Bank Analysis School Case Study eBook

Sunny State Bank

SECURITIES PORTFOLIO

Securities Mix Qtr

Securities Volume and Mix (Bond Types)

50M

20 X5 Q4

Securities Mix (Bond Types)

40M

30M

Metrics

31.1%

20M

Corporates/Other CMOs/CMBS/ABS Pass Thru MBS Municipals Treas./Agency

50.2%

10M

18.7%

20X5Q3 20 X5 Q4

20X9Q2

20X9Q3

20X9Q4

20X0Q1

20X0Q2

20X0Q3

20X0Q4

20X1Q1

20X1Q2

20X1Q3

20X1Q4

20X2Q1

20X2Q2

20X2Q3

20X2Q4

20X3Q1

20X3Q2

20X3Q3

20X3Q4

20X4Q1

20X4Q2

20X4Q3

20X4Q4

20X5Q1

20X5Q2

Securities Mix (Accounting Designation)

Securities Volume and Mix (Accounting Designation)

35M

30M

25M

20M

Metrics

15M

HTM Securities AFS Securities

10M

5M

100.00%

20X5Q4

20X9Q2

20X9Q3

20X9Q4

20X0Q1

20X0Q2

20X0Q3

20X0Q4

20X1Q1

20X1Q2

20X1Q3

20X1Q4

20X2Q1

20X2Q2

20X2Q3

20X2Q4

20X3Q1

20X3Q2

20X3Q3

20X3Q4

20X4Q1

20X4Q2

20X4Q3

20X4Q4

20X5Q1

20X5Q2

20X5Q3

20X5Q4

Evaluating the composition of the securities portfolio is important to understand its contribution to a bank's risk profle. 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.

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