BAS Sept 2022 Case Study

BBA

Inventory Totals By Security Group: Available For Sale Sunny State Bank

As Of 12/31/2018

Page 1 of 1 Market Loss Market Gain (342,034.71) 560.69 (342,595.40) 6,241.56 (78,875.18) (72,633.62) 0.00 (7,907.95) (7,907.95) (414,116.59) 0.00 (414,116.59) 0.00 (21,263.23) (21,263.23)

No.

Security Group

% of Total

Capital Req Risk Factor

Par Value

WAC Proj WAL

Mod Dur

Acctg Yld

Book Value Pledged Bk Val

Market Value Pledged Mkt Val

Current Par Cost Pledged Par Value

TEY

Net Gain/(Loss)

Agency Notes/Bonds - FR

16

32.20%

20.00%

8,000,000.00 2.0550 5.349 4.942

2.074 2.074

7,997,303.71 7,497,861.90

7,655,269.00 7,155,266.50

128,000

7,993,950.00 7,500,000.00

Muni Tax Exempt - Fixed Rate

17

16.68%

19.00%

4,145,000.00 3.5440 8.390 6.647

2.896 3.641

4,247,986.12

4,175,352.50

62,352

4,359,483.60

0.00

0.00

0.00

Muni Taxable - Fixed Rate

2

1.69%

20.00% 6,720

420,000.00 5.1450 1.871 1.774

2.793 2.793

438,008.35

430,100.40

492,374.40

0.00

0.00

0.00

MBS - Fixed Rate

37

45.32%

20.00%

11,259,243.15 3.2790 5.674 5.026

2.420 2.420

11,711,463.63

11,297,347.04

178,963

11,773,392.11

0.00

0.00

0.00

MBS - Variable Rate

9

4.11%

8.00%

1,021,502.68 2.9630 3.318 3.050

1.647 1.647

1,063,220.95

1,041,957.72

6,305

1,065,207.02

0.00

0.00

0.00

MBSs Subtotal MBSs 46

49.43%

185,268 18.99% 12,280,745.83 3.2523 5.475 4.859

2.355 2.355 12,774,684.58 0.00

12,339,304.76

(435,379.82) (435,379.82) 0.00

12,838,599.13 0.00

0.00

AFS Total

Total 81

100.00 % 19.32% 382,340

24,845,745.83 2.9623 5.868 5.134

2.493 2.367 25,457,982.76 7,497,861.90

24,600,026.66 7,155,266.50

(857,956.10) 6,802.25 (864,758.35)

25,684,407.13 7,500,000.00

Weighted average Yields, Avg Life, and Mod Dur are weighted by Market Value. Avg Life& Duration are Projected * Not eligible for ratings based approach. Risk Weight and Capital Required are excluded from totals .

Although the information in this report has been obtained from sources believed to be reliable, its accuracy cannot be guaranteed.

BBA - Baker Bond Accounting ®

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The Baker Group Software Solutions, Inc.

12/24/2018 2:07 PM - JWP / SOME