BAS Sept 2022 Case Study

BBA

Inventory: MBS - Variable Rate Sunny State Bank

As Of 12/31/2018

Page 3 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

GNMA2 7

3.5635 3.1454 0

656,097.16 627,417.32 3,467,443.70 3,950,000.00

3.885 3.508 20.94 2.657

3.689 3.225 2.217 28.67

3.852 3.483 2.630 21.02

2.921 2.728 2.204 28.33 Net: Loss: Gain: 3.958 3.529 2.622 22.78 Net: Loss: Gain:

641,723.50 654,477.64

104.312970 102.280170

1.492

0.00 %

0.00

(12,754.14) (12,754.14) 0.00

Total 9

3.4745 2.9634 6,305

1,065,207.02 1,021,502.68 4,559,214.30 5,050,000.00

3.318 3.050 26.18 2.38

7.845 5.947 2.911 17.94

4.726 4.109 2.886 18.10

1,041,957.72 1,063,220.95

104.084010 102.002446

1.647

7.68 %

0.00

(21,263.23) (21,263.23) 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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The Baker Group Software Solutions, Inc.

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