BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 4 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

8.83

4.266 3.873 2.412 10.10

31417YUM7 FNMA 20YR

4.0000 4.4290

1,750,000.00 700,069.93 264,388.55 283,391.48

6/12/14

106.060167 102.427286 107.187500

4.720 4.237 7.20 2.554

7.40

280,410.94 270,806.02

CPR

CPR

CPR CPR

4.687 4.210 2.544

AFS FED

11/01/10 12/01/30

3/01/30

MA0587

2.412

4.462 4.031 2.477

0.00

0.1510791700

20%

(9,604.92)

4,230

03/01/30 WAM @106.060

Market Pricing : Acct To :

12-Mth CPR: 10.1

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

YB

8.08

9.30 CPR CPR

31418ABT4 FNMA 20YR

3.5000 3.9080

940,000.00 499,509.34 233,556.58 247,205.04

2/23/15

105.091426 101.460315 105.843750

5.529 4.931 4.80 2.456

7.50

245,447.94 236,967.24

CPR

CPR

4.979 4.489 2.348

AFS FED

12/01/11 1/01/32

4/01/31

MA0949

2.273

4.651 4.224 2.273

4.866 4.399 2.324

0.00

0.2484644500

20%

(8,480.70)

3,737

04/01/31 WAM @105.091

Market Pricing : Acct To :

12-Mth CPR: 9.3

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

YB

CPR

CPR

9.30 CPR CPR

8.08

31418ACN6 FNMA 20YR

3.5000 3.9170

1,000,000.00 584,615.58 283,401.80 301,468.66

2/12/15

105.517979 101.459888 106.375000

5.518 4.933 5.00 2.371

7.40

299,039.85 287,539.15

4.892 4.430 2.237

5.025 4.537 2.268

AFS FED

1/01/12 2/01/32

5/01/31

MA0976

2.183

4.674 4.254 2.183

0.00

20%

0.2834018000

4,534

(11,500.70)

05/01/31 WAM @105.518

Market Pricing : Acct To :

12-Mth CPR: 9.3

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

YB

8.13

9.90 CPR CPR

CPR

CPR

31418AF29 FNMA 20YR

3.5000 3.9600

700,000.00 506,356.33 238,371.25 250,885.74

11/13/14

104.504564 101.458992 105.250000

4.501 4.084 10.80 2.371

9.70

249,108.84 241,849.07

4.693 4.240 2.414

4.992 4.482 2.475

AFS FED

5/01/12 6/01/32

9/01/31

MA1084

2.406

4.657 4.211 2.406

0.00

20%

0.3405303600

3,814

(7,259.77)

09/01/31 WAM @104.505

Market Pricing : Acct To :

12-Mth CPR: 9.9

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

YB

9.03

4.214 3.828 2.377 12.90

CPR

CPR

CPR CPR

31418AG77 FNMA 20YR

4.0000 4.5570

500,000.00 498,551.60 173,362.67 187,123.33

7/12/12

106.106765 103.477005 107.937500

6.764 5.800 1.10 2.950

8.30

183,949.52 179,390.50

5.023 4.469 2.619

4.887 4.362 2.583

AFS FED

6/01/12 7/01/32

10/01/31

MA1121

2.377

0.00

20%

0.3467253300

2,774

(4,559.02)

10/01/31 WAM @106.107

Market Pricing : Acct To :

12-Mth CPR: 12.9

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