Bank Analysis School - Case Study & Resources

SECURITIES PORTFOLIO

Sunny State Bank

Securities Mix (Bond Types)

Securities Volume and Mix (Bond Types)

45M

Q...

20 X5 Q4

40M

35M

Metrics

30M

31.1%

Corporates/Other

25M

CMOs/CMBS/ABS

20M

50.2%

Pass Thru MBS

15M

Municipals

10M

Treas./Agency

18.7%

5M

20 X9 Q4 20 X0 Q4 20 X1Q4

20 X2Q4

20 X3Q4

2 0X4 Q4 20 X5 Q4

Securities Mix (Accounting Designation)

Securities Volume and Mix (Accounting Designation)

35M

30M

25M

20M

Metrics

HTM Securities

15M

AFS Securities

10M

100.00%

5M

20 X5 Q4

20 X9 Q4 20 X0Q4

20 X1Q4

20 X2 Q4 20 X3 Q4 20 X4 Q4 20 X5 Q4

Securities Mix Qtr

Evaluating the composition of the securities portfolio is important to understand its contribution to a bank's risk profile. Different bond types have varying degrees of credit risk and marketability. For example, corporate bonds tend to have more credit risk than other bond types, and Municipals may be less liquid (especially non-rated issues). Available for Sale (AFS) bonds can be sold, while accounting rules prohibit Held for Sale (HFS) bonds from being liquidated. AFS bonds are reported at fair value, whereas HFS bonds are reported at amortized cost.

20 X5Q4