BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 3 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

7.73

7.30 CPR CPR

3128P8CT6 FHLMC 20YR

3.0000 3.6700

500,000.00 500,000.00 387,478.17 408,789.47

7/14/16

105.048065 98.809427 105.500000

7.196 6.310 5.00 2.208

5.60

407,038.32 382,864.96

CPR

CPR

6.968 6.133 2.184

AFS FED

7/01/16 7/01/36

3/01/36

C91882

2.114

6.374 5.668 2.114

6.245 5.566 2.097

0.00

0.7749563400

20%

(24,173.36)

6,200

03/01/36 WAM @105.048

Market Pricing : Acct To :

12-Mth CPR: 7.3

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

YB

7.72

8.30 CPR CPR

3128P8CY5 FHLMC 20YR

3.0000 3.6690

500,000.00 500,000.00 396,401.82 417,770.36

8/24/16

104.931531 98.809378 105.390625

6.656 5.884 6.60 2.167

6.50

415,950.50 391,682.17

CPR

CPR

6.692 5.911 2.171

AFS FED

8/01/16 8/01/36

5/01/36

C91887

2.097

6.096 5.443 2.097

6.286 5.593 2.122

0.00

0.7928036300

20%

(24,268.33)

6,342

05/01/36 WAM @104.932

Market Pricing : Acct To :

12-Mth CPR: 8.3

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

YB

CPR

CPR

6.40 CPR CPR

7.48

3128P8DR9 FHLMC 20YR

3.0000 3.5210

525,000.00 499,168.11 442,961.93 453,759.13

10/23/17

102.331854 98.808768 102.437500

6.608 5.745 7.00 2.594

6.30

453,291.16 437,685.23

6.436 5.610 2.584

6.861 5.942 2.608

AFS FED

1/01/17 2/01/37

10/01/36

C91912

2.606

6.824 5.913 2.606

0.00

20%

0.8437370000

7,087

(15,605.93)

10/01/36 WAM @102.332

Market Pricing : Acct To :

12-Mth CPR: 6.4

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

YB

8.42

6.80 CPR CPR

CPR

CPR

3128P8D99 FHLMC 20YR

3.5000 4.1440

500,000.00 486,084.34 419,180.01 438,108.61

9/26/17

104.344163 101.130892 104.515625

6.208 5.378 8.60 2.696

7.20

437,389.87 423,920.48

6.687 5.739 2.749

6.273 5.427 2.704

AFS FED

4/01/17 5/01/37

1/01/37

C91928

2.764

6.834 5.849 2.764

0.00

20%

0.8383600200

6,707

(13,469.39)

01/01/37 WAM @104.344

Market Pricing : Acct To :

12-Mth CPR: 6.8

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

YB

FHLMC 14

3.8830 3.2595 72,775

4,771,176.26 4,548,427.60 7,129,974.22 7,730,000.00

5.853 5.177 8.15 2.405

6.023 5.313 2.424 7.67

6.119 5.387 2.436 7.30

5.790 5.127 2.388 8.50 Net: Loss: Gain:

4,555,568.87 4,748,178.57

104.391649 100.157005

2.388

20.00 %

0.00

(192,609.70) (192,609.70) 0.00

** 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