Bank Analysis School Case Study eBook

Sunny State Bank

SECURITIES APPRECIATION/DEPRECIATION

All Securities Appreciation/Depreciation % of Portfolio

AFS Securities Appreciation/Depreciation % of Portfolio

4.00% 3.98%

4.0%

3.0%

3.00%

1.97%

2.0%

2.00%

2.0%

0.9%

0.86%

0.43%

0.4%

0.2%

0.15%

0.2%

0.7%

0.69%

(0.5%)

0.00%

0.0%

(0.79%)

(0.8%)

(0.49%)

(1.1%)

(0.2%)

(0.88%)

(0.9%)

Metrics

(0.44%)

(0.4%)

(0.51%)

(0.5%)

(1.70%)

(1.7%)

(2.00%)

(2.0%)

(2.00%)

(2.0%)

Bank State All Banks

(2.4%)

(2.64%)

(2.6%)

(3.66%)

(2.68%)

(2.7%)

(3.9%)

(3.10%)

(3.1%)

(4.00%)

(4.0%)

(3.7%)

(3.86%)

(4.65%)

(4.7%)

(6.00%)

(6.0%)

20X9Q2 20X5Q4 All Securities Appreciation/Depreciation % of Tier 1 Capital 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

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AFS Securities Appreciation/Depreciation % of Tier 1 Capital

20.00% 20.26%

20.00% 20.26%

(20.00%) (15.00%) (10.00%) (5.00%) 0.00% 5.00% 10.00% 15.00%

(20.00%) (15.00%) (10.00%) (5.00%) 0.00% 5.00% 10.00% 15.00%

14.25%

14.25%

10.12%

10.12%

2.91%

2.91%

0.61%

0.52%

0.61%

0.52%

2.35%

2.35%

(2.28%)

(2.28%)

(2.84%)

(2.84%)

(0.87%)

(0.87%)

(2.20%)

(2.20%)

(4.78%)

(4.78%)

(7.03%)

(7.03%)

(8.46%)

(8.46%)

(9.14%)

(9.14%)

(10.32%)

(10.32%)

(13.01%)

(13.01%)

(14.02%)

(14.02%)

(15.23%)

(15.23%)

(15.63%)

(15.63%)

(18.66%)

(18.66%)

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Bond portfolio appreciation or depreciation refects changes in the market value of bonds due to various factors. Interest rate fuctuations are a primary cause: as interest rates rise, bond prices generally fall (depreciation), and as rates fall, bond prices generally rise (appreciation). Additionally, the term structure of bonds infuences their sensitivity to interest rate changes, with longer-term bonds being more affected by interest rate changes. The charts on the left side refect appreciation/depreciation for all bonds while the charts on the right refect these fgures for only AFS bonds.