BAS Sept 2022 Case Study

BBA

Inventory: MBS - Fixed Rate Sunny State Bank

As Of 12/31/2018

Page 9 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

Total 37

3.8726 3.2788 178,963

11,773,392.11 11,259,243.15 19,286,068.27 23,925,000.00

5.674 5.026 8.14 2.45

5.909 5.208 2.481 7.32

5.839 5.158 2.470 7.49

5.598 4.965 2.424 8.59 Net: Loss: Gain:

11,297,347.04 11,711,463.63

104.016438 100.338423

2.420

19.86 %

0.00

(414,116.59) (414,116.59) 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 ®

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