BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 8 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

8.21

8.90 CPR CPR

31418CG99 FNMA 20YR

3.5000 4.0010

530,000.00 499,054.02 428,706.54 447,730.39

10/20/17

104.276406 101.215935 104.437500

7.459 6.323 5.10 2.817

8.00

447,039.77 433,919.33

CPR

CPR

6.377 5.515 2.711

AFS FED

2/01/17 3/01/37

11/01/36

MA2923

2.677

6.087 5.294 2.677

6.311 5.464 2.704

0.00

0.8088802600

20%

(13,120.44)

6,859

11/01/36 WAM @104.276

Market Pricing : Acct To :

12-Mth CPR: 8.9

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

YB

7.13

9.80 CPR CPR

3138A4XN0 FNMA 30YR

3.5000 3.9530

1,300,000.00 493,898.26 427,785.80 445,298.28

11/30/17

104.005287 100.443601 104.093750

7.877 6.578 6.00 2.884

8.40

444,919.85 429,683.46

CPR

CPR

6.823 5.811 2.798

AFS FED

1/01/11 1/01/41

8/01/39

AH3384

2.746

6.302 5.425 2.746

7.367 6.209 2.846

0.00

0.3290660000

20%

(15,236.39)

6,845

08/01/39 WAM @104.005

Market Pricing : Acct To :

12-Mth CPR: 9.8

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

YB

FNMA 22

3.8526 3.2779 106,188

6,922,424.67 6,636,763.41 11,584,613.66 15,195,000.00

5.590 4.956 8.09 2.481

5.867 5.167 2.514 7.16

5.683 5.031 2.487 7.69

5.507 4.888 2.448 8.55 Net: Loss: Gain: 17.70 2.093 1.978 2.493 2.093 1.978 2.493 17.70 Net: Loss: Gain:

6,665,071.25 6,886,350.79

103.760679 100.426531

2.441

20.00 %

0.00

(221,279.54) (221,279.54) 0.00

2.304 2.162 2.671 12.26

3620A3Q31 GNMA 15YR

4.5000 5.0000

1,000,000.00 571,480.39

1/18/12

103.892033 103.585017 107.750000

2.845 2.629 0.40 3.008

2.10

76,934.27 76,706.92

CPR

CPR

CPR CPR

2.761 2.557 2.964

AFS FED

8/01/09 8/15/24

5/15/24

717874

2.493

74,052.14 79,791.18

0.00

0.0740521400

0%

(227.35)

0

05/15/24 WAM @103.892

Market Pricing : Acct To :

12-Mth CPR: 17.7

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

YB

GNMA 1

5.0000 4.5000 0

79,791.18 74,052.14 571,480.39 1,000,000.00

2.304 2.162 12.26 2.671

2.845 2.629 3.008 0.40

2.761 2.557 2.964 2.10

76,706.92 76,934.27

103.892028 103.585015

2.493

0.00 %

0.00

(227.35) (227.35) 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.

BBA - Baker Bond Accounting ®

18 of 22

The Baker Group Software Solutions, Inc.

12/24/2018 2:07 PM - JWP / SOME