BAS Sept 2022 Case Study

BBA

Inventory: MBS - Variable Rate Sunny State Bank

As Of 12/31/2018

Page 1 of 3 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 Reset Freq

Capital Req Risk Factor

Next Reset

Current Par Cost

85% Rule**

Avg Life Avg Life Avg Life Avg Life

3138XQME8 FNMA ARM

2.7500 3.4200

600,000.00 598,974.23 203,412.57 211,167.67

103.678932 100.475624 103.812500

2.875 2.742 2.093 28.44

5.103 4.519 2.995 15.40

210,895.98 204,380.05

CPR

CPR

CPR CPR

6/24/14

14.905 10.705 0.30 3.920

4.444 4.019 2.812 18.10

5/01/14 6/01/44

AW1256

1.919

AFS FED

5/01/44

0.00

0.3390209500

20%

5/01/21

3,255

Annual

(6,515.93)

05/01/44 WAM @103.679

Market Pricing : Acct To :

12-Mth CPR: 15.4

12 Mth LIBOR, Margin: 158, Cap: 7.878%; Collar: 2.000%

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

YB

3138YAMW2 FNMA ARM

2.5900 3.2400

500,000.00 492,796.37 190,672.79 197,942.19

103.762751 102.717422 103.812500

1.924 1.869 1.769 40.98

6.163 5.124 3.603 12.30

197,847.33 195,854.17

CPR

CPR

CPR CPR

1/29/15

9.900 1.20 4.134

8.50

11/01/14 11/01/44

AX8472

1.871

7.884 6.252 3.800

AFS FED

10/01/44

0.00

0.3813455800

20%

10/01/19

3,051

Annual

14.096

(1,993.16)

10/01/44 WAM @103.763

Market Pricing : Acct To :

12-Mth CPR: 12.3

12 Mth LIBOR, Margin: 160, Cap: 7.56%; Collar: 2.000%

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

YB

FNMA 2

3.3319 2.6717 6,305

409,109.86 394,085.36 1,091,770.60 1,100,000.00

2.410 2.315 34.57 1.934

14.509 10.311 4.025 0.74

6.127 5.112 3.295 13.40

5.622 4.815 3.293 13.88 Net: Loss: Gain: 24.30 3.255 3.036 2.068

400,234.22 408,743.31

103.719486 101.560286

1.896

20.00 %

0.00

(8,509.09) (8,509.09) 0.00 60,061.62 58,839.18

36225EW65 GNMA II 5x1

3.5000 4.1590

500,000.00 375,035.86 56,686.71 60,513.06

105.953618 103.797142 106.750000

4.912 4.334 2.700 14.88

CPR

CPR

CPR CPR

2/28/12

5.924 5.080 11.30 2.917

3.719 3.411 2.300 21.00

1/01/10 1/20/40

82468

1.519

AFS FED

12/20/39

0.00

0.1133734200

0%

4/01/19

0

Annual

(1,222.44)

12/20/39 WAM @105.954

Market Pricing : Acct To :

12-Mth CPR: 24.3

1 YR CMT, Margin: 150, Cap: 10%; Collar: 2.000%

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

YB

CPR

CPR

CPR CPR

36225E2M3 GNMA II 5x1

3.7500 4.1620

500,000.00 408,670.55 66,623.70 70,787.68

105.610936 103.983504 106.250000

4.743 4.201 2.708 15.75

3.942 3.583 2.456 19.70

70,361.91 69,277.66

4/24/12

3.162 2.954 25.10 2.091

3.546 3.267 2.290 22.20

7/01/10 7/20/40

82579

2.164

AFS FED

6/20/40

0.00

0%

0.1332474000

0

10/01/19

Annual

(1,084.25)

06/20/40 WAM @105.611

Market Pricing : Acct To :

12-Mth CPR: 19.7

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

YB

1 YR CMT, Margin: 150, Cap: 8.5%; Collar: 1.000%

** 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