BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 7 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

7.95

9.90 CPR CPR

31418BNP7 FNMA 20YR

3.0000 3.8590

825,000.00 749,571.94 449,868.12 467,722.26

2/26/16

103.676615 99.683607 103.968750

5.778 5.164 8.10 2.271

9.80

466,408.04 448,444.77

CPR

CPR

5.345 4.814 2.216

AFS FED

2/01/15 3/01/35

8/01/34

MA2197

2.213

5.321 4.794 2.213

5.805 5.186 2.275

0.00

0.5452946900

20%

(17,963.27)

7,198

08/01/34 WAM @103.677

Market Pricing : Acct To :

12-Mth CPR: 9.9

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

YB

7.73

8.60 CPR CPR

31418BPQ3 FNMA 20YR

3.0000 3.7340

550,000.00 509,737.70 317,834.76 330,250.18

3/14/16

103.600439 99.683605 103.906250

7.276 6.348 3.50 2.424

7.30

329,278.21 316,829.15

CPR

CPR

6.031 5.363 2.313

AFS FED

3/01/15 4/01/35

10/01/34

MA2230

2.273

5.673 5.076 2.273

5.918 5.272 2.301

0.00

0.5778813900

20%

(12,449.06)

5,085

10/01/34 WAM @103.600

Market Pricing : Acct To :

12-Mth CPR: 8.6

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

YB

CPR

CPR

8.40 CPR CPR

7.79

31418BRH1 FNMA 20YR

3.0000 3.7630

500,000.00 498,010.25 319,508.90 326,298.46

6/11/15

101.874935 99.683596 102.125000

5.285 4.702 10.30 2.578

7.60

325,499.48 318,497.96

5.937 5.227 2.622

5.993 5.272 2.626

AFS FED

5/01/15 6/01/35

12/01/34

MA2287

2.612

5.770 5.093 2.612

0.00

20%

0.6390177900

5,112

(7,001.52)

12/01/34 WAM @101.875

Market Pricing : Acct To :

12-Mth CPR: 8.4

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

YB

7.73

8.10 CPR CPR

CPR

CPR

31418BX27 FNMA 20YR

3.0000 3.7600

625,000.00 487,635.26 407,984.93 418,439.54

8/14/17

102.460220 98.910776 102.562500

4.950 4.446 12.20 2.421

6.30

418,022.26 403,541.06

6.558 5.734 2.556

6.116 5.384 2.526

AFS FED

12/01/15 1/01/36

7/01/35

MA2496

2.517

5.997 5.289 2.517

0.00

20%

0.6527758800

6,528

(14,481.20)

07/01/35 WAM @102.460

Market Pricing : Acct To :

12-Mth CPR: 8.1

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

YB

7.49

6.90 CPR CPR

CPR

CPR

31418CEE0 FNMA 20YR

3.0000 3.4900

500,000.00 500,000.00 411,140.22 422,253.85

11/28/16

102.466663 98.910616 102.703125

6.947 6.025 6.00 2.578

6.60

421,281.66 406,661.32

6.729 5.855 2.565

6.419 5.612 2.545

AFS FED

11/01/16 12/01/36

8/01/36

MA2832

2.558

6.623 5.772 2.558

0.00

20%

0.8222804400

6,578

(14,620.34)

08/01/36 WAM @102.467

Market Pricing : Acct To :

12-Mth CPR: 6.9

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