONK150+RCONK153+RCONK154+RCONK157) Corporates = Amortized Cost Of Other Held-To-Maturity Domestic Debt Securities, Fair Value Of Other Available-For-Sale Domestic Debt Securitiess (RCON1737+RCON1741) Municipals = Amortized Cost Of Held-To-Maturity Securities Issued By States And Political Subdivisions In The U.S., Fair Value Of Available-For Sale Securities Issued By States And Political Subdivisions In The U.S. (RCON8496+RCON8499) Pass Thru MBS = Mortgage-Backed Securities: Residential Pass-Through Securities: Other Pass-Through Securities: Held-To-Maturity Amortized Cost, Mortgage-Backed Securities: Residential Pass-Through Securities: Other Pass-Through Securities: Available-For-Sale Fair Value, Mortgage Backed Securities; Issued Or Guarnteed By Fnma; Fhlmc; Or Gnma; Held-To-Maturity; Amortized Cost, Mortgage Backed Securities; Issued Or Guarnteed By Fnma; Fhlmc; Or Gnma; Available For Sale; Fair Value (RCONG308+RCONG311+RCONHT54+RCONHT57 ) Treas./Agency = Amortized Cost Of Held-To-Maturity U.S. Treasury Securities, Fair Value Of Available-For-Sale U.S. Treasury Securities, Us Government Agency Obligations (Exclude Mortgage-Backed Securities); Held-To-Maturity; Amortized Cost, Us Government Agency Obligations (Exclude Mortgage-Backed Securities); Available For Sale; Fair Value (RCON0211+RCON1287+RCONHT50+RCONHT53) Other = Amortized Cost Of Held-To-Maturity Other Foreign Debt Securities, Fair Value Of Available-For-Sale Other Foreign Debt Securities, Asset-Backed Securities And Structured Financial Products; Structured Financial Products; Held-To-Maturity; Amortized Cost, Asset-Backed Securities And Structured Financial Products; Structured Financial Products; Available For Sale; Fair Value (RCON1742+RCON1746+RCONHT58+RCONHT61)

Securities Portfolio Over Time