BAS Sept 2022 Case Study

BBA

Inventory: MBS - Variable Rate Sunny State Bank

As Of 12/31/2018

Page 2 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

36225FBP3 GNMA II 5x1

3.5000 4.1780

600,000.00 499,472.83 53,014.90 56,179.23

105.401330 103.555149 105.968750

4.116 3.705 2.598 19.02

1.825 1.792 0.916 42.20

55,878.41 54,899.66

CPR

CPR

CPR CPR

6/21/12

9.589 0.20 3.565

4.391 3.917 2.683 17.60

2/01/11 2/20/41

82745

0.409

AFS FED

2/20/41

0.00

0.0883581600

0%

4/01/19

0

Annual

12.838

(978.75)

02/20/41 WAM @105.401

Market Pricing : Acct To :

12-Mth CPR: 42.2

1 YR CMT, Margin: 150, Cap: 9%; Collar: 2.000%

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

YB

36179MLL2 GNMA II 5x1

3.7500 4.0480

600,000.00 502,418.24 96,848.68 100,419.98

103.541250 102.864581 103.687500

4.278 3.769 3.091 18.40

3.161 2.892 2.767 25.50

100,278.33 99,622.99

CPR

CPR

CPR CPR

10/31/13

2.698 2.510 29.80 2.556

4.360 3.831 3.108 18.00

8/01/12 8/20/42

MA0331

2.488

AFS FED

7/20/42

0.00

0.1614144700

0%

10/01/19

0

Annual

(655.34)

07/20/42 WAM @103.541

Market Pricing : Acct To :

12-Mth CPR: 25.5

1 YR CMT, Margin: 150, Cap: 7.5%; Collar: 1.000%

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

YB

CPR

CPR

CPR CPR

36179N6J2 GNMA II 5x1

2.5000 2.8810

750,000.00 699,730.21 177,776.36 183,442.98

103.131093 101.546666 103.187500

3.517 3.200 2.821 23.13

2.736 2.559 2.497 29.60

183,342.70 180,525.97

11/24/14

1.790 1.736 43.10 1.745

4.142 3.691 2.995 19.40

3/01/14 3/20/44

MA1773

1.257

AFS FED

2/20/44

0.00

0%

0.2370351500

0

4/01/19

Annual

(2,816.73)

02/20/44 WAM @103.131

Market Pricing : Acct To :

12-Mth CPR: 29.6

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

YB

1 YR CMT, Margin: 150, Cap: 7.5%; Collar: 1.000%

CPR

CPR

CPR CPR

36179QJ85 GNMA II 5x1

3.0000 3.3520

500,000.00 482,116.01 82,084.65 85,829.76

104.440592 101.720489 104.562500

3.326 3.084 2.359 24.48

2.970 2.790 2.173 27.40

85,729.69 83,496.91

12/22/14

3.247 3.019 25.10 2.321

3.395 3.140 2.391 24.00

7/01/14 7/20/44

MA2087

1.382

AFS FED

6/20/44

0.00

0%

0.1641693000

0

10/01/19

Annual

(2,232.78)

06/20/44 WAM @104.441

Market Pricing : Acct To :

12-Mth CPR: 27.4

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

YB

1 YR CMT, Margin: 150, Cap: 8%; Collar: 1.000%

CPR

CPR

CPR CPR

36179QY70 GNMA II 5x1

3.0000 3.3780

500,000.00 500,000.00 94,382.32 98,924.47

104.707092 100.719214 104.812500

3.266 3.063 2.123 24.97

2.657 2.547 1.731 30.50

98,824.98 95,061.13

1/22/15

2.439 2.357 33.00 1.545

3.164 2.978 2.068 25.80

1/01/15 1/20/45

MA2534

1.109

AFS FED

12/20/44

0.00

0%

0.1887646300

0

4/01/20

Annual

(3,763.85)

12/20/44 WAM @104.707

Market Pricing : Acct To :

12-Mth CPR: 30.5

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

YB

1 YR CMT, Margin: 150, Cap: 8%; 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.

BBA - Baker Bond Accounting ®

21 of 22

The Baker Group Software Solutions, Inc.

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