Bank Analysis School - September 2023

Internal Use Only

Credit Risk Premium

4.5%

High risk (e.g. Corporates) Low risk (e.g. U.S. Treasuries)

4.0%

3.5%

3.0%

Yield

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

1m

3m

6m

1y

2y

3y

5y

7y

10y

20y

30y

Maturity

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