BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 2 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

7.76

8.20 CPR CPR

3128P8BH3 FHLMC 20YR

3.0000 3.6860

500,000.00 475,129.30 330,774.65 344,935.94

4/21/16

103.902950 99.396962 104.281250

6.209 5.505 6.90 2.293

6.60

343,684.62 328,779.95

CPR

CPR

6.302 5.578 2.302

AFS FED

7/01/15 7/01/35

2/01/35

C91840

2.250

5.830 5.202 2.250

5.943 5.293 2.263

0.00

0.6615492900

20%

(14,904.67)

5,292

02/01/35 WAM @103.903

Market Pricing : Acct To :

12-Mth CPR: 8.2

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

YB

8.45

5.291 4.706 2.449 10.50

3128P8BJ9 FHLMC 20YR

3.5000 4.1330

500,000.00 498,481.18 307,330.80 324,233.99

8/13/15

104.954016 101.191328 105.500000

5.366 4.764 10.20 2.462

8.60

322,556.02 310,992.12

CPR

CPR

CPR CPR

5.787 5.091 2.532

AFS FED

7/01/15 7/01/35

3/01/35

C91841

2.449

5.814 5.113 2.536

0.00

0.6146615900

20%

(11,563.90)

4,917

03/01/35 WAM @104.954

Market Pricing : Acct To :

12-Mth CPR: 10.5

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

YB

CPR

CPR

CPR CPR

8.45

5.291 4.721 2.357 10.50

3128P8BJ9 FHLMC 20YR

3.5000 4.1330

500,000.00 492,847.38 307,330.80 325,674.61

10/26/15

105.410096 101.191328 105.968750

5.366 4.779 10.20 2.371

8.60

323,957.69 310,992.12

5.814 5.128 2.451

5.787 5.107 2.447

AFS FED

7/01/15 7/01/35

3/01/35

C91841

2.357

0.00

20%

0.6146615900

4,917

(12,965.57)

03/01/35 WAM @105.410

Market Pricing : Acct To :

12-Mth CPR: 10.5

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

YB

8.58

5.120 4.513 2.772 11.30

CPR

CPR

CPR CPR

3128P8BM2 FHLMC 20YR

3.5000 4.1780

600,000.00 490,751.69 353,105.51 365,243.51

12/20/16

103.273317 101.191379 103.437500

4.915 4.352 12.20 2.744

9.60

364,663.77 357,312.33

5.540 4.842 2.824

5.811 5.052 2.853

AFS FED

8/01/15 9/01/35

4/01/35

C91844

2.772

0.00

20%

0.5885091800

5,650

(7,351.44)

04/01/35 WAM @103.273

Market Pricing : Acct To :

12-Mth CPR: 11.3

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

YB

7.75

8.10 CPR CPR

CPR

CPR

3128P8CQ2 FHLMC 20YR

3.0000 3.6850

500,000.00 498,388.85 381,448.61 402,428.28

7/14/16

105.058083 98.809447 105.500000

7.366 6.443 4.50 2.223

6.70

400,742.60 376,907.26

6.554 5.810 2.135

6.195 5.527 2.089

AFS FED

6/01/16 6/01/36

2/01/36

C91879

2.076

6.101 5.453 2.076

0.00

20%

0.7628972200

6,103

(23,835.34)

02/01/36 WAM @105.058

Market Pricing : Acct To :

12-Mth CPR: 8.1

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