BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 5 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

8.17

8.60 CPR CPR

31418AGR3 FNMA 20YR

3.5000 4.0080

500,000.00 496,370.82 176,991.07 188,937.97

8/13/12

105.164183 101.460353 106.750000

5.670 5.040 5.20 2.464

7.60

186,131.21 179,575.76

CPR

CPR

5.145 4.622 2.366

AFS FED

6/01/12 7/01/32

11/01/31

MA1107

2.324

4.946 4.462 2.324

5.024 4.525 2.341

0.00

0.3539821400

20%

(6,555.45)

2,832

11/01/31 WAM @105.164

Market Pricing : Acct To :

12-Mth CPR: 8.6

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

YB

8.14

4.493 4.093 2.225 11.30

31418AKP2 FNMA 20YR

3.5000 4.0000

800,000.00 584,603.89 294,713.51 311,935.83

3/12/15

105.116353 101.458036 105.843750

4.391 4.010 11.90 2.198

4.615 4.192 2.256 10.60

309,792.09 299,010.54

CPR

CPR

CPR CPR

AFS FED

9/01/12 10/01/32

1/01/32

MA1201

2.225

5.092 4.577 2.365

0.00

0.3683918900

20%

(10,781.55)

4,715

01/01/32 WAM @105.116

Market Pricing : Acct To :

12-Mth CPR: 11.3

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

YB

CPR

CPR

8.60 CPR CPR

7.76

31418ALT3 FNMA 20YR

3.0000 3.5370

500,000.00 491,220.06 220,655.69 230,309.38

2/12/13

103.398225 99.683729 104.375000

5.558 4.997 6.00 2.302

7.90

228,154.07 219,957.82

5.163 4.672 2.252

5.142 4.655 2.249

AFS FED

10/01/12 11/01/32

3/01/32

MA1237

2.229

5.000 4.537 2.229

0.00

20%

0.4413113800

3,530

(8,196.25)

03/01/32 WAM @103.398

Market Pricing : Acct To :

12-Mth CPR: 8.6

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

YB

7.81

8.70 CPR CPR

CPR

CPR

31418AMZ8 FNMA 20YR

3.0000 3.5300

500,000.00 498,399.38 228,044.60 240,016.94

12/21/12

104.049587 99.683724 105.250000

4.981 4.540 8.80 2.088

8.00

237,279.46 227,323.35

5.144 4.675 2.115

5.186 4.710 2.122

AFS FED

11/01/12 12/01/32

4/01/32

MA1275

2.091

5.001 4.557 2.091

0.00

20%

0.4560892000

3,649

(9,956.11)

04/01/32 WAM @104.050

Market Pricing : Acct To :

12-Mth CPR: 8.7

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

YB

7.79

8.80 CPR CPR

CPR

CPR

31418ANZ7 FNMA 20YR

3.0000 3.5380

600,000.00 491,635.01 282,005.65 294,475.59

5/13/15

103.823576 99.683717 104.421875

5.614 5.053 6.00 2.227

6.50

292,788.35 281,113.71

5.498 4.958 2.212

5.211 4.723 2.171

AFS FED

12/01/12 1/01/33

5/01/32

MA1307

2.139

5.004 4.552 2.139

0.00

20%

0.4700094100

4,512

(11,674.64)

05/01/32 WAM @103.824

Market Pricing : Acct To :

12-Mth CPR: 8.8

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