BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 6 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

7.87

8.10 CPR CPR

31418ARX8 FNMA 20YR

3.0000 3.5290

500,000.00 500,000.00 248,770.29 260,275.92

3/27/13

103.600939 99.683703 104.625000

5.746 5.152 5.80 2.285

6.50

257,728.36 247,983.44

CPR

CPR

5.577 5.015 2.265

AFS FED

3/01/13 4/01/33

8/01/32

MA1401

2.217

5.216 4.719 2.217

5.259 4.754 2.223

0.00

0.4975405700

20%

(9,744.92)

3,980

08/01/32 WAM @103.601

Market Pricing : Acct To :

12-Mth CPR: 8.1

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

YB

4.957 4.368 3.021 10.01

0.00 CPR CPR

31418CWA8 FNMA 15YR

3.5000 3.9550

500,000.00 500,000.00 458,544.39 467,930.22

3/26/18

101.974632 101.017996 102.046875

5.984 5.181 5.60 3.100

5.10

467,598.95 463,212.35

CPR

CPR

6.119 5.286 3.109

AFS FED

3/01/18 4/01/33

1/01/33

MA3340

3.090

7.750 6.546 3.190

0.00

0.9170887700

20%

(4,386.60)

7,337

01/01/33 WAM @101.975

Market Pricing : Acct To :

Life CPR: 6.2

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

YB

CPR

CPR

9.20 CPR CPR

7.91

31418AUQ9 FNMA 20YR

3.0000 3.6460

500,000.00 500,000.00 252,335.99 259,590.65

6/13/13

102.286863 99.683681 102.875000

5.207 4.670 8.50 2.487

8.20

258,106.57 251,537.80

5.340 4.779 2.500

5.273 4.724 2.494

AFS FED

6/01/13 7/01/33

11/01/32

MA1490

2.473

5.058 4.547 2.473

0.00

20%

0.5046719700

4,037

(6,568.77)

11/01/32 WAM @102.287

Market Pricing : Acct To :

12-Mth CPR: 9.2

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

YB

8.33

9.40 CPR CPR

CPR

CPR

31418AVE5 FNMA 20YR

3.5000 4.0460

500,000.00 500,000.00 229,385.67 238,274.36

6/28/13

103.150082 101.460862 103.875000

5.353 4.721 8.10 2.811

9.30

236,611.51 232,736.68

5.090 4.511 2.778

5.308 4.685 2.806

AFS FED

6/01/13 7/01/33

12/01/32

MA1512

2.775

5.069 4.495 2.775

0.00

20%

0.4587713400

3,670

(3,874.83)

12/01/32 WAM @103.150

Market Pricing : Acct To :

12-Mth CPR: 9.4

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

YB

7.97

5.296 4.794 2.091 10.00

CPR

CPR

CPR CPR

31418BM29 FNMA 20YR

3.0000 3.8510

575,000.00 495,374.29 289,406.43 302,610.60

4/13/16

104.266465 99.683607 104.562500

5.492 4.952 9.20 2.121

6.80

301,753.86 288,490.77

6.143 5.476 2.208

5.804 5.205 2.165

AFS FED

1/01/15 2/01/35

8/01/34

MA2176

2.091

0.00

20%

0.5033155300

4,631

(13,263.09)

08/01/34 WAM @104.266

Market Pricing : Acct To :

12-Mth CPR: 10.0

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