Measures that address the valuation impact in scenarios with potentially large changes in yield. Measures that address the G-Sec portfolio size of banks The size of the G-Sec portfolio of banks is mainly a function of balance sheet choices made by banks among competing assets.
Recognizing at the outset that G-Sec portfolio is subject to interest rate risk, a risk-management strategy can be put in place along the following lines: 1. The bank’s Board in discussions with the Treasury head and Chief Risk Officer (CRO) can approve the risk limit for the portfolio in terms of the capital that can be put at risk.