BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 1 of 9 Book Value Market Value Acctg Speed Gain/(Loss) Pledged Face Speed Source

Projected

1-Mth Yield

3-Mth Yield

12-Mth

Fitch S & P Moody

Current Par Purchase Par Original Face

CUSIP

Description

Coupon

Speed

Pur Date Pur Price

Pool

Maturity

Acctg Yld

Book Price

Tape WAM

WAC

Yield

Yield

ASC 320 Safekeep

Mkt Price Duration Duration Duration Duration

Issued

Cur Factor

Capital Req Risk Factor

Current Par Cost

85% Rule**

Avg Life Avg Life Avg Life Avg Life

8.97

4.273 3.862 2.500 11.50

3128P7R70 FHLMC 20YR

4.0000 4.4150

725,000.00 444,935.99 173,905.87 185,535.83

9/17/14

105.804768 102.424009 106.687500

5.139 4.547 6.60 2.735

4.499 4.043 2.570 10.10

184,000.70 178,121.36

CPR

CPR

CPR CPR

AFS FED

11/01/11 11/01/31

3/01/31

C91410

2.500

4.688 4.193 2.623

0.00

0.2398701600

20%

(5,879.34)

2,782

03/01/31 WAM @105.805

Market Pricing : Acct To :

12-Mth CPR: 11.5

As of 12/19/18 - Intercontinental Exchange(Level 2)

YB

8.73

7.80 CPR CPR

3128P7SV6 FHLMC 20YR

3.5000 3.9490

500,000.00 498,643.24 166,691.49 175,494.88

3/12/12

103.906692 101.436366 105.281250

5.481 4.852 5.20 2.698

5.30

173,203.61 169,085.79

CPR

CPR

5.459 4.835 2.695

AFS FED

2/01/12 2/01/32

6/01/31

C91432

2.617

4.948 4.424 2.617

4.779 4.288 2.588

0.00

0.3333829700

20%

(4,117.82)

2,667

06/01/31 WAM @103.907

Market Pricing : Acct To :

12-Mth CPR: 7.8

As of 12/19/18 - Intercontinental Exchange(Level 2)

YB

CPR

CPR

7.80 CPR CPR

8.09

3128P7W58 FHLMC 20YR

3.0000 3.5700

500,000.00 500,000.00 220,852.16 232,584.93

10/30/12

104.063828 99.829743 105.312500

4.995 4.546 8.50 2.104

7.00

229,827.21 220,476.14

5.076 4.613 2.118

5.309 4.805 2.154

AFS FED

10/01/12 10/01/32

3/01/32

C91568

2.128

5.138 4.664 2.128

0.00

20%

0.4417043100

3,534

(9,351.07)

03/01/32 WAM @104.064

Market Pricing : Acct To :

12-Mth CPR: 7.8

As of 12/19/18 - Intercontinental Exchange(Level 2)

YB

7.98

7.40 CPR CPR

CPR

CPR

3128P7XJ7 FHLMC 20YR

3.0000 3.5420

500,000.00 500,000.00 231,264.90 243,550.85

11/28/12

104.091329 99.829731 105.312500

5.677 5.106 5.50 2.201

6.50

240,726.71 230,871.13

5.444 4.916 2.169

5.118 4.648 2.119

AFS FED

11/01/12 11/01/32

4/01/32

C91581

2.139

5.245 4.753 2.139

0.00

20%

0.4625298000

3,700

(9,855.58)

04/01/32 WAM @104.091

Market Pricing : Acct To :

12-Mth CPR: 7.4

As of 12/19/18 - Intercontinental Exchange(Level 2)

YB

8.73

8.90 CPR CPR

CPR

CPR

3128P76T5 FHLMC 20YR

3.5000 4.1890

880,000.00 745,544.14 429,700.88 453,065.87

11/12/15

104.990660 101.437501 105.437500

5.473 4.855 8.90 2.476

8.10

451,145.79 435,877.83

5.676 5.014 2.510

5.523 4.894 2.485

AFS FED

8/01/14 8/01/34

3/01/34

C91782

2.476

5.473 4.855 2.476

0.00

20%

0.4882964600

6,875

(15,267.96)

03/01/34 WAM @104.991

Market Pricing : Acct To :

12-Mth CPR: 8.9

As of 12/19/18 - Intercontinental Exchange(Level 2)

YB

** Reference ASC320, Standards of Financial Accounting and Reporting, Held to Maturity Securities, 11.b. (page 7). Market prices represent approximate values and do not constitute actual bids. Weighted average Yields, Avg Life, and Mod Dur are weighted by Market Value. *** 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.

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