Capital Markets School - October 2023

Internal Use Only

Expected Value of $10,000,000 Investment

$10,000,000

$7,064,181 $8,000,708

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Internal Use Only

Balance Sheet Alignment with the Yield Curve

• Different points along the balance sheet yield curve all pose different risks to the bank. • What strategies will banks employ along the different segments of the yield curve depending upon the recent, current and expected yield curve shape? • How does this approach address the banks risk vs. rewards strategy? • Are Management/ALCO strategies appropriately framed in policy limits and risk management practices?

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