BAS September 2022 Presentations

Internal Use Only

Learning Objectives

1 – Impact on Other Components

2 – Investment Types and Terminology

3 – Yield Curve

4 – Credit Risk

5 – Interest Rate Risk

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Internal Use Only

Recap: Securities Portfolio Impacts Every Component

Capital

• Wide range of risk ‐ weightings can impact capital ratios

Asset Quality Management

• Credit risk and potential for adverse classification

• Risk management: pre ‐ purchase analysis, ongoing monitoring, etc.

Earnings Liquidity Sensitivity

• Interest Income; realized gains/losses

• Cash flow, marketability, pledging

• Term structure may contribute to or mitigate interest rate risk • Price volatility with rate changes

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