Annual Report

Annual Report
Annex
Financial statements
The BIS’s financial statements for the financial year ended

31 March 2021 provide an analysis of the Bank’s balance sheet
and profit and loss account, together with other financial,
capital adequacy and risk management disclosures. The financial
statements are prepared in accordance with the Statutes and
accounting policies of the Bank, and are externally audited.
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Letter to shareholders
Submitted to the Annual General Meeting of the Bank for International Settlements
held by video conference on 29 June 2021
Ladies and gentlemen
It is our pleasure to submit to you the financial statements of the Bank for
International Settlements for the financial year ended 31 March 2021.
Pursuant to Article 49 of the Bank’s Statutes, they are presented in a form

approved by the Board of Directors on 9 May 2021, and are subject to approval
by shareholders at the Annual General Meeting.
The net profit for the year was exceptional at SDR 1,237.3 million. This compares
with SDR 165.5 million for the prior year, and reflects the recouping in full of
the valuation losses from the start of the pandemic, coupled with strong earnings
from a higher average balance sheet. The Board of Directors proposes to allocate
this profit as follows. First, SDR 294.1 million to pay a dividend of SDR 520 per
share, comprising the normal dividend of SDR 265 and a supplementary dividend
of SDR 255 to compensate for the absence of a dividend in 2019/20. Second,
SDR 300.0 million to the Special Dividend Reserve Fund. This would be coupled
with establishing a work-plan to develop a new dividend policy to use this
Fund to smooth future dividend payments. Third, SDR 47.1 million to the general
reserve fund. Fourth, SDR 596.1 million to the free reserve fund.
Basel, 17 May 2021
Agustín Carstens Luiz Awazu Pereira da Silva

General Manager Deputy General Manager
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Contents
Balance sheet 145
Profit and loss account 146
Statement of comprehensive income 147
Statement of cash flows 148
Movements in shareholders’ equity 150
Introduction 151
Accounting policies 151
Notes to the financial statements 162
1. Cash and cash equivalents 162
2. Currency assets 162
3. Gold and gold loans 164
4. Derivative financial instruments 164
5. Accounts receivable and other assets 165
6. Land, buildings and equipment, and depreciation and amortisation 166
7. Currency deposits 166
8. Securities sold under repurchase agreements 167
9. Gold deposits 168
10. Accounts payable 168
11. Other liabilities 168
12. Post-employment benefit obligations 168
13. Share capital 174
14. Statutory reserves 175
15. Other equity accounts 176
16. Interest income 178
17. Interest expense 178
18. Change in ECL impairment provision 178
19. Net income on financial assets and liabilities at fair value

through profit and loss 179
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20. Net gain on sales of currency assets at FVOCI 180
21. Net gain on sales of gold investment assets 180
22. Net fee income 180
23. Net foreign exchange income 181
24. Administrative expense 181
25. Dividend per share 182
26. Exchange rates 182
27. Off-balance sheet items 182
28. Commitments 183
29. Fair value hierarchy 183
30. Geographical analysis 188
31. Related parties 189
32. Contingent liabilities 191
Capital adequacy 192
1. Capital adequacy framework 192
2. Economic capital 192
3. Financial leverage 194
4. Common Equity Tier 1 capital ratio 194
Risk management 196
1. Risks faced by the Bank 196
2. Risk management approach and organisation 196
3. Credit risk 198
4. Market risk 206
5. Operational risk 212
6. Liquidity risk 213
Independent auditor’s report 218
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Balance sheet
As at 31 March
SDR millions Note 2021 2020
Assets
Cash and cash equivalents 1 50,854.6 54,021.4
Securities purchased under resale agreements 2 78,572.0 56,018.6
Loans and advances 2 45,544.4 54,038.9
Government and other securities 2 127,079.5 103,706.1
Gold and gold loans 3 41,665.7 31,436.8
Derivative financial instruments 4 7,621.8 3,521.0
Accounts receivable and other assets 5 4,618.0 5,555.2
Land, buildings and equipment 6 198.4 199.3
Total assets 356,154.4 308,497.3
Liabilities
Currency deposits 7 288,014.7 250,194.8
Securities sold under repurchase agreements 8 – 148.8
Gold deposits 9 18,848.9 15,221.1
Derivative financial instruments 4 2,208.1 3,049.2
Accounts payable 10 23,319.7 17,212.6
Other liabilities 11 940.0 1,030.9
Total liabilities 333,331.4 286,857.4
Shareholders’ equity
Share capital 13 710.2 706.4
Less: shares held in treasury 13 (1.7) (1.7)
Statutory reserves 14 17,141.8 16,867.8
Profit and loss account 1,237.3 165.5
Other equity accounts 15 3,735.4 3,901.9
Total shareholders’ equity 22,823.0 21,639.9
Total liabilities and shareholders’ equity 356,154.4 308,497.3
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Profit and loss account
For the financial year ended 31 March
Interest income 16 254.9 282.3
Interest expense 17 (174.2) (453.3)
Change in ECL impairment provision 18 0.8 (1.8)
Net income on financial assets and liabilities at fair value

through profit and loss 19 1,310.4 554.0
Net interest and valuation income 1,391.9 381.1
Net gain / (loss) on sales of currency assets at fair value

through other comprehensive income 20 127.6 109.2
Net fee income 22 6.7 3.0
Net foreign exchange income 23 27.5 13.0
Total income 1,553.8 506.3
Administrative expense 24 (288.8) (315.3)
Depreciation and amortisation 6 (27.7) (25.5)
Operating expense (316.5) (340.8)
Net profit 1,237.3 165.5
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Statement of comprehensive income
Net profit 1,237.3 165.5
Other comprehensive income
Items that are or may be reclassified subsequently to profit and loss
Currency assets at fair value through other comprehensive income
Net change in fair value during the year (227.8) 544.7
Net change in expected credit loss impairment provision (0.7) 1.8
Reclassification to profit and loss 20 (127.6) (109.2)
Net movement on currency assets at fair value through other

comprehensive income (356.1) 437.3
Gold at fair value through other comprehensive income
Net change in fair value during the year 15B 60.9 807.4
Reclassification to profit and loss – –
Net movement on gold at fair value through other

comprehensive income 60.9 807.4
Items that will not be reclassified to profit and loss
Re-measurement of defined benefit obligations 15C 128.7 192.6
Total comprehensive income 1,070.9 1,602.8
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Statement of cash flows
Cash flow from / (used in) operating activities
Interest income received 336.5 370.4
Interest expenses paid (160.8) (439.2)
Net fee income 22 6.7 3.0
Net foreign exchange transaction gain 23 13.5 22.2
Administrative expense 24 (288.8) (315.3)
Adjustments for non-cash flow items
Net income on financial assets and liabilities at fair value through

profit and loss (FVPL) 19 1,310.4 554.0
Net change in ECL impairment provision 18 0.8 (1.8)
Net foreign exchange translation gain 23 14.0 (9.2)
Lease interest expense 17 (0.1) (0.2)
Change in accruals (95.5) (102.1)
Change in operating assets and liabilities
Currency deposits 39,033.7 9,072.8
Currency banking assets (31,916.5) (9,160.1)
Gold deposits 3,627.8 3,887.7
Gold banking assets (10,167.4) (10,974.2)
Change in cash collateral balance on derivatives transactions (3.0) 1.2
Accounts receivable and other assets (0.5) (5.2)
Accounts payable and other liabilities 41.5 126.4
Net derivative financial instruments (4,941.9) 637.7
Net cash flow used in operating activities (3,189.6) (6,331.9)
Cash flow from / (used in) investment activities
Change in currency investment assets 88.6 (61.9)
Change in securities sold under repurchase agreements in investment portfolios (148.8) (400.3)
Capital expenditure on land, buildings and equipment 6 (26.5) (26.2)
Net cash flow used in investment activities (86.7) (488.4)
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Cash flow from financing activities
Issue of shares 112.3 224.5
Dividends paid – (136.7)
Repayment of principal on lease liabilities (2.8) (2.4)
Net cash flow from financing activities 109.5 85.4
Total net cash flow (3,166.8) (6,735.0)
Net effect of exchange rate changes on cash and cash equivalents (1,168.8) 1,254.5
Net movement in cash and cash equivalents (1,998.0) (7,989.5)
Net change in cash and cash equivalents (3,166.8) (6,735.0)
Cash and cash equivalents, beginning of year 1 54,021.4 60,756.4
Cash and cash equivalents, end of year 1 50,854.6 54,021.4
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Movements in shareholders’ equity
Other equity accounts
Note Share Shares Statutory Profit Defined Securities Gold Shareholders’

capital held in reserves and loss benefit revaluation revaluation equity
SDR millions treasury obligations
Balance as at 31 March 2019 698.9 (1.7) 16,326.3 461.1 (238.3) 135.0 2,568.0 19,949.3
Payment of 2018/19 dividend – – – (136.7) – – – (136.7)
Allocation of 2018/19 profit – – 324.4 (324.4) – – – –
Issue of shares 7.5 – 217.0 – – – – 224.5
Total comprehensive income 15 – – – 165.5 192.6 437.3 807.4 1,602.8
Balance as at 31 March 2020 706.4 (1.7) 16,867.8 165.5 (45.7) 572.3 3,375.3 21,639.9
Allocation of 2019/20 profit – – 165.5 (165.5) – – – –
Issue of shares 3.8 – 108.5 – – – – 112.3
Total comprehensive income 15 – – – 1,237.3 128.7 (356.1) 60.9 1,070.9
Balance as at 31 March 2021 710.2 (1.7) 17,141.8 1,237.3 83.0 216.2 3,436.2 22,823.0
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Introduction
The Bank for International Settlements (BIS, “the Bank”) is an international financial institution which was
established pursuant to the Hague Agreements of 20 January 1930 as well as the Bank’s Constituent
Charter and its Statutes. The headquarters of the Bank are at Centralbahnplatz 2, 4002 Basel, Switzerland.
The objectives of the BIS, as laid down in Article 3 of its Statutes, are to promote cooperation among
central banks, to provide additional facilities for international financial operations and to act as trustee
or agent for international financial settlements. The scope of these financial statements is defined in
accounting policy 2.
Accounting policies
The accounting policies set out below have been applied to both of the financial years presented except
as described in the following paragraphs.
1. Critical judgments and estimates

The preparation of the financial statements requires the Bank’s Management to apply judgment and to
make estimates.
The judgments which have the most significant effect on the financial statements concern the selection
and application of accounting policies to ensure that the financial statements present a true and fair
view of the financial position and performance of the Bank. The most critical accounting policies for the
Bank’s financial reporting are those which concern:
• the scope of the financial statements (see accounting policy 2);
• the functional and presentation currency (see accounting policy 3);
• the classification and measurement of financial instruments, and the application of these policies to
the Bank’s portfolios (see accounting policies 4–6); and
• accounting for gold assets and liabilities, and for the Bank’s overall own gold position (see
accounting policies 10 and 14).
The critical estimates having the most significant effect on the amounts recognised in the financial
statements are those which concern:
• the valuation of currency deposits classified as fair value through profit and loss; and
• post-employment obligations, the estimation of which is dependent on long-term actuarial

assumptions.
There are also judgments involved in making disclosures, including the methodology used to determine
the fair value hierarchy disclosures.
When making estimates, Management exercises judgment based on available information. Actual results
could differ significantly from these estimates.
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2. Scope of the financial statements

These financial statements recognise all assets and liabilities that are controlled by the Bank and in
respect of which the economic benefits, as well as any rights and obligations, lie with the Bank.
As part of its activities, the Bank undertakes financial transactions in its own name but for the economic
benefit of other parties, including transactions on a custodial or agency basis. These include transactions
undertaken on behalf of the staff pension fund and the BIS Investment Pools (“BISIPs”). These are
reporting entities with their own financial statements, but which do not have separate legal personality
from the Bank. The Bank also undertakes transactions in its name on behalf of dedicated mandates,
where the Bank is the investment manager of a customer investment portfolio. Unless otherwise stated,
such transactions are not included in these financial statements. Note 27 provides further information
on the BISIPs and dedicated mandates. Note 12 provides further information on the staff pension fund.
The Bank hosts the secretariats of three independent associations – the Financial Stability Board (FSB),
the International Association of Deposit Insurers (IADI) and the International Association for Insurance
Supervisors (IAIS) and supports the activities of the BIS Sports club. It also acts in an administrative
capacity for the International Journal of Central Banking (IJCB). These five associations each have their own
legal personality and financial statements, and are therefore independent of the Bank. Unless otherwise
stated, the activities of these five independent associations are not included in these financial statements.
3. Functional and presentation currency

The functional and presentation currency of the Bank is the Special Drawing Right (SDR) as defined by
the International Monetary Fund (IMF). The composition of the SDR is subject to periodic review. As
currently calculated, one SDR is equivalent to the sum of USD 0.58252, EUR 0.38671, Renminbi 1.0174,
JPY 11.9 and GBP 0.085946.
Monetary assets and liabilities are translated into SDR at the exchange rates ruling at the balance sheet
date. Other assets and liabilities and profits and losses are translated into SDR at the exchange rates
ruling at the date of the transaction. Exchange differences arising from the retranslation of monetary
assets and liabilities and from the settlement of transactions are included as net foreign exchange
income in the profit and loss account.
All figures in these financial statements are presented in SDR millions unless otherwise stated. Amounts
are rounded to the nearest SDR 0.1 million, and consequently there may be small differences both
within and between disclosures.
4. Recognition, de-recognition, classification and measurement of financial assets

The Bank recognises financial assets on the trade date, being the date on which the Bank commits to
purchase the assets. Financial assets are de-recognised on the trade date of a sale (when the Bank
commits to transfer substantially all the risks and rewards of ownership), or when the contractual cash
flows from the assets have expired. On initial recognition, financial assets are classified as either:
• amortised cost;
• fair value through other comprehensive income (“FVOCI”); or
• fair value through profit and loss (“FVPL”).
The classification determines the measurement of financial assets, and how this is reflected in the Bank’s
financial statements. The classification depends on the business model for managing the assets and on
the cash flow characteristics of the assets, as described below.
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Amortised cost
Financial assets can be classified as amortised cost if two criteria are met:
1. the financial assets are held within a business model with the objective of holding the assets to
collect the contractual cash flows; and
2. the contractual terms on the financial assets give rise to cash flows that are solely payments of
principal or interest.
Amortised cost financial assets are measured in the balance sheet using the effective interest rate method,
with the carrying value adjusted by the expected credit loss (ECL) for each asset. Interest is included in
the profit and loss account under “Interest income” or “Interest expense” (negative interest) on an accruals
basis. The movement in the ECL impairment provision on these assets is recognised in the profit and
loss account under “Change in ECL impairment provision”.
Fair value through other comprehensive income (FVOCI)
Financial assets can be classified as FVOCI if two criteria are met:
1. the financial assets are held within a business model with the objective of collecting the contractual
cash flows or potentially selling the assets; and
2. the contractual terms on the financial assets give rise to cash flows that are solely payments of
FVOCI financial assets are measured in the balance sheet at fair value. In addition, an amortised cost
book value is calculated using the effective interest rate method, including an adjustment for the ECL
impairment provision of each asset. Changes in the book value (due to the accrual of interest) are
included as “Interest income” or “Interest expense” (negative interest) in the profit and loss account.
Unrealised valuation movements, adjusted by the ECL impairment provision, are recognised through the
“Securities revaluation account” in other comprehensive income (OCI). Interest revenue, the movement
in ECL impairment provision and foreign exchange gains or losses are recognised in the profit and loss
account. Upon disposal of the assets, gains or losses are recognised in the profit and loss account as
“Net gain on sales of financial assets at fair value through other comprehensive income”.
Fair value through profit and loss (FVPL)
All other financial assets are classified as FVPL. These include:
• derivative financial assets,
• assets that are held for trading, or that are held within a business model that is managed on a fair
value basis; and
• assets which contain contractual terms that give rise to cash flows that are not solely payments of
In addition, the Bank chooses to classify financial assets as FVPL if the use of the classification removes
or significantly reduces an accounting mismatch. Any such classification is made on the date of initial
recognition, and is irrevocable.
FVPL financial assets are measured in the balance sheet at fair value. The accrual of interest and all
realised and unrealised movements in fair value are included within “Net income on financial assets and
liabilities at fair value through profit and loss”.
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Reclassification
Groups of financial assets are reclassified if there is a fundamental change to the way they are managed.
Reclassifications are applied prospectively from the date of change, with no restatement of previously
recognised gains, losses or interest. Financial assets which are classified as FVPL in order to remove or
significantly reduce an accounting mismatch cannot be reclassified.
Impairment of financial assets
The Bank assesses impairment on financial assets which are classified as either FVOCI or amortised cost,
and also for loan commitments. Impairment is assessed from the date of initial recognition using a
three-stage model.
Stage 1 applies to financial assets on which there has not been a significant increase in credit risk since
initial recognition. The ECL impairment provision is calculated on a 12-month forward-looking basis.
Stage 2 applies to financial assets on which there has been a significant increase in credit risk since
initial recognition. The ECL impairment provision is calculated taking into account the full expected life
of the financial asset.
Stage 3 applies to financial assets which are considered to be credit impaired. The ECL impairment
provision is calculated on a lifetime basis, but the effective interest rate on the financial asset is
recalculated based on the amortised cost (including the ECL).
The key inputs into the measurement of the ECL impairment provision are:
• The probability of default (PD), which represents the estimated likelihood of a borrower defaulting
on its financial obligation over a specific time period. PDs are regularly re-estimated using a
combination of internal and external data, along with judgment.
• Loss-given-default (LGD) is the proportion of an exposure that is lost as a result of a counterparty

default. LGD estimates are informed by observed external LGD data.
• Exposure at default (EAD) is the magnitude of the exposures in the event of a default and is
determined based on the future expected cash flows discounted at the effective interest rate. The
EAD reflects the offsetting effects of any collateral received.
The ECL impairment provision is presented in the balance sheet as follows:
• for financial assets measured at amortised cost: as a deduction from the gross carrying amount of
the asset;
• for financial assets measured at FVOCI: within the “Securities revaluation account” in other equity; and
• for loan commitments: as a provision within “Loans and advances”.
5. Recognition, de-recognition, classification and measurement of financial liabilities

The Bank recognises financial liabilities on the trade date, being the date on which the Bank commits to
issue the liabilities. Financial liabilities are de-recognised on the trade date of a repurchase (when the
Bank commits to buy back the financial liability), or when the contractual cash flows from the financial
liabilities have expired. On initial recognition, financial liabilities are classified as either:
• fair value through profit and loss; or
• amortised cost.
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The classification determines the measurement of financial liabilities, and how this is reflected in the Bank’s
financial reporting. The classification depends on the characteristics of the liabilities, as described below.
Fair value through profit and loss (FVPL)
Financial liabilities are classified as FVPL if they are derivative financial liabilities, or are held for trading.
In addition, the Bank chooses to classify financial liabilities as FVPL if the use of the classification
removes or significantly reduces an accounting mismatch. Any such classification is made on the date of
initial recognition, and is irrevocable.
FVPL financial liabilities are measured in the balance sheet at fair value. The accrual of interest and all
realised and unrealised movements in fair value are included within “Net income on financial assets and
liabilities at fair value through profit and loss”.
Amortised cost
All other financial liabilities are classified as amortised cost.
Amortised cost financial liabilities are measured in the balance sheet using the effective interest rate
method. Interest is included in the profit and loss account under “Interest expense” or “Interest income”
(negative interest) on an accruals basis. Any gains or losses on redemption are recognised in the profit
and loss account.
6. The application of the classification and measurement approach

to the Bank’s portfolios
All very short-dated financial assets (cash and cash equivalents) and liabilities (sight and notice deposit
accounts) are classified as amortised cost. The classification of other financial assets and liabilities is
determined by the Bank’s asset and liability portfolio structure. The Bank’s assets and liabilities are
organised into four sets of portfolios.
A. Currency banking portfolios (“borrowed funds”)
The Bank operates a currency banking book (comprising currency deposit liabilities, and related assets
and derivatives). The Bank acts as a market-maker in its currency deposit liabilities. As a result of this
activity, the Bank incurs realised profits or losses when these liabilities are repurchased from customers.
Under the Bank’s accounting policies, some of these financial instruments would be classified as
FVPL, while others would be classified as FVOCI or amortised cost. In accordance with the Bank’s risk
management policies, the market risk inherent in this activity is managed on an overall fair value basis.
As such, the realised and unrealised profits or losses on currency deposit liabilities are largely offset by
realised and unrealised losses or profits on the related assets and derivatives. To reduce the accounting
inconsistency that would otherwise arise from recognising realised and unrealised gains and losses on
different bases, the Bank chooses to classify all financial assets and liabilities (other than those which are
very short-dated) in its currency banking portfolios as FVPL.
B. Gold banking portfolio (“borrowed gold”)
The Bank operates a gold banking book (comprising gold deposit liabilities and related gold loan
assets). All gold loan and deposit financial assets and liabilities in this portfolio are classified as
amortised cost. All derivatives are classified as FVPL.
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C. Currency investment portfolios (“own funds”)
The Bank’s investment portfolios comprise assets, liabilities and derivatives relating principally to the
investment of the Bank’s shareholders’ equity.
The Bank invests most of its shareholders’ equity in financial instruments. Most of the currency financial
assets in investment portfolios (other than those which are very short-dated) are classified as FVOCI.
Any related currency financial liabilities (including securities sold under repurchase agreements) are
classified as amortised cost.
In addition, the Bank invests some of its shareholders’ equity in portfolios that are managed with a
mandate which permits active trading. The financial instruments in these portfolios (other than those
which are very short-dated) are classified as FVPL currency assets and liabilities.
D. Gold investment portfolio (“own gold”)
The Bank invests some of its shareholders’ equity in gold and gold loans. These assets are classified as
amortised cost. The Bank’s overall own gold position is treated as an FVOCI asset (as further described
in accounting policy 10 below).
Accounting policies 7 to 14 below describe the application of these accounting policies to individual
items in the balance sheet.
7. Cash and cash equivalents

Cash and cash equivalents consist of cash and sight and notice accounts with banks, which are very
short-term financial assets that typically have notice periods of three days or less. Notice accounts
include balances at futures clearing brokers. Cash and cash equivalents are classified as amortised cost.
8. Securities purchased under resale agreements

Securities purchased under resale agreements (“reverse repurchase agreements”) are collateralised
loan transactions through which the Bank lends cash and receives an irrevocable commitment from
the counterparty to return the cash, plus interest, at a specified date in the future. As part of these
agreements, the Bank receives collateral in the form of securities to which it has full legal title, but must
return equivalent securities to the counterparty at the end of the agreement, subject to the counterparty’s
repayment of the cash. As the Bank does not acquire the risks or rewards associated with ownership
of these collateral securities, they are not recognised as assets in the Bank’s balance sheet. The
collateralised loans relating to securities purchased under resale agreements are recognised as assets,
and are classified as either FVPL (currency banking portfolios) or FVOCI (currency investment portfolios).
9. Loans and advances, and government and other securities

Loans and advances comprise fixed-term loans to commercial banks, and advances under committed
and uncommitted standby facilities which the Bank provides for its customers. Government and other
securities are debt securities issued by governments, international institutions, other public sector
institutions, commercial banks and corporates. They include treasury bills, commercial paper, certificates
of deposit, fixed and floating rate bonds, covered bonds and asset-backed securities.
These financial assets are classified as either FVPL (banking portfolios) or FVOCI (investment portfolios).
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10. Gold and gold loans

Gold comprises gold bar assets held in custody at central banks and sight accounts denominated in
gold. Gold loans comprise fixed-term gold loans. Gold and gold loans are classified as amortised cost,
and are included in the balance sheet at their weight in gold (translated at the gold market price and
USD exchange rate into SDR) plus accrued interest.
Gold loans are recognised on a trade date basis. Purchases and sales of gold bar assets are recognised on
a settlement date basis, with forward purchases or sales treated as derivatives prior to settlement date.
The Bank trades most of its gold swaps under its derivative ISDA contracts, and accounts for them in
a similar manner to currency swaps. As such, gold balances in the balance sheet include gold received
(and exclude gold paid) in respect of gold swap contracts.
The treatment of realised gains or losses on gold transactions, and unrealised gains or losses on the
retranslation of the net gold position, depends on the management objective for which the gold is held,
as described below:
A. Gold banking portfolio (“borrowed gold”)
Gains or losses on the retranslation of the net position in gold in the banking portfolio are included
under “Net foreign exchange income” as net translation gains or losses.
B. Gold investment portfolio (“own gold”)
The Bank’s overall own gold position is treated as an FVOCI asset.
Unrealised gains or losses on the Bank’s gold investment assets over their deemed cost are included
in the “Gold revaluation account”, which is reported under the balance sheet heading “Other equity
accounts”. The movement in fair value is included in the statement of comprehensive income under the
heading “Gold at fair value through other comprehensive income – net change in fair value during the
year”.
All of the Bank’s gold investment assets were held on 31 March 2003 (when the Bank changed its
functional and presentation currency from the gold franc to the SDR). The deemed cost of these assets
is approximately SDR 151 per ounce, based on the value of USD 208 per ounce that was applied from
1979 to 2003 following a decision by the Bank’s Board of Directors, translated at the 31 March 2003
exchange rate.
Realised gains or losses on disposal of gold investment assets are included in the profit and loss account
as “Net gain on sales of gold investment assets”.
11. Derivative financial instruments

Derivatives are used either to manage the Bank’s market risk or for trading purposes. The Bank trades
most of its gold swaps under its derivative ISDA contracts, and accounts for them in a similar manner to
currency swaps. Derivatives are classified as FVPL, and are included in the balance sheet as either assets
or liabilities, depending on whether the contract has a positive or a negative fair value for the Bank.
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12. Currency deposits

Currency deposits comprise sight and notice deposit accounts along with BIS deposit instruments.
Sight and notice deposit accounts are very short-term monetary liabilities that typically have notice
periods of three days or less. They are classified as amortised cost.
BIS deposit instruments comprise currency deposit products offered by the Bank to its customers. They
are classified as FVPL.
Some BIS deposit instruments contain embedded derivative financial instruments, such as currency
or call options. These embedded derivatives are also classified as FVPL, and are included within the
currency deposits balance sheet value.
13. Securities sold under repurchase agreements

Securities sold under repurchase agreements (“repurchase agreements”) are collateralised deposit
transactions through which the Bank receives cash and provides an irrevocable commitment to return
the cash, plus interest, at a specified date in the future. As part of these agreements, the Bank transfers
legal title of collateral securities to the counterparty. At the end of the contract, the counterparty must
return equivalent securities to the Bank, subject to the Bank’s repayment of the cash. As the Bank retains
the risks and rewards associated with ownership of these securities, they continue to be recognised
as assets in the Bank’s balance sheet. The collateralised deposits are recognised as liabilities and are
classified as either FVPL (currency banking portfolios) or amortised cost (currency investment portfolios).
14. Gold deposits

Gold deposits comprise unallocated sight and fixed-term deposits of gold from central banks.
Unallocated gold deposits provide customers with a general claim on the Bank for delivery of gold of
the same weight and quality as that delivered by the customer to the Bank, but do not provide the
right to specific gold bars. All unallocated gold deposits (whether sight or fixed-term) are classified
as amortised cost. Unallocated gold sight account deposits are included in the balance sheet on a
settlement date basis at their weight in gold (translated at the gold market price and USD exchange rate
into SDR). Unallocated fixed-term deposits of gold are included in the balance sheet on a trade date
basis at their weight in gold (translated at the gold market price and USD exchange rate into SDR) plus
accrued interest.
Allocated (or “earmarked”) gold deposits provide depositors with a claim for delivery of the specific gold
bars deposited by the customer with the Bank on a custody basis. Beneficial ownership and risk remain
with the customer. As such, allocated gold deposit liabilities and the related gold bar assets are not
included in the Bank’s balance sheet and are disclosed as off-balance sheet items.
15. Securities lending

The Bank participates in securities lending transactions in which it lends debt securities in exchange for
a fee. The transactions are conducted under standard agreements employed by financial market
participants. The securities which have been transferred are not de-recognised from the balance sheet
since the risks and rewards of ownership are not transferred, even if the borrower has the right to
sell or re-pledge the securities. Such Bank-owned securities transferred to a borrower are presented in
the balance sheet as part of “Government and other securities”.
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16. Determination of fair value of financial instruments

The majority of the Bank’s financial instruments are classified as either FVPL or FVOCI, and hence are
included in the balance sheet at fair value. The fair value of a financial instrument is the price that
would be received to sell an asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date in the principal market (or, in its absence, the most advantageous
market to which the Bank has access at that date).
The Bank considers published price quotations in active markets as the best evidence of fair value.
Where no reliable price quotations exist, the Bank determines fair values using a valuation technique
appropriate to the particular financial instrument. Such valuation techniques may involve using market
prices of recent arm’s length market transactions in similar instruments or may make use of financial
models such as discounted cash flow analyses and option pricing models. Where financial models are
used, the Bank aims to make maximum use of observable market inputs as appropriate, and relies as
little as possible on its own estimates. The Bank values its positions at their exit price, so that assets are
valued at the bid price and liabilities at the offer price. Derivative financial instruments are valued on
a bid-offer basis, with valuation reserves, where necessary, included in derivative financial assets and
liabilities.
17. Interest income and expense

Interest income and interest expense relate to financial instruments which are classified as either FVOCI
or amortised cost. Interest income includes “negative” interest on liabilities, while interest expense
includes “negative” interest on assets and interest on lease liabilities.
Interest income and interest expense are recognised in the profit and loss account using the effective
interest rate method. Interest income is calculated by applying the effective interest rate to the gross
carrying amount of an asset, except for assets which are purchased (or subsequently become) credit
impaired (impairment stage 3). For financial assets purchased as credit impaired, the original credit
adjusted effective interest rate is applied to the amortised cost of the financial asset. For financial assets
which subsequently become credit impaired, interest income is calculated by applying the effective
interest rate to the amortised cost value of the asset.
18. Accounts receivable and accounts payable

Accounts receivable and accounts payable are principally very short-term amounts relating to the
settlement of financial transactions. They are recognised on a trade date basis and subsequently
accounted for at amortised cost until their settlement.
19. Land, buildings and equipment

Expenditure on land, buildings and equipment is recognised as an asset in the balance sheet where it is
probable that the Bank will obtain future economic benefits. Buildings and equipment assets are
depreciated on a straight line basis over the estimated useful lives of the assets concerned, as follows:
• buildings – 50 years;
• building installations and machinery – 15 years;
• information technology equipment – 4 years;
• other equipment – 4 to 10 years; and
• computer software intangible assets – 4 years.
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The Bank’s land is not depreciated. Right-of-use assets are depreciated on a straight line basis over the
lease term. The Bank undertakes an annual review of impairment of land, buildings and equipment.
Where the carrying amount of an asset is greater than its estimated recoverable amount, the asset is
written down to the lower value.
20. Leases
In the course of its business, the Bank enters into lease contracts, and contracts that contain lease
components. On initial recognition of such contracts, the Bank calculates a “right of use asset” and a
lease liability, both of which are based on the present value of lease payments. The Bank’s incremental
borrowing rate (or, if applicable, the interest rate implicit in the lease) is used as the discount rate
for determining the present value. The right-of-use asset is included under “Land, buildings and
equipment”, and is depreciated on a straight line basis over the term of the lease. It is reviewed for
impairment annually. The lease liability is included under “Other liabilities”, and is reduced when the
Bank makes payments under the lease. Interest expense is calculated based on the outstanding lease
liability and the discount rate.
The Bank leases certain premises under contracts that can contain non-lease components (such
as maintenance). The Bank does not separate such components from the lease payments, and
therefore the right-of-use asset and lease liability are based on the total lease payment.
21. Provisions
Provisions are recognised when the Bank has a present legal or constructive obligation as a result
of events arising before the balance sheet date and it is probable that economic resources will be
required to settle the obligation, provided that a reliable estimate can be made of the amount of the
obligation. Best estimates and assumptions are used when determining the amount to be recognised as
a provision.
22. Taxation
The Bank’s special legal status in Switzerland is set out principally in its Headquarters Agreement with
the Swiss Federal Council. Under the terms of this document, the Bank is exempted from virtually all
direct and indirect taxes at both federal and local government level in Switzerland. Similar agreements
exist with the government of the People’s Republic of China for the Asian Office in Hong Kong SAR,
with the Mexican government for the Americas Office, and with the Singapore government for the
BIS Innovation Hub Centre in Singapore. Income and gains received by the Bank may be subject to
tax imposed in other countries. Such income and gains are recognised on a gross basis, with the
corresponding tax recognised as an expense.
23. Post-employment benefit obligations

The Bank operates three post-employment benefit arrangements, respectively, for staff pensions,
Directors’ pensions and staff medical benefits. An independent actuarial valuation is performed annually
for each arrangement. The staff pensions arrangement is funded (ie it has specifically allocated assets);
the other two arrangements are unfunded.
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A. Staff pensions
The liability in respect of the staff pension arrangement is based on the present value of the defined
benefit obligation less the fair value of the pension fund assets (see note 12), both at the balance sheet
date. The defined benefit obligation is calculated using the projected unit credit method. The present
value of the defined benefit obligation is determined from the estimated future cash outflows. The
rate used to discount the cash flows is determined by the Bank based on the market yield of highly
rated corporate debt securities in Swiss francs which have a duration approximating that of the related
liability.
The amount charged to the profit and loss account represents the sum of the current service cost of
the benefits accruing for the year under the scheme, and interest at the discount rate on the net of the
defined benefit obligation less the fair value of the pension fund assets. Past service costs from plan
amendments are immediately recognised through profit and loss. Gains and losses arising from re-
measurement of the obligations, such as experience adjustments (where the actual outcome is different
from the actuarial assumptions previously made) and changes in actuarial assumptions, are charged to
other comprehensive income in the year in which the re-measurement is applied. They are not included
in profit and loss in future years.
B. Directors’ pensions and staff post-employment medical benefits
The liability, the defined benefit obligation, the amount charged to the profit and loss account, and the
gains and losses arising from re-measurement in respect of the Bank’s other post-employment benefit
arrangements are calculated on a similar basis to that used for the staff pension arrangement.
24. Statement of cash flows

The Bank’s statement of cash flows is prepared using an indirect method. It is based on the movements
in the Bank’s balance sheet, adjusted for changes in financial transactions awaiting settlement.
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Notes to the financial statements
1. Cash and cash equivalents

Cash and cash equivalents comprise sight accounts at central and commercial banks, as well as notice
accounts at commercial banks and international financial institutions. Included within the cash balances
is collateral received from counterparties in relation to derivatives transactions. More detail on this
collateral is included in the “Risk management” section of these financial statements, note 3C, “Credit
risk mitigation”. Cash balances are analysed in the table below:
As at 31 March
SDR millions 2021 2020
Balance at central banks 50,151.0 53,147.7
Balance at commercial banks 48.7 288.5
Total cash and sight accounts 50,199.7 53,436.2
Notice accounts 654.9 585.2
Total cash and cash equivalents 50,854.6 54,021.4
2. Currency assets
Currency assets comprise the following products:
Securities purchased under resale agreements are collateralised loan transactions. During the term of the
agreement, the Bank monitors the fair value of the loan and related collateral securities, and may call for
additional collateral (or be required to return collateral) based on movements in their market value.
Loans and advances comprise fixed-term loans to commercial banks and advances. Advances are
drawings of committed and uncommitted standby facilities which the Bank provides for its customers.
Government and other securities are debt securities issued by governments, international institutions,
other public sector institutions, commercial banks and corporates. They include treasury bills,
commercial paper, certificates of deposit, fixed and floating rate bonds, covered bonds and asset-
backed securities.
The tables below analyse the Bank’s holdings of currency assets in accordance with their classification.
As at 31 March 2021
SDR millions FVPL FVOCI Total
Securities purchased under resale agreements 78,572.0 – 78,572.0
Loans and advances 45,544.4 – 45,544.4
Government and other securities
Sovereigns and central banks 80,014.9 13,944.6 93,959.5
Other 31,274.1 1,845.9 33,120.0
Total government and other securities 111,289.0 15,790.5 127,079.5
Total currency assets 235,405.4 15,790.5 251,195.9
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As at 31 March 2020
Securities purchased under resale agreements 55,869.8 148.8 56,018.6
Loans and advances 54,038.9 – 54,038.9
Government and other securities
Sovereigns and central banks 59,093.8 14,469.5 73,563.3
Other 28,407.2 1,735.6 30,142.8
Total government and other securities 87,501.0 16,205.1 103,706.1
Total currency assets 197,409.7 16,353.9 213,763.6
Government and other securities classified as FVPL as at 31 March 2021 include SDR 1,460.9 million
(2020: SDR 908.7 million) of securities that are part of the currency investment portfolios (own funds)
that have been classified as FVPL because the portfolio mandate permits active trading.
The Bank lends some of its securities in exchange for a fee. Government and other securities which are
transferred in securities lending transactions (and were not subject to de-recognition from the balance
sheet to the extent of the Bank’s continuing involvement) represented SDR 104.4 million as at
31 March 2021 (2020: SDR 100.9 million).
The Bank gives or pledges as collateral some of its debt securities in certain derivative and repurchase
agreements transactions. For more detail, see the “Risk management” section, note 3C, “Credit risk
mitigation”.
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3. Gold and gold loans
As at 31 March
Gold investment assets 3,939.6 3,878.1
Gold banking assets 37,726.1 27,558.7
Total gold and gold loan assets 41,665.7 31,436.8
Comprising:
Gold bars 40,992.2 31,145.5
Sight accounts denominated in gold 194.1 67.2
Gold loans 479.4 224.1
The Bank’s gold investment assets are included in the balance sheet at their weight in gold (translated at
the gold market price and USD exchange rate into SDR) plus accrued interest on gold loans. The excess
of this value over the deemed cost value is included in the gold revaluation account, which is reported
under the balance sheet heading “Other equity accounts”.
Included in “Gold banking assets” is SDR 18,873.2 million (490 tonnes) of gold (2020: SDR 12,334.4 million;
326 tonnes) that the Bank holds in connection with its gold swap contracts.
4. Derivative financial instruments

The main types of derivative instruments used by the Bank are as follows:
Currency and gold options are contractual agreements under which the seller grants the purchaser the
right, but not the obligation, to either buy (call option) or sell (put option), by or on a set date, a specific
amount of a currency or gold at a predetermined price. In consideration, the seller receives a premium
from the purchaser.
Currency and gold swaps, cross-currency swaps and interest rate swaps are contractual agreements to
exchange cash flows related to currencies, gold or interest rates (for example, fixed rate for floating
rate). Cross-currency interest rate swaps involve the exchange of cash flows related to a combination of
interest rates and foreign exchange rates. Except for certain currency and gold swaps and cross-currency
interest rate swaps, no exchange of principal takes place.
Currency and gold forwards are contractual agreements involving the exchange of foreign currencies or
gold at a future date.
Forward rate agreements are interest rate forward contracts that result in cash settlement at a future
date for the difference between a contracted rate of interest and the prevailing market rate.
Futures contracts include bond and interest rate futures, which represent contractual agreements to
receive or pay a net amount based on changes in bond prices or interest rates at a future date. Futures
contracts are settled daily with the exchange. Associated margin payments are settled by cash or
marketable securities.
Swaptions are contractual agreements under which the seller grants the purchaser the right, without
imposing the obligation, to enter into a currency or interest rate swap at a predetermined price by or on
a set date. In consideration, the seller receives a premium from the purchaser.
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TBAs (“to be announced”) are forward contracts for investment in mortgage-backed securities, whereby
the investor acquires a portion of a pool of as yet unspecified mortgages, which will be announced on
a given delivery date. The Bank classifies these financial instruments as derivatives because it typically
opens and closes the positions before the delivery date.
Exchange traded equity futures and equity options represent contractual agreements to receive or pay a
net amount based on changes in equity index levels at a future date. Those instruments are traded for
the management of the BIS pension fund only.
The Bank enters into derivatives transactions for its own benefit, and also on behalf of customers,
investment entities operated by the Bank, and the staff pension fund. Over-the-counter (OTC) derivatives
transactions are legally documented under the Bank’s derivative master contracts, and are subject to its
collateralisation processes (and netting rules in the event of default of one of the parties). The Bank
recognises all derivatives transacted in its name. Where the economic benefit lies with a customer, an
investment entity or the staff pension fund, the Bank recognises both the original derivative contract
and an exactly offsetting derivative contract with the beneficial party.
As at 31 March 2021 2020
Notional Fair values Notional Fair values

SDR millions amounts Assets Liabilities amounts Assets Liabilities
Cross-currency swaps 2,766.2 75.1 (33.4) 2,613.8 9.1 (37.3)
Currency and gold forwards 10,013.7 66.9 (64.4) 7,407.0 41.2 (32.4)
Currency, gold and equity options 1,388.1 0.2 (9.4) 857.4 0.1 (9.8)
Currency and gold swaps 288,514.4 7,002.8 (1,403.3) 214,708.8 2,153.2 (1,504.4)
Forward rate agreements 467.2 – (0.5) 2,689.0 0.7 (0.9)
Futures contracts 2,171.0 1.0 (0.3) 2,005.3 1.0 (1.2)
Interest rate swaps 262,293.4 475.2 (694.9) 214,341.2 1,313.4 (1,461.5)
TBAs 578.7 0.6 (1.9) 220.5 2.3 (1.7)
Total derivative financial instruments 568,192.7 7,621.8 (2,208.1) 444,843.0 3,521.0 (3,049.2)
5. Accounts receivable and other assets
As at 31 March
Financial transactions awaiting settlement 4,596.5 5,536.1
Other assets 21.5 19.1
Total accounts receivable and other assets 4,618.0 5,555.2
“Financial transactions awaiting settlement” relate to short-term receivables, typically due in three
business days or less, where transactions have been effected but cash has not yet been received.
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6. Land, buildings and equipment, and depreciation and amortisation
For the financial year ended 31 March 2021 2020
Land Buildings and IT and other Computer Assets under Right-of-use Total Total
Installations equipment software construction assets
Intangible
SDR millions assets
Historical cost
Balance at beginning of year 46.4 293.6 23.4 59.0 16.1 13.2 451.7 420.0
Change in accounting policy – – – 12.0
Capital expenditure – 26.5 – 26.5 23.3
Transfers – 7.5 1.7 13.3 (22.5) – – –
Change in right-of-use assets – – – – – 0.2 0.2 1.2
Disposals and retirements – (0.2) (0.8) (3.6) – – (4.6) (4.8)
Balance at end of year 46.4 301.0 24.4 68.6 20.1 13.4 473.9 451.7
Accumulated depreciation and

amortisation
Balance at beginning of year – 197.9 15.1 36.7 – 2.7 252.4 231.7
Depreciation and amortisation – 11.4 2.2 11.4 – 2.7 27.7 25.5
Disposals and retirements – (0.2) (0.8) (3.6) – – (4.6) (4.8)
Balance at end of year – 209.1 16.6 44.5 – 5.3 275.5 252.4
Net book value at end of year 46.4 91.9 7.8 24.1 20.1 8.1 198.4 199.3
Changes in right-of-use assets include new lease transactions, along with extensions and amendments
of existing leases. Assets under construction are not subject to depreciation until they are completed
and put into service.
The Bank’s practice is to retire assets from the fixed asset register at the latest when their age
reaches twice their estimated useful life. Due to retirement of assets, SDR 4.6 million has been removed
from the historical cost and from accumulated depreciation for the year ended 31 March 2021
(2020: SDR 4.8 million).
7. Currency deposits
Currency deposits comprise the following products:
Sight and notice deposit accounts are very short-term financial liabilities, typically having a notice period
of three days or less.
Medium-Term Instruments (MTIs) are fixed rate investments at the Bank issued with initial maturities of
between one and five years.
Callable MTIs (CMTIs) are MTIs that are callable at the option of the Bank at an exercise price of par. As
at 31 March 2021, the call date of all callable MTIs had expired.
FIXBIS are fixed rate investments at the BIS for any maturities between one week and one year.
FRIBIS are floating rate investments at the BIS with maturities of one year or longer for which the
interest rate is reset in line with prevailing market conditions.
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Fixed-term deposits are fixed rate investments at the BIS, typically with an initial maturity of less than one
year.
Dual Currency Deposits (DCDs) are fixed-term deposits that are repayable on the maturity date either in
the original currency or at a fixed amount in a different currency at the option of the Bank. The balance
sheet total for Dual Currency Deposits includes the fair value of the embedded foreign exchange option.
These deposits all mature between April and June 2021 (2020: between April and September 2020).
The Bank acts as the sole market-maker in certain of its currency deposit liabilities and has undertaken
to repay some of these financial instruments at fair value, in whole or in part, at one to three business
days’ notice.
The amount the Bank is contractually obliged to pay at maturity in respect of its FVPL currency deposits
that were outstanding at 31 March 2021 (including total future interest payments) is
SDR 255,066.9 million (2020: SDR 196,806.2 million).
Sight and notice deposit accounts are classified as amortised cost, while all other deposits are classified
as FVPL.
As at 31 March
Repayable at one to three days’ notice
Sight and notice deposit accounts 29,993.3 49,355.2
Medium-Term Instruments 19,346.8 28,756.5
Callable MTIs 718.5 4,649.8
Fixed Rate Investments at the BIS 115,441.7 63,990.9
165,500.2 146,752.4
Other currency deposits
Floating Rate Investments of the BIS 1,244.0 1,039.5
Fixed-term deposits 120,331.2 101,560.3
Dual Currency Deposits 939.3 842.6
122,514.5 103,442.4
Total currency deposits 288,014.7 250,194.8
8. Securities sold under repurchase agreements
As at 31 March
Amortised cost – 148.8
Fair value through profit and loss – –
Total securities sold under repurchase agreements – 148.8
Further information on the collateral related to repurchase agreements is provided in the “Risk
management” section, note 3C, “Credit risk mitigation”.
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9. Gold deposits
Gold deposit liabilities placed with the Bank originate entirely from central banks.
10. Accounts payable

“Accounts payable” consists of financial transactions awaiting settlement, relating to short-term payables
where transactions have been effected but cash has not yet been transferred.
11. Other liabilities
As at 31 March
Post-employment benefit obligations (see note 12)
Staff pensions 334.7 477.0
Directors’ pensions 11.0 10.8
Medical benefits 536.0 493.7
Lease liabilities 8.3 11.0
Other liabilities 50.0 38.4
Total other liabilities 940.0 1,030.9
12. Post-employment benefit obligations

The Bank operates three post-employment arrangements:
1. A defined benefit pension arrangement for its staff in the event of retirement, disability or death.
The arrangement also applies to the staff of the three independent associations hosted by the
Bank (the FSB, IADI and the IAIS). Under this arrangement, benefits accrue according to years of
participation and pensionable remuneration. These benefits are paid out of a pension fund without
separate legal personality. Contributions are made to this fund by the Bank and by staff. The fund
is the beneficial owner of assets on which it receives a return. These assets are administered by the
Bank for the sole benefit of the participants in the arrangement. Except as shown in this note, and as
described in note 4, “Derivative financial instruments”, these assets are not recognised as assets of
the Bank. The Bank remains ultimately liable for all benefits due under the arrangement. The defined
benefit obligation and the related expense for the staff pension plan includes amounts related to
an unfunded legacy arrangement for cleaning staff. The disbursements for this arrangement are not
paid out of the assets in the fund, as described above.
2. An unfunded defined benefit arrangement for its Directors, whose entitlement is based on a
minimum service period of 49 months.
3. An unfunded post-employment medical benefit arrangement for its staff and their dependents.
Employees who leave the Bank after becoming eligible for early retirement benefits from the pension
arrangement are eligible for post-employment medical benefits. The arrangement also applies to the
staff of the three independent associations hosted by the Bank (the FSB, IADI and the IAIS).
All three arrangements operate in Swiss francs and are valued annually by an independent actuary.
During 2021/22, the Bank expects to make contributions of CHF 48.8 million (2020/21: CHF 49.9 million
of actual contribution) to its post-employment arrangements.
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All matters of a general policy nature arising in connection with the management of the assets of the
pension fund are dealt with by the Pension Fund Committee. The committee is chaired by the Deputy
General Manager, and includes members of Senior Management, along with staff representatives and
external pension experts. The Pension Fund Committee determines the investment policies of the fund,
sets its risk tolerance, and establishes the long-term strategic allocation policy on the basis of regular
asset and liability management studies. It also supervises the arrangements made by the Bank in this
regard, including selecting external investment managers. The Pension Fund Committee assesses the
funding position of the pension fund using a through-the-cycle discount rate and, if necessary, makes
recommendations on changes to the contribution rate of the Bank to ensure the long-term actuarial
equilibrium of the Pensions System, including a sufficient safety margin.
A. Amounts recognised in the balance sheet

Staff pensions Directors’ pensions Post-employment
As at 31 March medical benefits
SDR millions 2021 2020 2021 2020 2021 2020
Present value of obligations (1,620.8) (1,586.6) (11.0) (10.8) (536.0) (493.7)
Fair value of fund assets 1,286.1 1,109.6 – – – –
Liability at end of year (334.7) (477.0) (11.0) (10.8) (536.0) (493.7)
B. Present value of defined benefit obligations
The reconciliation of the opening and closing amounts of the present value of the benefit obligations is
as follows:
SDR millions 2021 2020 2021 2020 2021 2020
Present value of obligations at beginning of year (1,586.6) (1,617.3) (10.8) (11.4) (493.7) (597.9)
Employee contributions (8.9) (7.2) – – – –
Benefit payments 68.6 64.7 0.5 0.5 4.3 3.9
Service cost, incl. past service cost (54.4) (70.5) (0.5) (0.6) (20.6) (25.1)
Interest cost (7.9) (11.3) (0.1) (0.1) (2.5) (4.6)
Actuarial gain / (loss) arising from experience adjustments 2.7 17.1 – 0.8 (0.5) 69.8
Actuarial gain / (loss) arising from changes in demographic assumptions 30.2 22.3 0.1 0.1 7.4 9.3
Actuarial gain / (loss) arising from changes in financial assumptions (84.9) 96.9 (0.4) 0.6 (37.1) 81.3
Foreign exchange differences 20.4 (81.3) 0.2 (0.7) 6.7 (30.4)
Present value of obligations at end of year (1,620.8) (1,586.6) (11.0) (10.8) (536.0) (493.7)
The following table shows the weighted average duration of the defined benefit obligations for the
Bank’s three post-employment benefit arrangements:

Years 2021 2020 2021 2020 2021 2020
Weighted average duration 17.1 16.7 13.9 13.5 26.1 24.3
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C. Amounts recognised in the profit and loss account
For the financial year Staff pensions Directors’ pensions Post-employment

ended 31 March medical benefits
SDR millions 2021 2020 2021 2020 2021 2020
Service cost (54.4) (70.5) (0.5) (0.6) (20.6) (25.1)
Interest cost on net liability (2.3) (3.1) (0.1) (0.1) (2.5) (4.6)
Amounts recognised in operating expense (56.7) (73.6) (0.6) (0.7) (23.1) (29.7)
D. Re-measurement of defined benefit obligations recognised in other comprehensive income
For the financial year Staff pensions Directors’ pensions Post-employment

ended 31 March medical benefits
SDR millions 2021 2020 2021 2020 2021 2020
Return on plan assets in excess of opening discount rate 210.6 (93.8) – – – –
Actuarial gain / (loss) loss arising from experience adjustments 2.7 17.1 – 0.8 (0.5) 69.8
Actuarial gain / (loss) arising from changes in demographic assumptions 30.2 22.3 0.1 0.1 7.4 9.3
Actuarial gain / (loss) arising from changes in financial assumptions (84.9) 96.9 (0.4) 0.6 (37.1) 81.3
Foreign exchange gain / (loss) on items in other comprehensive income 0.8 (4.7) – (0.3) (0.3) (6.8)
Amounts recognised in other comprehensive income 159.4 37.8 (0.3) 1.2 (30.5) 153.6
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E. Analysis of movement on fair value of fund assets for staff pensions
The reconciliation of the opening and closing amounts of the fair value of fund assets for the staff
pension arrangement is as follows:
Fair value of fund assets at beginning of year 1,109.6 1,164.3
Employer contributions 33.6 30.9
Employee contributions 8.9 7.2
Benefit payments (68.6) (64.7)
Interest income on plan assets 5.6 8.2
Return on plan assets in excess of opening discount rate 210.6 (93.8)
Foreign exchange differences (13.6) 57.5
Fair value of fund assets at end of year 1,286.1 1,109.6
F. Composition and fair value of assets for the pension fund
The table below analyses the assets of the pension fund and the extent to which the fair values of those
assets have been calculated using quoted prices in active markets. The pension fund does not invest in
financial instruments issued by the Bank.
As at 31 March 2021 2020
Quoted in Unquoted Total Quoted in Unquoted Total

SDR millions active market active market
Cash (including margin accounts) 47.5 – 47.5 59.5 – 59.5
Debt securities 312.8 – 312.8 285.1 – 285.1
Fixed income funds 208.2 – 208.2 194.6 – 194.6
Equity funds 465.1 30.7 495.8 374.2 24.3 398.5
Real estate funds – 151.0 151.0 – 123.6 123.6
Commodity-linked notes – 74.5 74.5 – 48.8 48.8
Derivative financial instruments 0.6 (4.3) (3.7) (1.3) 0.8 (0.5)
Total 1,034.2 251.9 1,286.1 912.1 197.5 1,109.6
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G. Principal actuarial assumptions used in these financial statements
As at 31 March 2021 2020
Applicable to staff pension arrangement
Discount rate 0.20% 0.50%
Assumed average salary increase rate 1.70% 1.70%
Applicable to post-employment medical benefit arrangement
Long-term medical cost inflation assumption 3.00% 3.00%
Applicable to Directors’ pension arrangement
Assumed Directors’ pensionable remuneration increase rate 0.50% 0.50%
Applicable to staff and Directors’ pension arrangements
Assumed increase in pensions payable 0.50% 0.50%
Mortality table applicable to all three arrangements: Swiss table BVG2020 with Swiss table BVG2015 with
generational projection generational projection
CMI 2019 and long-term CMI 2016 and long-term
improvement rate of 1.25% improvement rate of 1.25%
The assumed increases in staff salaries, Directors’ pensionable remuneration and pensions payable
incorporate an inflation assumption of 0.50% at 31 March 2021 (2020: 0.50%).
H. Life expectancies
The life expectancies, at age 65, used in the actuarial calculations for the staff pension arrangement are:
As at 31 March
Years 2021 2020
Current life expectancy of members aged 65
Male 21.7 21.6
Female 23.4 23.6
Life expectancy of members aged 65 projected forward in 10 years’ time
Male 22.4 22.4
Female 24.2 24.4
I. Sensitivity analysis of significant actuarial assumptions
The Bank is exposed to risks from these obligations and arrangements, including investment risk,
interest rate risk, foreign exchange risk, longevity risk and salary risk.
Investment risk is the risk that plan assets will not generate returns at the expected level.
Interest rate risk is the exposure of the post-employment benefit obligations to adverse movements
in interest rates, including credit spreads. A decrease in interest rates will increase the present value of
these obligations. However, in the case of the staff pension arrangement this may be offset, either fully
or partly, by an increase in value of the interest bearing securities held by the fund.
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Foreign exchange risk is the exposure of the post-employment benefit obligations to adverse
movements in exchange rates between the Swiss franc, which is the operating currency of the
post-employment benefit arrangements, and the SDR, which is the functional currency of the Bank.
Longevity risk is the risk that actual outcomes differ from actuarial estimates of life expectancy.
Salary risk is the risk that higher than expected salary rises increase the cost of providing a salary-related
pension.
The table below shows the estimated impact on the defined benefit obligations resulting from a change
in key actuarial assumptions:
Staff pensions
Increase / (decrease)
As at 31 March in defined benefit obligation
Discount rate
Increase by 0.5% (129.7) (123.8)
Decrease by 0.5% 147.5 141.2
Rate of salary increase
Increase by 0.5% 35.7 34.9
Decrease by 0.5% (34.0) (33.3)
Rate of pension payable increase
Increase by 0.5% 107.0 103.1
Decrease by 0.5% (97.2) (92.0)
Life expectancy
Increase by 1 year 60.0 53.9
Decrease by 1 year (60.0) (55.5)
Directors' pensions
Discount rate
Increase by 0.5% (0.7) (0.7)
Decrease by 0.5% 0.8 0.8
Rate of pension payable increase
Increase by 0.5% 0.7 0.7
Decrease by 0.5% (0.6) (0.6)
Life expectancy
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Post-employment medical benefits

Discount rate
Increase by 0.5% (64.3) (58.3)
Decrease by 0.5% 76.6 68.6
Medical cost inflation rate
Increase by 1.0% 129.5 118.3
Decrease by 1.0% (95.1) (87.0)
Life expectancy
The above estimates were arrived at by changing each assumption individually, holding other variables
constant. They do not include any correlation effects that may exist between variables.
13. Share capital
The Bank’s share capital consists of:
As at 31 March
Authorised capital: 600,000 shares, each of SDR 5,000 par value,

of which SDR 1,250 is paid up 3,000.0 3,000.0
Issued capital: 568,125 shares (2020: 565,125) 2,840.6 2,825.6
Paid-up capital (25%) 710.2 706.4
During the financial year ended 31 March 2021, the Bank issued 3,000 shares to the central bank of
Vietnam (2020: 3,000 shares each to the central banks of Kuwait and Morocco). As at 31 March 2021
the number of member central banks was 63 (2020: 62).
The number of shares eligible for dividend is:
As at 31 March 2021 2020
Issued shares 568,125 565,125
Shares held in treasury (1,000) (1,000)
Outstanding shares eligible for dividend 567,125 564,125
Of which:
Eligible for full dividend 564,125 558,125
New shares eligible for dividend pro rata from the value date of subscription 3,000 6,000
Shares held in treasury consist of 1,000 shares of the Albanian issue which were suspended in 1977.
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14. Statutory reserves

The Bank’s Statutes provide for application of the Bank’s annual net profit, by the Annual General
Meeting at the proposal of the Board of Directors, to three specific reserve funds: the legal reserve fund,
the general reserve fund and the special dividend reserve fund; the remainder of the net profit after
payment of any dividend is generally allocated to the free reserve fund.
Legal reserve fund. This fund is currently fully funded at 10% of the Bank’s paid-up capital.
General reserve fund. After payment of any dividend, 5% of the remainder of the Bank’s annual net profit
currently must be allocated to the general reserve fund.
Special dividend reserve fund. A portion of the remainder of the annual net profit may be allocated to
the special dividend reserve fund, which shall be available, in case of need, for paying the whole or any
part of a declared dividend. Dividends are normally paid out of the Bank’s net profit.
Free reserve fund. After the above allocations have been made, any remaining unallocated net profit is
generally transferred to the free reserve fund.
Receipts from the subscription of the Bank’s shares are allocated to the legal reserve fund as necessary
to keep it fully funded, with the remainder being credited to the general reserve fund.
The free reserve fund, general reserve fund and legal reserve fund are available, in that order, to meet
any losses incurred by the Bank. In the event of liquidation of the Bank, the balances of the reserve
funds (after the discharge of the liabilities of the Bank and the costs of liquidation) would be divided
among the Bank’s shareholders.
The table below analyses the movements in the Bank’s statutory reserves over the last two years:
Legal reserve General Special dividend Free reserve Total statutory

SDR millions fund reserve fund reserve fund fund reserves
Balance at 31 March 2019 69.8 3,708.3 184.0 12,364.2 16,326.3
Allocation of 2018/19 profit – 16.2 – 308.2 324.4
New shares issued 0.8 216.2 – – 217.0
Balance at 31 March 2020 70.6 3,940.7 184.0 12,672.4 16,867.8
Allocation of 2019/20 profit – 8.3 – 157.2 165.5
New shares issued 0.4 108.1 – – 108.5
Balance at 31 March 2021 71.0 4,057.2 184.0 12,829.6 17,141.8
At 31 March 2021, statutory reserves included share premiums of SDR 1,385.1 million
(2020: SDR 1,276.6 million).
In accordance with Article 51 of the Bank’s Statutes, the following profit allocation will be proposed at
the Bank’s Annual General Meeting for the 2021 profit:
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SDR millions 2021
Net profit 1,237.3
Proposed dividend:
Proposed dividend (294.1)
Profit available for allocation 943.2
Proposed transfers to reserves:
General reserve fund (47.1)
Special dividend reserve fund (300.0)
Free reserve fund (596.1)
Balance after allocation to reserves –
The proposed transfer to the special dividend reserve fund would provide capacity to help smooth
future dividend payments.
15. Other equity accounts

Other equity accounts comprise the revaluation accounts for FVOCI assets (gold and currency
investment assets) as well as the re-measurement gains or losses on defined benefit obligations.
As at 31 March
Securities revaluation account 216.2 572.3
Gold revaluation account 3,436.2 3,375.3
Re-measurement of defined benefit obligations 83.0 (45.7)
Total other equity accounts 3,735.4 3,901.9
A. Securities revaluation account
This account contains the difference between the fair value and the amortised cost of the Bank’s
currency investment assets classified as FVOCI.
Fair value Historical cost Securities Gross gains Gross losses

of assets revaluation
SDR millions account
As at 31 March 2021 15,790.5 15,576.2 214.3 237.1 (22.8)
As at 31 March 2020 16,353.9 15,784.2 569.7 582.7 (13.0)
The securities revaluation account at 31 March 2021 includes an ECL impairment provision of
SDR –1.9 million (31 March 2020: SDR –2.6 million).
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B. Gold revaluation account
This account contains the difference between the book value and the deemed cost of the Bank’s gold
investment assets. All of the Bank’s gold investment assets were held on 31 March 2003 (when the Bank
changed its functional and presentation currency from the gold franc to the SDR). The deemed cost
of these assets is approximately SDR 151 per ounce, based on the value of USD 208 per ounce that was
applied from 1979 to 2003 following a decision by the Bank’s Board of Directors, translated at the
31 March 2003 exchange rate. The movement in the gold revaluation account was as follows:
Balance at beginning of year 3,375.3 2,568.0
Gold price movement 60.9 807.4
Balance at end of year 3,436.2 3,375.3
C. Re-measurement of defined benefit obligations
This account contains the gains and losses from re-measurement of the Bank’s post-employment
benefit obligations.
Balance at beginning of year (45.7) (238.3)
Staff pensions 159.4 37.8
Directors’ pensions (0.3) 1.2
Post-employment medical benefits (30.5) 153.6
Net movement on the re-measurement of defined benefit obligations 128.7 192.6
Balance at end of year 83.0 (45.7)
Note 12D provides further analysis of the re-measurement of the Bank’s post-employment benefit
obligations.
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16. Interest income
Assets classified as amortised cost
Cash and cash equivalents 0.7 5.3
Gold loan and sight accounts denominated in gold 0.9 0.7
1.6 6.0
Financial assets classified as FVOCI
Securities purchased under resale agreements – 0.6
Government and other securities 198.1 237.5
198.1 238.1
Interest income on liabilities classified as amortised cost 55.2 38.2
Total interest income 254.9 282.3
Total interest income is net of “negative” interest income on assets of SDR 160.4 million
(2020: SDR 131.2 million).
17. Interest expense
Liabilities classified as amortised cost
Currency deposits: sight and notice deposit accounts (13.7) (321.3)
Gold deposits – –
Securities sold under repurchase agreements – (0.6)
Interest on lease liabilities (0.1) (0.2)
(13.8) (322.1)
Interest expense on assets classified as amortised cost or FVOCI (160.4) (131.2)
Total interest expense (174.2) (453.3)
Total interest expense is net of “negative” interest expense on liabilities classified as amortised cost of
SDR 55.2 million (2020: SDR 38.2 million).
18. Change in ECL impairment provision

The Bank assesses impairment of financial assets which are classified as either FVOCI or amortised cost,
and also in relation to loan commitments. The Bank takes a prudent stance on investments and
managing its credit exposures. It monitors its exposures on an ongoing basis. It uses its standard credit
risk methodology for assessing ECL and related key inputs for its ECL calculation, including estimates
for probability-of-default (PDs), loss-given-default (LGDs) and exposure-at-default (EADs) for individual
exposures. No significant changes in estimation techniques were made during the reporting period.
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Estimating ECL involves judgment. At the start of the financial year, financial markets responded with
substantial volatility to concerns regarding the increased uncertainty in economic outlook. However,
significant support from governments and central banks, together with progress in managing the
health and economic impact of the Covid pandemic, resulted in an improvement in economic outlook
and market environment. While there were a limited number of internal rating downgrades over the
last financial year, the overall credit quality of the portfolio has remained robust. The review of credit
exposures in scope of the ECL calculation, notwithstanding these modest internal rating changes,
concluded that all credit exposures were assessed to be in stage 1 during the financial years ended
31 March 2021, unchanged from 31 March 2020.
All credit exposures were assessed to be in stage 1 during the financial years ended 31 March 2021 and
31 March 2020.
Financial assets classified as amortised cost – –
Financial assets classified as FVOCI 0.8 (1.8)
Loan commitments – –
Net change in ECL impairment provision 0.8 (1.8)
19. Net income on financial assets and liabilities at fair value through profit and loss
Financial assets
Securities purchased under resale agreements (127.6) 223.0
Loans and advances 204.3 632.0
Government and other securities 514.8 1,040.5
591.5 1,895.5
Financial liabilities
Currency deposits (658.2) (4,419.2)
(658.2) (4,419.2)
Derivative financial instruments 1,377.1 3,077.7
Net income on financial assets and liabilities at FVPL 1,310.4 554.0
The net income on financial assets and liabilities at fair value through profit and loss comprises the
accrual of effective interest, along with realised and unrealised valuation movements, as further analysed
in the following table:
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Financial assets
Interest 636.5 1,519.8
Realised and unrealised valuation movements (45.1) 375.7
591.4 1,895.5
Interest (1,176.9) (3,471.6)
Realised and unrealised valuation movements 518.7 (947.6)
(658.2) (4,419.2)
Derivative financial instruments
Interest 1,479.6 2,934.0
Realised and unrealised valuation movements (102.4) 143.7
1,377.2 3,077.7
Net income on financial assets and liabilities at FVPL 1,310.4 554.0
20. Net gain on sales of currency assets at FVOCI
Disposal proceeds 5,704.5 5,445.0
Amortised cost (5,576.9) (5,335.8)
Net gain on sales of currency assets at FVOCI 127.6 109.2
Comprising:
Gross realised gains 163.3 110.3
Gross realised losses (35.7) (1.1)
21. Net gain on sales of gold investment assets

The Bank did not sell any own gold during the financial years ended 31 March 2021 and 31 March 2020.
22. Net fee income
Third-party asset management net fee income 16.9 14.6
Other income 5.5 4.4
Withholding taxes (5.3) (8.6)
Other fees and expenses (10.4) (7.4)
Net fee income 6.7 3.0
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23. Net foreign exchange income
Net transaction gain 13.5 22.2
Net translation movement 14.0 (9.2)
Net foreign exchange income 27.5 13.0
24. Administrative expense

The following table analyses the Bank’s administrative expense in Swiss francs (CHF), the currency
in which most expenditure is incurred:
CHF millions 2021 2020
Board of Directors
Directors’ fees 2.1 2.0
Pensions to former Directors 0.7 1.0
Travel and other costs - 1.2
2.8 4.2
Management and staff
Remuneration 154.1 156.6
Pensions 71.6 97.4
Other personnel-related expense 60.1 64.2
285.8 318.2
Office and other expense 72.1 89.7
BIS administrative expense 360.7 412.1
Direct contributions to hosted international organisations 15.2 15.7
Total administrative expenses in CHF millions 375.9 427.8
Total administrative expense in SDR millions 288.8 315.3
The average number of full-time equivalent senior officials and officials employed on behalf of the
Bank during the financial year ended 31 March 2021 was 612 (2020: 595). In addition to the above
regular BIS staff, the Bank accommodates up to 12 graduates a year and supports secondments from
other organisations. The Bank also employs a small number of cleaners (currently five). The cost of all
employees employed on behalf of the Bank is included within management and staff expense.
The Bank hosts the secretariats of three independent associations – the FSB, the IADI and the IAIS. The
Bank makes a financial contribution to support these international associations including paying some
salaries and other post-employment costs. These amounts are shown under “Direct contributions to
hosted organisations”. The staff employed on behalf of the independent associations are not included
within the average number of employees quoted above. The Bank also provides indirect support for
these organisations, in the form of logistical, administrative and staffing-related support. The cost of this
support is included within the Bank’s regular administrative expense categories.
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25. Dividend per share

2021 2020
Net profit for the financial year (SDR millions) 1,237.3 165.5
Weighted average number of shares eligible for dividend 565,522.3 558,764.3
Dividend per share (SDR per share) 520.0 –
Total dividend (SDR millions) 294.1 –
Due to the exceptional circumstances of the Covid-19 pandemic, the Bank did not pay a dividend for the
financial year ended 31 March 2020.
26. Exchange rates

The following table shows the principal exchange rates and prices used to translate balances in foreign
currency and gold into SDR:
Spot rate as at 31 March Average rate for the financial year
2021 2020 2021 2020
USD 0.705 0.731 0.710 0.726
EUR 0.828 0.802 0.828 0.807
JPY 0.0064 0.0068 0.0067 0.0067
GBP 0.973 0.910 0.928 0.923
Renminbi 0.108 0.103 0.105 0.104
CHF 0.749 0.759 0.769 0.736
Gold (per ounce) 1,196.8 1,178.3 1,294.3 1,062.4
27. Off-balance sheet items

The following items are not included in the Bank’s balance sheet:
As at 31 March
Gold bars held under earmark arrangements 15,015.1 14,386.1
Nominal value of securities:
Securities held under safe custody arrangements 2,065.3 2,164.3
Securities held under collateral pledge agreements – 39.3
Net asset value of portfolio management mandates:
BISIPs 18,091.1 16,030.6
Dedicated mandates 4,238.5 4,145.5
Gold bars held under earmark arrangements comprise specific gold bars which have been deposited
with the Bank on a custody basis. They are included at their weight in gold (translated at the gold
market price and the USD exchange rate into SDR). At 31 March 2021, gold bars held under earmark
amounted to 390 tonnes of gold (2020: 380 tonnes).
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Portfolio management mandates include BIS Investment Pools and dedicated mandates.
The BISIPs are a range of open-ended investment funds created by the Bank. The BISIPs do not have
a separate legal personality from the Bank, but are a series of separate reporting entities, each with
its own financial statements. The Bank has an agency relationship with the BISIPs. Transactions are
conducted in the name of the BIS, and investments are held by a custodian appointed by the BIS, but
all of the economic benefit lies with the BISIP customers. The Bank does not invest for its own account
in the BISIPs. Because the Bank does not participate in the risks or rewards of the BISIPs, the financial
instruments transacted on behalf of the BISIPs are excluded from the BIS balance sheet, and are
reported as off-balance sheet items.
Dedicated mandates are portfolios which are managed by the Bank in accordance with investment
guidelines set by the customer. Transactions are conducted in the name of the customer, investments
are held by a custodian appointed by the customer, and all of the economic benefit lies with the
customer. Because the Bank does not participate in the risks or rewards of the dedicated mandates, the
financial instruments transacted on behalf of the dedicated mandates are excluded from the BIS balance
sheet, and are reported as off-balance sheet items.
The Bank transacts derivative financial instruments on behalf of the BISIPs and dedicated mandates.
Such derivatives are governed by the Bank’s ISDA contracts, and are subject to the netting and
offsetting arrangements specified in those contracts. In certain circumstances, derivatives transacted
on behalf of BISIPs and dedicated mandates could be offset against other derivatives transacted by the
BIS on behalf of the Bank, the staff pension fund, other BISIPs or other dedicated mandates. For this
reason, all derivatives transacted by the Bank are included in the Bank’s balance sheet. Such derivatives
transacted on behalf of BISIPs and dedicated mandates are represented in the BIS balance sheet along
with an equal and offsetting transaction between the Bank and the BISIP or dedicated mandate.
For both the BISIPs and the dedicated mandates, the Bank is remunerated by a management fee which
is included under “Net fee income” in the profit and loss account.
28. Commitments
The Bank provides a number of committed standby facilities for its customers on a collateralised
or uncollateralised basis. At 31 March 2021, there were no outstanding commitments that were
collateralised (2020: nil), and SDR 211.6 million of uncollateralised commitments
(2020: SDR 219.4 million).
The BIS is committed to supporting the operations of the three independent associations – the FSB, IADI
and the IAIS. In each case, the Bank has a separate agreement specifying the terms of support and the
length of the commitment. In accordance with these agreements, the Bank was the legal employer of
75 staff members (2020: 73) working in the secretariats of the hosted international organisations.
29. Fair value hierarchy

The Bank categorises its financial instrument fair value measurements using a hierarchy that reflects
the observability of inputs used in measuring that value. A valuation level is assigned according
to the least observable input that is significant to the fair value measurement in its entirety. An
input is determined to be significant if its contribution to the value of the financial instrument is
greater than 5%. Market liquidity is a consideration in determining whether an input is observable,
and hence its fair value hierarchy level. The fair value hierarchy used by the Bank comprises the
following levels:
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Level 1 – Instruments valued using unadjusted quoted prices in active markets for identical financial
instruments.
Level 2 – Instruments valued with valuation techniques using inputs which are observable for the
financial instrument either directly (ie as a price) or indirectly (ie derived from prices for similar
financial instruments). This includes observable interest and foreign exchange rates, spreads and
volatilities.
Level 3 – Instruments valued using valuation techniques where the significant inputs are not
observable in financial markets. This includes illiquid prices and spreads derived from illiquid prices.
As at 31 March 2021
SDR millions Level 1 Level 2 Level 3 Total
Financial assets classified as FVPL
Securities purchased under resale agreements – 78,572.0 – 78,572.0
Loans and advances – 45,544.4 – 45,544.4
Government and other securities 84,782.3 25,956.9 549.8 111,289.0
Derivative financial instruments 2.4 7,619.4 – 7,621.8
Government and other securities 14,816.4 830.0 144.1 15,790.5
Total financial assets accounted for at fair value 99,601.1 158,522.7 693.9 258,817.7
Financial liabilities classified as FVPL
Currency deposits – (258,021.4) – (258,021.4)
Securities sold under repurchase agreements – – – –
Derivative financial instruments (2.8) (2,205.3) – (2,208.1)
Total financial liabilities accounted for at fair value (2.8) (260,226.7) – (260,229.5)
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As at 31 March 2020
SDR millions Level 1 Level 2 Level 3 Total
Financial assets classified as FVPL
Securities purchased under resale agreements – 55,869.8 – 55,869.8
Loans and advances – 54,038.9 – 54,038.9
Government and other securities 60,479.7 26,767.0 254.3 87,501.0
Derivative financial instruments 4.2 3,516.8 – 3,521.0
Securities purchased under resale agreements – 148.8 – 148.8
Government and other securities 15,096.1 1,109.0 – 16,205.1
Total financial assets accounted for at fair value 75,580.0 141,450.3 254.3 217,284.6
Financial liabilities classified as FVPL
Currency deposits – (200,839.6) – (200,839.6)
Derivative financial instruments (4.1) (3,045.1) – (3,049.2)
Total financial liabilities accounted for at fair value (4.1) (203,884.7) – (203,888.8)
A. Transfers between levels in the fair value hierarchy
Of the debt securities categorised as level 1 as at 31 March 2021, SDR 8,684.9 million related to assets
that were categorised as level 2 as at 31 March 2020. Of the debt securities categorised as level 2 as
at 31 March 2021, SDR 1,528.2 million related to assets that were categorised as level 1 as at
31 March 2020. Of the debt securities categorised as level 3 as at 31 March 2021, SDR 91.7 million
related to debt securities that were categorised as level 1 and SDR 52.4 million related to assets that
were categorised as level 2 as at 31 March 2020.
The transfer of assets between levels 1, 2 and 3 reflected specific market conditions existing at the
reporting dates that affected the observability of the market prices as defined above. No liabilities or
other types of assets were transferred between the fair value hierarchy levels.
B. Assets and liabilities categorised at fair value level 3
The accuracy of the Bank’s valuations is ensured through an independent price verification exercise
performed by the valuation control function within the Finance unit.
As at 31 March 2021, a small percentage of the Bank’s financial instrument valuations were produced
using valuation techniques that utilised significant unobservable inputs. These financial instruments
are categorised as level 3. For these instruments, the determination of fair value requires subjective
assessment and judgment depending on liquidity, pricing assumptions, the current economic and
competitive environment and the risks affecting the specific instrument. In such circumstances, valuation
is determined based on Management’s own judgments about the assumptions that market participants
would use in pricing the asset or liability (including assumptions about risk). Both observable and
unobservable inputs may be used to determine the fair value of positions that have been classified
within level 3. As a result, the unrealised gains and losses for assets and liabilities within level 3
presented in the table below may include changes in fair value that were attributable to both observable
and unobservable inputs.
The financial instruments categorised as level 3 comprise illiquid bonds. During the financial period
ended 31 March 2021, the Bank categorised SDR 693.9 million of securities as level 3 in the fair value
hierarchy.
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Of these securities, SDR 435.9 million were valued using illiquid prices, and SDR 258.0 million were
valued using illiquid spreads.
As at 31 March 2021
Balance at the beginning of the year 254.3 – 254.3
Purchases 390.3 – 390.3
Sales (121.7) – (121.7)
Transfers in 101.4 144.1 245.5
Transfers out (76.5) – (76.5)
Amount recognised in net profit 2.0 – 2.0
Balance at end of the year 549.8 144.1 693.9
Unrealised gains relating to assets still held as at the reporting date 0.4 0.5 0.9
C. Quantitative disclosures of valuation techniques
The following table provides the representative range of minimum and maximum values and the
associated weighted averages of each significant unobservable input for level 3 assets by the related
valuation technique most significant to the related financial instrument.
As at 31 March 2021
Fair value Valuation Unobservable Minimum Maximum Weighted Unit Relationship of unobservable
(SDR millions) technique input value of value of average of input to fair value
input input input
Debt securities 258.0 Price Bond prices 99.8 102.7 101.7 Points A change in the prices of
1 point would increase /
decrease the fair value by
SDR 2.6 million
Debt securities 435.9 Discounted cash Bond spreads (6.9) 30.0 13.8 Basis-points A change in the spreads
flow based on of 100 basis-points would
spread to yield increase / decrease the fair
curve value by SDR 3.0 million
Total level 3 assets

at fair value 693.9
D. Financial instruments not measured at fair value
In accordance with its accounting policies, the Bank accounts for certain financial instruments at
amortised cost. Using the same valuation techniques as used for fair valued financial instruments,
Management estimates that the fair values of these financial instruments would be materially the same
as the carrying values shown in these financial statements for both 31 March 2021 and 31 March 2020.
If the valuation of these instruments were categorised using the fair value hierarchy, the valuation of
“gold loans” and “securities sold under repurchase agreements” would be considered level 2. All other
amortised cost financial instruments would be considered level 1.
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E. Impact of changes in the Bank’s creditworthiness
The fair value of the Bank’s liabilities may be affected by any change in its creditworthiness. If the
Bank’s creditworthiness deteriorated, the value of its liabilities would decrease, and the change in value
would be reflected as a movement in other comprehensive income. The Bank regularly assesses its
creditworthiness as part of its risk management processes. The Bank’s assessment of its creditworthiness
did not indicate a change which could have had an impact on the fair value of the Bank’s liabilities
during the period under review.
F. Valuation of financial assets and liabilities
The Bank is the sole market maker in certain of its currency deposit products, while in other currency
deposit products there is no active market. As such, judgment is involved in determining the appropriate
assumptions to derive the fair value of currency deposits. The Bank uses valuation techniques to
estimate the fair value of its currency deposits. These valuation techniques comprise discounted cash
flow models and option pricing models. The discounted cash flow models value the expected cash flows
of financial instruments using discount factors that are partly derived from quoted interest rates (eg
rates on derivatives) and partly based on assumptions about spreads at which each product would be
repurchased from customers. For short-term products, repurchase spreads are based on recent market
transactions. For MTIs, repurchase spreads are based on those used when the deposit was sold to the
customer. If a deposit was sold with an enhanced rate, the enhancement is reflected in the valuation
spread as it would be applied if the Bank were to buy-back the deposit from the customer. The option
pricing models include assumptions about volatilities that are derived from market quotes. The valuation
of OTC derivatives is also subject to judgment, in particular as a result of the Libor reform.
Stressed market conditions can increase the degree of judgment involved in the valuation of the
Bank’s financial assets and liabilities. In such circumstances, the Bank reconsiders some of its valuation
processes, and applies judgment in determining the appropriate valuation methods and inputs for
each financial instrument. Reflecting generally lower market liquidity, level 1 observable prices may not
be available for some financial assets, and these may instead be valued using a discounted cash flow
model based on a spread to a standard market yield curve. Such valuations are level 2 or level 3, and
require estimation of appropriate valuation parameters. Changes in estimates of these parameters could
significantly affect the reported fair values. The valuation impact is opposite for a one basis point parallel
downward change in the underlying yield curve. Management uses a move of 200 basis points as a
stress test. The valuation impact of a 1 basis point parallel upward change in the underlying yield curve
assumptions of key financial instruments is shown in the table below:
Securities purchased under resale agreements (0.4) (0.2)
Loans and advances (1.2) (2.0)
Government and other securities (12.1) (13.1)
Currency deposits 9.7 9.2
Derivative financial instruments 1.0 0.7
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30. Geographical analysis
A. Total liabilities
As at 31 March
Africa and Europe 106,379.6 89,916.5
Asia-Pacific 189,040.5 162,483.9
Americas 31,335.7 26,262.0
International organisations 6,575.6 8,195.0
Balance at end of year 333,331.4 286,857.4
B. Off-balance sheet items
As at 31 March
Gold bars Nominal value Net asset value Gold bars Nominal value Net asset value
held under of securities of portfolio held under of securities of portfolio
earmark management earmark management
mandates mandates
Africa and Europe 6,463.0 – 3,993.3 6,249.5 – 3,598.7
Asia-Pacific 4,116.8 2,065.3 11,011.4 4,053.1 2,164.3 10,584.8
Americas 4,435.3 – 7,324.9 4,083.5 39.3 5,992.6
Total 15,015.1 2,065.3 22,329.6 14,386.1 2,203.6 20,176.1
The geographical distribution in the above table reflects the geographical origin of the underlying
investors in the above off-balance sheet items, and not the geographical location of the investment
assets.
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C. Credit commitments
As at 31 March
Asia-Pacific 211.6 219.4
Total 211.6 219.4
31. Related parties

The Bank considers the following to be its related parties:
• the members of the Board of Directors;
• the senior officials of the Bank;
• close family members of the above individuals;
• the Bank’s post-employment benefit arrangements; and
• central banks whose Governor is a member of the Board of Directors and institutions that are
connected with these central banks.
A listing of the members of the Board of Directors and senior officials is shown in the sections of the
Annual Report entitled “Board of Directors” and “BIS Management”. The Bank provides services to the
pension fund on a free-of-charge basis, including investment management, accounting, reporting,
valuation and monitoring. Note 12 provides further details of the Bank’s post-employment benefit
arrangements.
A. Related party individuals
Note 24 provides details of the total compensation of the Board of Directors.
The total compensation of the senior officials recognised in the profit and loss account amounted to:
Salaries, allowances and medical cover 8.6 8.0
Post-employment benefits 2.8 2.6
Total compensation 11.4 10.6
SDR equivalent in millions 8.8 7.8
The Bank offers personal deposit accounts for staff members and Directors. The accounts bear interest
at a rate determined by the Bank based on the rate offered by the Swiss National Bank on its staff
accounts. The movements and total balance on personal deposit accounts relating to members of the
Board of Directors and the senior officials of the Bank were as follows:
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Balance at beginning of year 14.9 13.2
Deposits taken and other inflows 2.0 2.5
Withdrawals and other outflows (4.7) (0.8)
Balance at end of year 12.2 14.9
SDR equivalent in millions 9.1 11.3
Interest expense on deposits in CHF millions – –
Balances related to individuals who are appointed as members of the Board of Directors or as senior
officials of the Bank during the financial year are included in the table above as other inflows. Balances
related to individuals who ceased to be members of the Board of Directors or senior officials of the Bank
during the financial year are included in the table above as other outflows.
In addition, the Bank operates a blocked personal deposit account for certain staff members who
were previously members of the Bank’s savings fund, which closed on 1 April 2003. The terms of these
blocked accounts are such that staff members cannot make further deposits or withdrawals and the
balances are paid out when they leave the Bank. The accounts bear interest at a rate determined by
the Bank based on the rate offered by the Swiss National Bank on its staff accounts plus 1%. The total
balance of blocked accounts at 31 March 2021 was SDR 4.8 million (2020: SDR 7.2 million). They are
reported under the balance sheet heading “Currency deposits”.
B. Related party institutions
The Bank pays a dividend to its shareholders, as described in note 25. The dividends paid to related
party shareholders in the financial year ended 31 March 2020 (for the financial year 2018/19) was
SDR 136.7 million. No dividend was paid in the financial year ended 31 March 2021 (for the financial
year 2019/20).
The BIS provides banking services to its customers, which are predominantly central banks, monetary
authorities and international financial institutions. In fulfilling this role, the Bank, in the normal course
of business, enters into transactions with customers which are related parties (as defined above). These
transactions include making advances, and taking currency and gold deposits. It is the Bank’s policy to
enter into transactions with related party customers on similar terms and conditions to transactions with
other, non-related party customers. The following tables show balances relating to these transactions,
which the Bank believes are representative of the general level of business undertaken with related party
customers during the year.
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Balances with related party customers

As at 31 March 2021 2020
Balance Balance with related parties Balance Balance with related parties
sheet total sheet total
SDR millions SDR millions % SDR millions SDR millions %
Assets
Cash and cash equivalents 50,854.6 49,160.9 96.7 54,021.4 53,142.0 98.4
Securities purchased under resale agreements 78,572.0 2,515.2 3.2 56,018.6 7,012.4 12.5
Loans and advances 45,544.4 8,030.3 17.6 54,038.9 227.4 0.4
Government and other securities 127,079.5 3,810.4 3.0 103,706.1 3,444.7 3.3
Gold and gold loans 41,665.7 41,471.6 99.5 31,436.8 31,369.6 99.8
Derivative financial instruments 7,621.8 51.8 0.7 3,521.0 80.8 2.3
Other assets 21.5 1.1 5.1 19.1 1.2 6.3
Liabilities
Currency deposits (288,014.7) (135,952.7) 47.2 (250,194.8) (138,725.3) 55.4
Gold deposits (18,848.9) (11,480.6) 60.9 (15,221.1) (11,302.8) 74.3
Derivative financial instruments (2,208.1) (41.6) 1.9 (3,049.2) (66.8) 2.2
Main profit and loss items arising from transactions with related party customers
For the financial year ended 31 March 2021 2020
Profit and Balance with related parties Profit and Balance with related parties
loss total loss total
SDR millions SDR millions % SDR millions SDR millions %
Interest income 254.9 49.6 19.5 282.3 37.0 13.1
Interest expense (174.2) (151.6) 87.0 (453.3) (329.2) 72.6
Net change in ECL impairment provision 0.8 – – (1.8) – –
Net income on financial assets and liabilities at FVPL
Financial assets 591.5 27.7 4.7 1,895.6 119.5 6.3
Financial liabilities (658.2) (244.6) 37.2 (4,419.2) (1,796.9) 40.7
Derivative financial instruments 1,377.1 (1.2) (0.1) 3,077.6 73.0 2.4
32. Contingent liabilities

In the opinion of the Bank’s Management, there were no significant contingent liabilities at
31 March 2021 (31 March 2020: nil).
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Capital adequacy
1. Capital adequacy framework

As an international financial institution that is overseen by a Board composed of Governors of major
central banks and that has no national supervisor, the Bank is committed to maintaining its superior
credit quality and financial strength, in particular in situations of financial stress.
The Bank assesses its capital adequacy on a continuous basis. Its capital planning process focuses on
two elements: an economic capital framework and a financial leverage framework. The disclosures in this
section relating to credit, market, operational and liquidity risk are based on the Bank’s own assessment
of capital adequacy derived in accordance with these two BIS frameworks.
Regulatory capital ratios are not used as indicators of BIS capital adequacy because key aspects of the
business model for the BIS banking activities are not adequately captured. In the main, these relate
to the high level of solvency targeted by the Bank as well as the way regulatory capital ratios reflect
portfolio concentrations and interest rate risk in the banking book.
To facilitate comparability, the Bank has implemented a framework that is consistent with guidance
issued by the Basel Committee on Banking Supervision (BCBS). Following this, the Bank discloses a
Common Equity Tier 1 capital ratio (Pillar 1), risk-weighted assets and more detailed related information.
In addition, the Bank calculates for reference a Liquidity Coverage Ratio.
The Bank maintains a capital position substantially in excess of the regulatory minimum requirement in
order to ensure its superior credit quality.
2. Economic capital
The Bank’s economic capital methodology relates its risk-bearing capacity to the amount of economic
capital needed to absorb potential losses arising from its exposures. Consistent with guidance from
the BCBS, the risk-bearing capacity is defined as Common Equity Tier 1 capital which is based on
components of the Bank’s shareholders’ equity (as reduced by prudential adjustments) as set out in the
following table.
Common Equity Tier 1 capital includes the profit and loss account. It is adjusted by the Bank’s current
estimate of the amount of the profit and loss account that will be paid as a dividend (the “dividend
adjustment”), to ensure that Common Equity Tier 1 capital includes only the component of the profit
and loss account that is expected to be allocated to statutory reserves.
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As at 31 March
Share capital 710.2 706.4
Statutory reserves per balance sheet 17,141.8 16,867.8
Less: shares held in treasury (1.7) (1.7)
Share capital and reserves 17,850.2 17,572.5
Securities revaluation account 216.2 572.3
Gold revaluation account 3,436.2 3,375.3
Re-measurement of defined benefit obligations 83.0 (45.7)
Other equity accounts 3,735.4 3,901.9
Expected loss (151.8) (59.4)
Intangible assets (29.4) (24.3)
Prudential adjustments (181.1) (83.7)
Profit and loss account 1,237.3 165.5
Dividend adjustment (294.1) –
Common Equity Tier 1 capital 22,347.8 21,556.2
As part of the capital planning process, Management allocates economic capital to risk categories within
its risk-bearing capacity. Allocations are made to each category of financial risk (ie credit and market
risk) as well as operational risk. Capital is also assigned to a minimum cushion of capital that is not
utilised by risk categories (“minimum capital cushion”) providing an additional margin of safety. The
difference between its risk-bearing capacity and the total economic capital utilisation, the "available
economic capital", is available for further risk-taking.
Reflecting the high level of solvency targeted by the Bank, the economic capital framework measures
economic capital to a 99.99% confidence level assuming a one-year horizon, except for FX settlement
risk. The amount of economic capital set aside for FX settlement risk is based on an assessment by
Management. The Bank’s economic capital framework is subject to regular review and calibration.
The following table summarises the Bank’s economic capital allocation and utilisation as well as the
resulting available economic capital:
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Annual Report
As at 31 March 2021 2020
SDR millions Allocation Utilisation Allocation Utilisation
Insolvency and transfer risk 7,700.0 6,050.4 7,400.0 5,931.4
FX settlement risk 400.0 400.0 300.0 300.0
Credit risk 8,100.0 6,450.4 7,700.0 6,231.4
Market risk 5,300.0 3,987.6 4,200.0 3,807.0
Operational risk 1,100.0 1,100.0 1,100.0 1,100.0
Minimum capital cushion 3,352.2 3,352.2 3,233.4 3,233.4
Total economic capital (A) 17,852.2 14,890.2 16,233.4 14,371.8
Common Equity Tier 1 capital (B) 22,347.8 21,556.2
Available economic capital (B) – (A) 7,457.6 7,184.4
3. Financial leverage
The Bank complements its capital adequacy assessment with a financial leverage framework using a
ratio that compares the Bank’s Common Equity Tier 1 capital with its total exposure. The exposure
measure is supplemented by the pension fund asset value as well as regulatory exposure adjustments
relating to committed and uncommitted facilities, repurchase agreements and derivatives.
The following table shows the calculation of the Bank’s financial leverage ratio:
As at 31 March
Common Equity Tier 1 capital (A) 22,347.8 21,556.2
Total balance sheet assets 356,154.4 308,497.3
Derivatives 7,346.0 2,775.8
Securities purchased under resale agreements 25.4 10.1
Committed and uncommitted facilities 4,979.1 3,745.2
Pension fund assets 1,286.1 1,109.6
Exposure adjustments 13,636.6 7,640.7
Total BIS exposure (B) 369,791.0 316,138.0
BIS leverage ratio (A) / (B) 6.0% 6.8%
4. Common Equity Tier 1 capital ratio

The economic capital framework and the financial leverage framework described above are the main tools
used for assessing the Bank’s capital adequacy. Risk-weighted assets, minimum capital requirements and
the Common Equity Tier 1 capital ratio are disclosed to facilitate comparability. Guidance issued by the
BCBS includes several approaches for calculating risk-weighted assets and the corresponding minimum
capital requirements. In principle, the minimum capital requirements are determined by taking 8% of the
risk-weighted assets.
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For credit risk, the Bank has adopted the advanced internal ratings-based approach for the majority of
its exposures. Under this approach, the risk weighting for a transaction is determined by the relevant
Basel risk weight function using the Bank’s own estimates for key inputs. Expected loss is calculated
for credit risk exposures subject to the advanced internal ratings-based approach and is calculated at
the balance sheet date. In accordance with the requirements of the Basel Framework, the expected
loss is compared with write-offs, if applicable, and any shortfall is deducted from the Bank’s Common
Equity Tier 1 capital. For securitisation exposures and relevant other assets, the Bank has adopted the
standardised approach. Under this approach, risk weightings are mapped to exposure types.
Risk-weighted assets for market risk are derived following an internal models approach based on
a value-at-risk (VaR) methodology calibrated to stressed and non-stressed market conditions. For
operational risk, the advanced measurement approach is used. This approach also relies on VaR.
More details on the assumptions underlying the calculations are provided in the sections on credit risk,
market risk and operational risk.
The following table provides information on risk-weighted assets and related minimum capital
requirements:
As at 31 March 2021 2020
Approach used Amount of Risk- Minimum Amount of Risk- Minimum

exposure weighted capital exposure weighted capital
assets requirement assets requirement
SDR millions (A) (B) (A) (B)
Credit risk
Exposure to sovereigns, Advanced internal 227,562.6 30,400.6 2,432.0 218,276.3 31,124.7 2,490.0
banks and corporates ratings-based approach, where
(B) is derived as (A) x 8%
Securitisation exposures Standardised approach, 413.1 1,423.0 113.8 642.7 1,287.1 103.0
and other assets where (B) is derived as
(A) x 8%
Market risk
Exposure to foreign Internal models approach, – 37,453.7 2,996.3 – 27,562.9 2,205.0

exchange risk and gold where (A) is derived as
price risk (B) / 8%
Operational risk
Advanced measurement – 8,957.5 716.6 – 8,909.2 712.7

approach, where (A)
is derived as (B) / 8%
Total 78,234.7 6,258.8 68,883.9 5,510.7
The Common Equity Tier 1 capital ratio is set out in the following table:
As at 31 March
Total Common Equity Tier 1 capital (A) 22,347.8 21,556.2
Total risk-weighted assets (B) 78,234.7 68,883.9
Common Equity Tier 1 capital ratio (A) / (B) 28.6% 31.3%
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Risk management
1. Risks faced by the Bank

The Bank supports its customers, predominantly central banks, monetary authorities and international
financial institutions, in the management of their reserves and related financial activities.
Banking activities form an essential element of meeting the Bank’s objectives and ensure its financial
strength and independence. The BIS engages in banking activities that are customer-related as well
as activities that are related to the investment of its shareholders’ equity, each of which may give
rise to financial risk comprising credit risk, market risk and liquidity risk. The Bank is also exposed to
operational risk.
Within the risk frameworks defined by the Board of Directors, the Management of the Bank has
established risk management policies designed to ensure that risks are identified, appropriately
measured and controlled as well as monitored and reported.
2. Risk management approach and organisation

The Bank maintains superior credit quality and adopts a prudent approach to financial risk-taking, by:
• maintaining an exceptionally strong capital position;
• investing its assets predominantly in high credit quality financial instruments;
• seeking to diversify its assets across a range of sectors;
• adopting a conservative approach to its tactical market risk-taking and carefully managing market
risk associated with the Bank’s strategic positions, which include its gold holdings; and
• maintaining a high level of liquidity.
A. Organisation
Under Article 39 of the Bank’s Statutes, the General Manager is responsible to the Board for the
management of the Bank, and is assisted by the Deputy General Manager. The Deputy General Manager
is responsible for the Bank’s independent risk management and compliance functions. The General
Manager and the Deputy General Manager are supported by senior management advisory committees.
The key advisory committees are the Executive Committee and the Finance Committee. Both committees
are chaired by the General Manager, and include other senior members of the Bank’s Management. The
Executive Committee advises the General Manager primarily on the Bank’s strategic planning and the
allocation of resources, as well as on decisions related to the broad financial objectives for the banking
activities and strategic operational risk management issues. The Finance Committee advises the General
Manager on the financial management and policy issues related to the banking business, including the
allocation of economic capital to risk categories.
The independent risk management function for financial risks is performed by the Risk Management
unit. The Head of Risk Management reports to the Deputy General Manager. The independent risk
management function for operational risk is performed by the Operational Transformation and
Resiliency unit. The Head of Operational Transformation and Resiliency reports to the Deputy Secretary
General.
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The Bank’s independent compliance function is performed by the Compliance unit. The objective of this
function is to assist Management in ensuring that all activities of the BIS and its staff are conducted in
accordance with compliance, rules and standards. The Chief Compliance Officer reports to the Deputy
General Manager and also has a direct access to the Audit Committee, which is an advisory committee
to the Board of Directors.
As part of its efforts to strengthen the implementation of its three lines of defence approach, the Bank
has undertaken a review of roles and responsibilities related to compliance and conduct risks across
the organisation. In May 2021, the Bank decided to reallocate responsibilities. As a result, the Risk
Management function, jointly with the Legal Service, will provide guidance on and monitor compliance
risk related to BIS banking services. In addition, a new Conduct and Ethics unit will be established to
underline the strategic importance of ethics for the Bank and its corporate culture.
The Finance unit and the Legal Service complement the Bank’s risk management. The Finance unit
operates a valuation control function, produces the Bank’s financial statements and controls the Bank’s
expenditure by setting and monitoring the annual budget. The objective of the valuation control
function is to ensure that the Bank’s valuations comply with its valuation policy and procedures. The
Finance unit reports to the Deputy General Manager and the Secretary General.
The Legal Service provides legal advice and support covering a wide range of issues relating to the
Bank’s activities. The Legal Service reports to the General Manager.
The Internal Audit function evaluates and improves the effectiveness of risk management, control,
and governance systems and processes. Internal Audit provides an independent, objective assurance
function, and advises on best practice. Internal Audit has reporting lines to the General Manager and the
Deputy General Manager, and to the Audit Committee.
B. Risk monitoring and reporting
The Bank’s financial and operational risk profile, position and performance are monitored on an ongoing
basis by the relevant units. Financial risk, operational risk and compliance reports aimed at various
management levels are provided regularly to enable Management to adequately assess the Bank’s risk
profile and financial condition.
Management reports financial and risk information to the Board of Directors on a monthly and a
quarterly basis. Furthermore, the Audit Committee receives regular reports from Internal Audit, and
the Compliance, Finance and Operational Transformation and Resiliency units. The Banking and Risk
Management Committee, another advisory committee to the Board, receives regular reports from the
Risk Management unit. The preparation of reports is subject to comprehensive policies and procedures,
thus ensuring strong controls.
C. Risk methodologies
The Bank revalues virtually all of its financial instruments to fair value on a daily basis and reviews its
valuations monthly, taking into account necessary adjustments for impairment. It uses a comprehensive
range of quantitative methodologies for valuing financial instruments and for measuring risk to its net
profit and equity. The Bank reassesses its quantitative methodologies in the light of its changing risk
environment and evolving best practice.
The Bank’s model validation policy defines the roles and responsibilities and processes related to the
implementation of new or materially changed risk and valuation models.
A key methodology used by the Bank to measure and manage risk is the calculation of economic capital
based on value-at-risk (VaR) techniques. VaR expresses the statistical estimate of the maximum potential
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loss on the current positions of the Bank measured to a specified level of confidence and a specified
time horizon. VaR models depend on statistical assumptions and the quality of available market data
and, while forward-looking, they extrapolate from past events. VaR models may underestimate potential
losses if changes in risk factors fail to align with the distribution assumptions. VaR figures do not provide
any information on losses that may occur beyond the assumed confidence level.
The Bank’s economic capital framework covers credit risk, market risk and operational risk. As part
of the capital planning process, the Bank allocates economic capital to the above risk categories
commensurate with principles set by the Board and taking account of the business strategy. Reflecting
the high level of solvency targeted by the Bank, the economic capital framework measures economic
capital to a 99.99% confidence level assuming a one-year time horizon. An additional amount of
economic capital is allocated for FX settlement risk based on Management’s risk assessment. Moreover,
capital is set aside for a “minimum capital cushion” which provides an additional margin of safety.
The management of the Bank’s capital adequacy is complemented by a comprehensive stress testing
framework, and a financial leverage framework. The stress testing framework supplements the Bank’s
risk assessment, including its VaR and economic capital calculations for financial risk. The Bank’s key
market risk factors and credit exposures are stress-tested. The stress testing includes the analysis of
severe historical and adverse hypothetical macroeconomic scenarios, as well as sensitivity tests of
extreme but still plausible movements of the key risk factors identified. The Bank also performs stress
tests related to liquidity risk. The financial leverage framework focuses on a ratio that sets the Common
Equity Tier 1 capital in relation to its total balance sheet exposure.
3. Credit risk
Credit risk arises because a counterparty may fail to meet its obligations in accordance with the agreed
contractual terms and conditions. A financial asset is considered past due when a counterparty fails to
make a payment on the contractual due date.
The Bank manages credit risk within a framework and policies set by the Board of Directors and
Management. These are complemented by more detailed guidelines and procedures at the level of the
independent risk management function.
A. Credit risk assessment
Credit risk is continuously controlled at both a counterparty and an aggregated level. The independent
risk management function performs individual counterparty credit assessments following a well-defined
internal rating process. As part of this process, counterparty financial statements and market information
are analysed. The rating methodologies depend on the nature of the counterparty. Based on the internal
rating and specific counterparty features, the Bank sets a series of credit limits covering individual
counterparties and countries. Internal ratings are assigned to all counterparties. The ratings and related
limits are reviewed at least annually for counterparties with internal ratings (expressed as equivalent
external ratings) of ‘A’ or below. The main assessment criterion in these reviews is the ability of the
counterparties to meet interest and principal repayment obligations in a timely manner.
Credit risk limits at the counterparty level are approved by the Bank’s Management and fit within a
framework set by the Board of Directors.
On an aggregated level, credit risk, including default and country transfer risk, is measured, monitored
and controlled based on the Bank’s economic capital calculation for credit risk. To calculate economic
capital for credit risk, the Bank uses a portfolio VaR model. Management limits the Bank’s overall
exposure to credit risk by allocating an amount of economic capital to credit risk.
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B. Default risk
The tables in this section show the exposure of the Bank to default risk, without taking into account
any impairment allowance, collateral held or other credit enhancements available to the Bank. Credit
risk is mitigated through the use of collateral and legally enforceable netting or setoff agreements. The
corresponding assets and liabilities are not offset on the balance sheet.
The exposures set out in the tables below are based on the gross carrying value of the assets in the
balance sheet as categorised by sector, geographical region and credit quality. The gross carrying value
is the fair value of the financial instruments, except in the case of very short-term financial instruments
(sight and notice accounts) and gold. Provisions for estimated credit losses on instruments valued at
amortised cost are not included in the exposure amounts. Commitments are reported at their notional
amounts. Gold and gold loans exclude gold bar assets held in custody at central banks, and accounts
receivable and other assets do not include unsettled liabilities issued because these items do not
represent credit exposures of the Bank.
The substantial majority of the Bank’s assets are placed in local currency central bank cash, or in
securities issued by governments and financial institutions rated A– or above by at least one of the
major external credit assessment institutions. Limitations on the number of high-quality counterparties
in these sectors mean that the Bank is exposed to single-name concentration risk. As at 31 March
2021, excluding local currency cash at central banks and exposures largely mitigated by collateral
arrangements, there was one advanced economy sovereign comprising more than 5% of the total
on-balance sheet exposure reported in the tables below. This exposure was between 10% and 15%
of the total on-balance sheet exposure (31 March 2020: one exposure between 10% and 15%).
Default risk by asset class and issuer type
The following tables show the exposure of the Bank to default risk by asset class and issuer type,
without taking into account any impairment loss allowance, collateral held or other credit enhancements
available to the Bank. “Public sector” includes international and other public sector institutions.
As at 31 March 2021
Sovereign and Public sector Banks Corporate Securitisation Total
SDR millions central banks
On-balance sheet exposure
Cash and cash equivalents 50,151.0 635.3 68.3 – – 50,854.6
Gold and gold loans 479.4 – 194.1 – – 673.5
Securities purchased under resale agreements 5,074.4 – 58,832.5 14,665.1 – 78,572.0
Loans and advances 12,120.3 82.7 33,341.4 – – 45,544.4
Government and other securities 93,959.5 15,632.3 8,350.8 8,945.3 191.6 127,079.5
Derivative financial instruments 345.9 15.2 7,260.1 0.6 – 7,621.8
Accounts receivable and other assets 8.1 31.7 1,437.9 5.9 – 1,483.6
Total on-balance sheet exposure 162,138.6 16,397.2 109,485.1 23,616.9 191.6 311,829.4
Commitments
Undrawn unsecured facilities 211.6 – – – – 211.6
Total commitments 211.6 – – – – 211.6
Total exposure 162,350.2 16,397.2 109,485.1 23,616.9 191.6 312,041.0
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As at 31 March 2020
Sovereign and Public sector Banks Corporate Securitisation Total
SDR millions central banks
Cash and cash equivalents 53,137.3 577.3 306.8 – – 54,021.4
Gold and gold loans 224.1 – 67.2 – – 291.3
Securities purchased under resale agreements 7,012.4 – 36,120.9 12,885.3 – 56,018.6
Loans and advances 5,072.8 40.0 48,926.1 – – 54,038.9
Government and other securities 73,563.3 11,328.9 9,138.7 9,258.1 417.1 103,706.1
Derivative financial instruments 251.4 7.4 3,261.8 0.4 – 3,521.0
Accounts receivable and other assets 5.9 4.5 193.4 5.8 – 209.6
Total on-balance sheet exposure 139,267.2 11,958.1 98,014.9 22,149.6 417.1 271,806.9
Commitments
Undrawn unsecured facilities 219.4 – – – – 219.4
Total commitments 219.4 – – – – 219.4
Total exposure 139,486.6 11,958.1 98,014.9 22,149.6 417.1 272,026.3
Default risk by geographical region
The following tables represent the exposure of the Bank to default risk by asset class and geographical
region, without taking into account any impairment loss allowance, collateral held or other credit
enhancements available to the Bank. Exposures are allocated to regions based on the country of
incorporation of each legal entity.
As at 31 March 2021
Africa and Asia-Pacific Americas International Total
SDR millions Europe institutions
Cash and cash equivalents 38,665.6 11,524.9 28.8 635.3 50,854.6
Gold and gold loans 673.5 – – – 673.5
Securities purchased under resale agreements 65,081.8 10,516.6 2,973.6 – 78,572.0
Loans and advances 38,813.9 4,614.4 2,116.1 – 45,544.4
Government and other securities 38,569.1 56,996.1 27,334.4 4,179.9 127,079.5
Derivative financial instruments 5,917.7 456.5 1,238.2 9.4 7,621.8
Accounts receivable and other assets 1,410.3 3.7 69.5 0.1 1,483.6
Total on-balance sheet exposure 189,131.9 84,112.2 33,760.6 4,824.7 311,829.4
Commitments
Undrawn unsecured facilities – 211.6 – – 211.6
Total commitments – 211.6 – – 211.6
Total exposure 189,131.9 84,323.8 33,760.6 4,824.7 312,041.0
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As at 31 March 2020
Africa and Asia-Pacific Americas International Total
SDR millions Europe institutions
Cash and cash equivalents 27,224.9 26,178.2 41.0 577.3 54,021.4
Gold and gold loans 291.3 – – – 291.3
Securities purchased under resale agreements 40,385.1 8,621.1 7,012.4 – 56,018.6
Loans and advances 37,533.2 9,272.8 7,232.9 – 54,038.9
Government and other securities 33,636.1 41,652.4 23,961.5 4,456.1 103,706.1
Derivative financial instruments 2,861.5 376.0 280.3 3.2 3,521.0
Accounts receivable and other assets 11.1 2.6 194.6 1.3 209.6
Total on-balance sheet exposure 141,943.2 86,103.1 38,722.7 5,037.9 271,806.9
Commitments
Undrawn unsecured facilities – 219.4 – – 219.4
Total commitments – 219.4 – – 219.4
Total exposure 141,943.2 86,322.5 38,722.7 5,037.9 272,026.3
Default risk by counterparty / issuer rating
The following tables show the exposure of the Bank to default risk by class of financial asset and
counterparty /issuer rating, without taking into account any impairment allowance, collateral held
or other credit enhancements available to the Bank. The ratings shown reflect the Bank’s internal
ratings expressed as equivalent external ratings.
As at 31 March 2021
AAA AA A BBB BB and Unrated Total
SDR millions below
Cash and cash equivalents 34,478.9 5,681.7 10,560.8 132.6 0.6 – 50,854.6
Gold and gold loans – 479.4 194.1 – – – 673.5
Securities purchased under resale agreements – 17,180.2 39,948.6 21,443.2 – – 78,572.0
Loans and advances 1,409.4 9,889.3 31,151.1 413.9 2,680.7 – 45,544.4
Government and other securities 6,065.0 46,484.2 61,695.8 12,834.5 – – 127,079.5
Derivative financial instruments 0.3 647.4 6,367.0 461.6 0.5 145.0 7,621.8
Accounts receivable and other assets 185.4 25.8 447.7 809.5 1.2 14.0 1,483.6
Total on-balance sheet exposure 42,139.0 80,388.0 150,365.1 36,095.3 2,683.0 159.0 311,829.4
Commitments
Undrawn unsecured facilities – – – 211.6 – – 211.6
Total commitments – – – 211.6 – – 211.6
Total exposure 42,139.0 80,388.0 150,365.1 36,306.9 2,683.0 159.0 312,041.0
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As at 31 March 2020
AAA AA A BBB BB and Unrated Total
SDR millions below
Cash and cash equivalents 25,771.2 1,897.8 26,227.3 125.0 0.1 – 54,021.4
Gold and gold loans – 224.1 67.2 – – – 291.3
Securities purchased under resale agreements – 19,897.7 27,508.8 8,612.1 – – 56,018.6
Loans and advances 2,208.1 1,478.5 47,076.6 638.5 2,637.2 – 54,038.9
Government and other securities 6,541.8 40,029.8 48,165.6 8,968.9 – – 103,706.1
Derivative financial instruments – 155.9 3,175.7 169.8 16.1 3.5 3,521.0
Accounts receivable and other assets – 0.8 2.6 191.5 2.1 12.6 209.6
Total on-balance sheet exposure 34,521.1 63,684.6 152,223.8 18,705.8 2,655.5 16.1 271,806.9
Commitments
Undrawn unsecured facilities – – – 219.4 – – 219.4
Total commitments – – – 219.4 – – 219.4
Total exposure 34,521.1 63,684.6 152,223.8 18,925.2 2,655.5 16.1 272,026.3
C. Credit risk mitigation
Netting
Netting agreements give the Bank a legally enforceable right to net transactions with counterparties
under potential future conditions, notably an event of default. Such master netting or similar
agreements apply to counterparties with which the Bank conducts most of its derivatives transactions,
as well as to counterparties used for repurchase and reverse repurchase agreement transactions. Where
required, netting is applied when determining the amount of collateral to be requested or provided,
but the Bank does not typically settle assets and liabilities on a net basis during the normal course of
business. As such, the amounts shown in the Bank’s balance sheet are the gross amounts.
Collateral
The Bank mitigates credit risk by requiring counterparties to provide collateral. The Bank receives
collateral in respect of most derivative contracts and reverse repurchase agreements and for advances
made under collateralised facility agreements. During the term of these transactions, further collateral
may be called or collateral may be released based on the movements in value of both the underlying
instrument and the collateral that has been received. The Bank is required to provide collateral in
respect of repurchase agreements and some derivative contracts.
For derivative contracts and reverse repurchase agreements, the Bank accepts as collateral high-
quality sovereign, state agency and supranational securities and, in a limited number of cases, cash. For
advances made under collateralised facility agreements, collateral accepted includes currency deposits
with the Bank, units in the BIS Investment Pools and gold.
Under the terms of its collateral arrangements, the Bank is permitted to sell or reuse collateral received
on derivative contracts and reverse repurchase agreements, but upon expiry of the transaction must
return equivalent financial instruments to the counterparty. At 31 March 2021, the Bank had not sold,
lent or reused any of the collateral it held (31 March 2020: nil).
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The fair value of collateral held which the Bank had the right to sell was:
As at 31 March
Collateral held in respect of:
Derivatives 5,245.7 1,095.2
Securities purchased under resale agreements 56,072.8 38,088.2
Total 61,318.5 39,183.4
Financial assets and liabilities subject to netting or collateralisation
The tables below show the categories of assets and liabilities which are either subject to collateralisation,
or for which netting agreements would apply under potential future conditions such as the event of
default of a counterparty.
The amount of collateral required is usually based on valuations performed on the previous business
day, whereas the Bank’s balance sheet reflects the valuations of the reporting date. Due to this timing
difference, the valuation of collateral can be higher than the valuation of the underlying contract in the
Bank’s balance sheet. The amount of the collateral obtained is also impacted by thresholds, minimum
transfer amounts and valuation adjustments (“haircuts”) specified in the contracts. In these tables, the
mitigating effect of collateral has been limited to the balance sheet value of the underlying net asset.
Some of the securities purchased under resale agreements presented in the table below relate to the
utilisation of uncommitted credit lines by the Bank’s central bank customers.
The Bank also receives collateral in respect of advances under certain committed and uncommitted facilities.
Such collateral can be in the form of currency deposits with the BIS, or units in BIS investment pools.
In certain derivatives transactions, the Bank has provided or received collateral in the form of cash and
cash equivalents, with the corresponding balance recorded as part of other assets or other liabilities,
respectively, in the balance sheet. For some dedicated mandates the Bank receives collateral from
the mandate customer in respect of derivative financial instruments transacted on their behalf. This
collateral is in the form of currency deposits with the BIS, and is recorded as such in the balance sheet.
As at 31 March 2021 Effect of risk mitigation Analysed as:
Gross carrying Adjustments for Enforceable Collateral Exposure after Amounts not Amounts
amount as settlement date netting (received) risk mitigation subject to risk subject to risk
per balance effects agreements / provided mitigation mitigation
sheet (limited to agreements agreements
balance sheet
SDR millions value)
Financial assets
Securities purchased under resale

agreements 78,572.0 (20,437.3) – (58,109.5) 25.2 – 25.2
Advances 2,680.7 – – (2,680.7) – – –
Derivative financial instruments 7,621.8 – (1,090.7) (5,246.3) 1,284.8 140.3 1,144.5
Securities sold under repurchase

agreements – – – – – – –
Derivative financial instruments (2,208.1) – 1,090.7 15.7 – – –
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As at 31 March 2020 Effect of risk mitigation Analysed as:
Gross carrying Adjustments for Enforceable Collateral Exposure after Amounts not Amounts
amount as per settlement date netting (received) / risk mitigation subject to risk subject to risk
balance sheet effects agreements provided mitigation mitigation
(limited to agreements agreements
balance sheet
SDR millions value)
Financial assets
Securities purchased under resale

agreements 56,018.6 (11,324.5) – (44,684.1) 10.0 – 10.0
Advances 2,637.3 – – (2,637.3) – – –
Derivative financial instruments 3,521.0 – (2,057.8) (822.6) 640.6 116.5 524.1
Securities sold under repurchase

agreements (148.8) – – 148.7 – – –
Derivative financial instruments (3,049.2) – 2,057.8 171.8 – – –
As at 31 March 2021, the Bank pledged SDR 13.0 million (31 March 2020: SDR 315.1 million) of debt
securities as collateral under its obligations related to derivative financial instrument contracts. The
counterparties have an obligation to return these securities to the Bank.
D. Economic capital for credit risk
The Bank determines economic capital for credit risk (except for FX settlement risk, which is included in
the utilisation for credit risk) using a VaR methodology on the basis of a portfolio VaR model, assuming
a one-year time horizon and a 99.99% confidence level. The amount of economic capital set aside for
FX settlement risk reflected in the Bank’s economic capital calculations is based on an assessment by
Management.
For the financial year 2021 2020
SDR millions Average High Low At 31 March Average High Low At 31 March
Economic capital utilisation for credit

risk 6,622.3 7,298.5 5,912.5 6,450.4 5,919.6 6,321.1 5,493.9 6,231.4
E. Minimum capital requirements for credit risk
Exposure to sovereigns, banks and corporates
For the calculation of risk-weighted assets for exposures to sovereigns, banks and corporates, the Bank
has adopted an approach that is consistent with the advanced internal ratings-based approach.
As a general rule, under this approach risk-weighted assets are determined by multiplying the credit
risk exposures with risk weights derived from the relevant BCBS regulatory risk weight function using
the Bank’s own estimates for key inputs. These estimates for key inputs are also relevant to the Bank’s
economic capital calculation for credit risk.
The credit risk exposure for a transaction or position is referred to as the exposure at default (EAD).
The Bank determines the EAD as the notional amount of on- and off-balance sheet credit exposures,
except for securities and derivative contracts. The EAD for securities is based on market value, the EAD
for derivatives is calculated using an approach consistent with the internal models method. In line with
the EAD methodology for derivatives, the Bank calculates effective expected positive exposures that are
then multiplied by a factor alpha as set out in the framework.
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Key inputs to the risk weight function are a counterparty’s estimated one-year probability of default (PD)
as well as the estimated loss-given-default (LGD) and maturity for each transaction.
Due to the high credit quality of the Bank’s investments and the conservative credit risk management
process at the BIS, the Bank is not in a position to estimate PDs and LGDs based on its own default
experience. The Bank calibrates each counterparty PD estimate through a mapping of internal rating
grades to external credit assessments taking external default data into account. Similarly, LGD estimates
are derived from external data. Where appropriate, these estimates are adjusted to reflect the risk-
reducing effects of collateral obtained giving consideration to market price volatility, re-margining and
revaluation frequency. The recognition of the risk-reducing effects of collateral obtained for derivative
contracts, reverse repurchase agreements and collateralised advances is accounted for in calculating the
EAD.
The table below details the calculation of risk-weighted assets. The exposures are measured taking
netting and collateral benefits into account. The total amount of exposures reported in the table
as at 31 March 2021 includes SDR 50.7 million for interest rate contracts (2020: SDR 98.1 million) and
SDR 1,194.4 million for FX and gold contracts (2020: SDR 635.4 million). In line with the Basel
Framework, the minimum capital requirement is determined as 8% of risk-weighted assets.
As at 31 March 2021
Internal rating grades expressed as Amount of Exposure-weighted Exposure-weighted Exposure-weighted Risk-weighted

equivalent external rating grades exposure PD average LGD average risk weight assets
SDR millions / percentages SDR millions % % % SDR millions
AAA 41,488.3 0.01 6.8 0.7 300.7
AA 66,471.8 0.03 42.2 11.3 7,504.1
A 105,490.0 0.06 49.3 15.8 16,651.5
BBB 13,911.3 0.20 55.4 37.3 5,193.2
BB and below 201.2 79.54 58.8 136.2 274.1
Total 227,562.6 29,923.6
As at 31 March 2020
Internal rating grades expressed as equivalent Amount of Exposure-weighted Exposure-weighted Exposure-weighted Risk-weighted
external rating grades exposure PD average LGD average risk weight assets
SDR millions / percentages SDR millions % % % SDR millions
AAA 33,883.0 0.01 9.5 1.2 408.1
AA 50,726.8 0.03 40.0 13.7 6,967.0
A 123,510.3 0.06 45.0 16.1 19,868.6
BBB 10,147.4 0.20 55.6 37.1 3,760.7
BB and below 8.8 59.63 58.4 53.7 4.7
Total 218,276.3 31,009.1
At 31 March 2021, the minimum capital requirement for credit risk related to exposures to sovereigns,
banks and corporates was SDR 2,393.9 million (2020: SDR 2,480.7 million).
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The following table summarises the impact of collateral arrangements on the amount of credit exposure
after taking netting into account:
Amount of exposure after Benefits from collateral Amount of exposure after
taking netting into account arrangements taking into account netting
SDR millions and collateral arrangements
As at 31 March 2021 312,777.4 85,214.8 227,562.6
As at 31 March 2020 269,732.1 51,455.8 218,276.3
Securitisation exposures
The Bank invests in securitisation exposures based on traditional, ie non-synthetic, securitisation

structures. Given the scope of the Bank’s activities, risk-weighted assets are determined according to
the standardised approach for securitisation. Under this approach, external credit assessments of the
securities are used to determine the relevant risk weights. External credit assessment institutions used
for this purpose are Moody’s Investors Service, Standard & Poor’s and Fitch Ratings. Risk-weighted
assets are then derived as the product of the market values of the exposures and the associated risk
weights. In line with the BCBS framework, the minimum capital requirement is determined as 8% of
risk-weighted assets.
The following table shows the Bank’s investments in securitisation analysed by type of securitised assets:
As at 31 March 2021
External rating Amount of Risk weight Risk-weighted
SDR millions exposures assets
Securities backed by other receivables (government-sponsored) AAA 97.0 20% 19.4
Securities backed by mortgages 94.6 1250% 1,182.1
Total 191.6 1,201.5
As at 31 March 2020
External rating Amount of Risk weight Risk-weighted
SDR millions exposures assets
Securities backed by other receivables (government-sponsored) AAA 337.6 20% 67.5
Securities backed by mortgages 79.5 1250% 994.1
Total 417.1 1,061.6
At 31 March 2021, the minimum capital requirement for securitisation exposures was SDR 96.1 million
(2020: SDR 84.9 million).
4. Market risk
The Bank is exposed to market risk through adverse movements in market prices. The main components
of the Bank’s market risk are gold price risk, interest rate risk and foreign exchange risk. The Bank
measures market risk and calculates economic capital based on a VaR methodology using a Monte Carlo
simulation technique. Risk factor volatilities and correlations are estimated, subject to an exponential
weighting scheme, over a six-year observation period. Furthermore, the Bank computes sensitivities to
certain market risk factors.
In line with the Bank’s objective of maintaining its superior credit quality, economic capital is measured
at the 99.99% confidence level assuming a one-year holding period. The Bank calculates the economic
capital utilisation for market risk on the basis of a stressed market data set. The Bank’s Management
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Annual Report
manages market risk economic capital usage within a framework set by the Board of Directors. VaR limits
are supplemented by operating limits.
To ensure that models provide a reliable measure of potential losses over the one-year time horizon,
the Bank has established a comprehensive regular backtesting framework, comparing daily performance
with corresponding VaR estimates. The results are analysed and reported to Management.
The Bank also supplements its market risk measurement based on VaR modelling and related economic
capital calculations with a series of stress tests. These include severe historical scenarios, adverse
hypothetical macroeconomic scenarios and sensitivity tests of gold price, interest rate and foreign
exchange rate movements.
A. Gold price risk
Gold price risk is the exposure of the Bank’s financial condition to adverse movements in the price of
gold.
The Bank is exposed to gold price risk principally through its holdings of gold investment assets.
These gold investment assets are held in custody or placed on deposit with commercial banks.
At 31 March 2021, the Bank’s net gold investment assets were 102 tonnes with a value of
SDR 3,939.6 million, approximately 17% of shareholders’ equity (31 March 2020: 102 tonnes,
SDR 3,878.1 million, representing 18% of shareholders’ equity). The Bank sometimes also has small
exposures to gold price risk arising from its banking activities with central and commercial banks.
Gold price risk is measured within the Bank’s VaR methodology, including its economic capital
framework and stress tests.
B. Interest rate risk
Interest rate risk is the exposure of the Bank’s financial condition to adverse movements in interest rates,
including credit spreads. The Bank is exposed to interest rate risk through the interest-bearing assets
relating to the management of its equity held in its investment portfolios and investments relating to its
banking portfolios. The investment portfolios are managed using a fixed-duration benchmark of bonds.
The Bank measures and monitors interest rate risk using a VaR methodology and sensitivity analyses
taking into account movements in relevant money market rates, government bond yields, swap rates and
credit spreads.
The following tables show the impact on the Bank’s equity of a 1% upward shift in the relevant yield curve
per time band:
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Annual Report
As at 31 March 2021
Up to 6 6 to 12 1 to 2 2 to 3 3 to 4 4 to 5 Over Total
SDR millions months months years years years years 5 years
Euro (5.0) (14.9) (30.5) (29.0) (28.2) (6.7) (9.8) (124.2)
Japanese yen 18.2 0.5 (0.1) – (0.2) 0.1 0.1 18.7
Pound sterling 0.3 (3.5) (8.7) (11.8) (5.3) (0.6) (2.4) (31.9)
Renminbi (0.8) (3.5) (6.8) (7.3) (8.2) (15.6) (20.9) (63.1)
Swiss franc 12.5 (0.1) (0.2) (0.2) (0.1) (1.7) (1.1) 9.1
US dollar (12.4) (12.1) (38.3) (25.9) (29.1) (36.3) (83.1) (237.3)
Other currencies (0.5) (0.1) (0.7) (0.8) (0.9) (0.5) (0.5) (4.1)
Total 12.4 (33.6) (85.3) (74.9) (72.1) (61.3) (117.9) (432.8)
As at 31 March 2020
Up to 6 6 to 12 1 to 2 2 to 3 3 to 4 4 to 5 Over Total
SDR millions months months years years years years 5 years
Euro (6.0) (13.8) (27.3) (38.9) (39.8) (28.5) (16.5) (170.8)
Japanese yen 19.5 0.8 0.1 – (0.1) – 0.1 20.4
Pound sterling (0.9) (1.6) (7.4) (10.2) (17.8) (5.9) – (43.8)
Renminbi (0.2) (4.6) (5.3) (3.3) (9.4) (17.8) (38.1) (78.7)
Swiss franc 4.4 (0.3) (0.3) (0.2) (0.3) (0.8) (2.7) (0.2)
US dollar (19.6) (15.9) (20.5) (31.9) (16.2) (50.7) (155.1) (309.9)
Other currencies (0.3) 0.3 (0.4) (1.0) (0.9) (0.4) (0.1) (2.8)
Total (3.1) (35.1) (61.1) (85.5) (84.5) (104.1) (212.4) (585.8)
C. Foreign exchange risk
The Bank’s functional currency, the SDR, is a composite currency comprising fixed amounts of USD,
EUR, JPY, GBP and Renminbi. Currency risk is the exposure of the Bank’s financial condition to adverse
movements in exchange rates. The Bank is exposed to foreign exchange risk primarily through the
assets relating to the management of its equity. The Bank is also exposed to foreign exchange risk
through managing its customer deposits and through acting as an intermediary in foreign exchange
transactions. The Bank reduces its foreign exchange exposures by matching the relevant assets to the
constituent currencies of the SDR on a regular basis, and by limiting currency exposures arising from
customer deposits and foreign exchange transaction intermediation.
The following tables show the Bank’s assets and liabilities by currency and gold exposure. The net
foreign exchange and gold position in these tables therefore includes the Bank’s gold investments. To
determine the Bank’s net foreign exchange exposure, the gold amounts need to be removed. The
SDR-neutral position is then deducted from the net foreign exchange position excluding gold to arrive
at the net currency exposure of the Bank on an SDR-neutral basis.
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As at 31 March 2021
SDR USD EUR GBP JPY RMB CHF Gold Other Total
SDR millions currencies
Assets
Cash and cash

equivalents 635.3 18.7 24,178.2 681.6 10,106.2 414.9 13,787.7 – 1,032.0 50,854.6
Securities purchased
under resale
agreements – 4,701.1 25,154.8 29,180.3 19,535.8 – – – – 78,572.0
Loans and advances – 19,937.9 13,461.7 8,468.5 – – 1,918.9 – 1,757.4 45,544.4
Government and
other securities – 32,200.4 32,169.1 5,275.7 42,352.9 3,914.4 933.7 – 10,233.3 127,079.5
Gold and gold loans – 0.7 – – – – – 41,665.0 – 41,665.7
Derivative financial
instruments 3,185.3 199,764.9 (52,567.6) (29,569.5) (78,214.0) 3,351.4 (16,286.1) (19,547.6) (2,495.0) 7,621.8
Accounts receivable
and other assets – 3,859.9 188.0 423.0 – 124.4 7.8 – 14.9 4,618.0
Land, buildings and

equipment 138.6 6.7 4.2 2.1 – – 46.7 – 0.1 198.4
Total assets 3,959.2 260,490.3 42,588.4 14,461.7 (6,219.1) 7,805.1 408.7 22,117.4 10,542.7 356,154.4
Liabilities
Currency deposits (2,167.2) (244,517.3) (16,290.9) (8,853.3) (277.7) (10,319.2) (351.7) – (5,237.4) (288,014.7)
Securities sold
under repurchase
agreements – – – – – – – – – –
Gold deposits – – – – – – – (18,848.9) – (18,848.9)
instruments (57.1) (7,526.8) (7,364.1) (2,462.3) 13,592.0 4,815.6 781.2 670.9 (4,657.5) (2,208.1)
Accounts payable – (1,344.0) (13,474.0) (1,717.0) (5,864.5) (413.6) – – (506.6) (23,319.7)
Other liabilities – (3.5) (1.9) (0.4) – – (927.8) – (6.4) (940.0)
Total liabilities (2,224.3) (253,391.6) (37,130.9) (13,033.0) 7,449.8 (5,917.2) (498.3) (18,178.0) (10,407.9) (333,331.4)
Net currency and

gold position 1,734.9 7,098.7 5,457.5 1,428.7 1,230.7 1,887.9 (89.6) 3,939.4 134.8 22,823.0
Adjustment for gold – – – – – – – (3,939.4) – (3,939.4)
Net currency
position 1,734.9 7,098.7 5,457.5 1,428.7 1,230.7 1,887.9 (89.6) – 134.8 18,883.6
SDR-neutral
position (1,734.9) (7,044.4) (5,492.5) (1,434.6) (1,300.8) (1,876.4) – – – (18,883.6)
Net currency
exposure on SDR-
neutral basis – 54.3 (35.0) (5.9) (70.1) 11.5 (89.6) – 134.8 –
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Annual Report
As at 31 March 2020
SDR USD EUR GBP JPY RMB CHF Gold Other Total
SDR millions currencies
Assets
Cash and cash

equivalents 577.2 22.0 14,589.9 7.2 25,942.1 217.5 12,589.8 - 75.7 54,021.4
Securities purchased
under resale
agreements - 10,230.6 23,466.9 11,332.5 10,819.2 169.4 - - - 56,018.6
Loans and advances - 32,499.1 18,047.1 1,033.3 - 103.3 605.4 - 1,750.7 54,038.9
Government and
other securities - 33,847.1 25,086.5 4,788.2 30,670.7 2,952.2 266.2 - 6,095.2 103,706.1
Gold and gold loans - 0.2 - - - - - 31,436.6 - 31,436.8
instruments 1,542.8 86,023.6 (41,629.5) (1,776.7) (27,527.2) (1,460.0) (5,036.7) (874.5) (5,740.8) 3,521.0
Accounts receivable
and other assets - 5,059.5 0.7 464.3 - 2.7 9.7 - 18.3 5,555.2
Land, buildings and

equipment 166.0 2.3 1.6 0.7 - - 28.6 - 0.1 199.3
Total assets 2,286.0 167,684.4 39,563.2 15,849.5 39,904.8 1,985.1 8,463.0 30,562.1 2,199.2 308,497.3
Liabilities
Currency deposits (2,522.2) (204,184.1) (20,595.5) (13,204.3) (399.1) (3,283.4) (376.5) - (5,629.7) (250,194.8)
Securities sold
under repurchase
agreements - - - (148.8) - - - - - (148.8)
Gold deposits - - - - - - - (15,221.1) - (15,221.1)
instruments 854.4 48,958.7 (4,474.5) (513.8) (35,707.0) 3,161.5 (7,339.9) (11,475.6) 3,487.0 (3,049.2)
Accounts payable - (4,851.4) (9,189.8) (617.8) (2,536.1) - - - (17.5) (17,212.6)
Other liabilities - (4.4) (1.5) (0.2) - - (1,016.3) - (8.5) (1,030.9)
Total liabilities (1,667.8) (160,081.2) (34,261.3) (14,484.9) (38,642.2) (121.9) (8,732.7) (26,696.7) (2,168.7) (286,857.4)
Net currency and

gold position 618.2 7,603.2 5,301.9 1,364.6 1,262.6 1,863.2 (269.7) 3,865.4 30.5 21,639.9
Adjustment for gold - - - - - - - (3,865.4) - (3,865.4)
Net currency
position 618.2 7,603.2 5,301.9 1,364.6 1,262.6 1,863.2 (269.7) - 30.5 17,774.5
SDR-neutral
position (618.2) (7,309.6) (5,323.0) (1,341.7) (1,380.9) (1,801.1) - - - (17,774.5)
Net currency
exposure on
SDR-neutral basis - 293.6 (21.1) 22.9 (118.3) 62.1 (269.7) - 30.5 -
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Annual Report
D. Economic capital for market risk
The Bank measures market risk based on a VaR methodology using a Monte Carlo simulation technique
taking correlations between risk factors into account. Economic capital for market risk is also calculated
following this methodology measured to the 99.99% confidence level and assuming a one-year holding
period. The Bank calculates the economic capital utilisation for market risk on the basis of a stressed
market data set. The stressed data set is subject to regular review and calibrated to take account of the
Bank’s key market risk exposures and market risk drivers.
The Bank measures its gold price risk relative to changes in the USD value of gold. The foreign exchange
risk component, resulting from changes in the USD exchange rate versus the SDR, is included in the
measurement of foreign exchange risk. The following table shows the key figures of the Bank’s exposure
to market risk in terms of economic capital utilisation over the past two financial years:
Economic capital utilisation for

market risk 4,357.6 4,722.8 3,853.4 3,987.6 3,664.9 3,977.9 3,415.2 3,807.0
The following table provides a further analysis of the Bank’s economic capital utilisation for market risk
by category of risk:
Gold price risk 3,088.8 3,484.9 2,779.7 2,870.2 2,536.5 2,898.6 2,186.4 2,752.9
Interest rate risk 2,586.5 2,693.0 2,194.9 2,194.9 2,345.8 2,479.5 2,198.0 2,346.8
Foreign exchange risk 905.5 1,037.6 765.4 832.9 764.4 924.2 610.5 836.9
Diversification effects (2,223.2) (2,478.2) (1,910.3) (1,910.3) (1,981.8) (2,267.7) (1,758.9) (2,129.6)
Total 3,987.6 3,807.0
E. Minimum capital requirements for market risk
For the calculation of minimum capital requirements for market risk under the Basel Framework, the
Bank has adopted a banking book approach consistent with the scope and nature of its business
activities. Consequently, market risk-weighted assets are determined for gold price risk and foreign
exchange risk, but not for interest rate risk. The related minimum capital requirement is derived using
the VaR-based internal models method. Under this method, VaR calculations are performed using the
Bank’s VaR methodology, assuming a 99% confidence level and a 10-day holding period for both a
stressed and non-stressed market data sets.
The actual minimum capital requirement is derived as the sum of the minimum capital requirements
based on the VaR calculated for both the stressed and non-stressed market data sets. For each data set,
the higher of the VaR on the calculation date and the average of the daily VaR measures on each of the
preceding 60 business days (including the calculation date) is used subject to a multiplication factor of
three plus a potential add-on depending on backtesting results. For the period under consideration,
six backtesting outliers were reported, resulting in a backtesting add-on of 0.5. The following table
summarises the market risk development relevant to the calculation of minimum capital requirements
and the related risk-weighted assets over the reporting period:
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Annual Report
As at 31 March 2021 2020
VaR Risk-weighted Minimum capital VaR Risk-weighted Minimum capital

Market risk,
where (A) is derived as (B) / 8% 538.0 37,453.7 2,996.3 500.2 27,562.9 2,205.0
F. Economic capital for operational risk
Consistent with the parameters used in the calculation of economic capital for financial risk, the Bank
measures economic capital for operational risk to the 99.99% confidence level assuming a one-year
holding period. The following table shows the key figures of the Bank’s exposure to operational risk in
terms of economic capital utilisation over the past two financial years:
Economic capital utilisation for

operational risk 1,100.0 1,100.0 1,100.0 1,100.0 1,100.0 1,100.0 1,100.0 1,100.0
5. Operational risk
Operational risk is defined by the Bank as the risk of financial loss, or damage to the Bank’s reputation,
or both, resulting from one or more risk causes, as outlined below:
• Human factors: insufficient personnel, lack of requisite knowledge, skills or experience, inadequate
training and development, inadequate supervision, loss of key personnel, inadequate succession
planning, or lack of integrity or ethical standards.
• Failed or inadequate processes: a process is poorly designed or unsuitable, or is not properly

documented, understood, implemented, followed or enforced.
• Failed or inadequate systems: a system is poorly designed, unsuitable or unavailable, or does not
operate as intended.
• External events: the occurrence of an event having an adverse impact on the Bank but outside its
control.
Operational risk includes legal risk, but excludes strategic risk.
The Bank’s operational risk management framework, policies and procedures comprise the management
and measurement of operational risk, including the determination of the relevant key parameters and
inputs, business continuity planning and the monitoring of key risk indicators.
The Bank has established a procedure of immediate reporting for operational risk-related incidents.
The Operational Transformation and Resiliency unit develops action plans with the respective units and
follows up on their implementation on a regular basis.
For the measurement of operational risk economic capital and operational risk-weighted assets,
the Bank has adopted a VaR approach using a VaR-based Monte Carlo simulation technique that is
consistent with the advanced measurement approach. Consistent with the BCBS recommendations, the
quantification of operational risk does not take into account reputational risk. Internal and external loss
data as well as scenario estimates are key inputs in the calculations.
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Minimum capital requirements for operational risk
The calculation of the minimum capital requirement for operational risk is determined assuming a
99.9% confidence level and a one-year time horizon. The following table shows the minimum capital
requirements for operational risk, and the related risk-weighted assets:
As at 31 March 2021 2020
VaR Risk-weighted Minimum capital VaR Risk-weighted Minimum capital

Operational risk,
where (A) is derived as (B) / 8% 716.6 8,957.5 716.6 712.7 8,909.2 712.7
6. Liquidity risk
Liquidity risk arises when the Bank may not be able to meet expected or unexpected current or future
cash flows and collateral needs without affecting its daily operations or its financial condition.
The Bank’s currency and gold deposits, principally from central banks and international institutions,
comprise 92% (2020: 93%) of its total liabilities. At 31 March 2021, currency and gold deposits
originated from 174 depositors (2020: 175 depositors). Within these deposits, there are significant
individual customer concentrations, with three customers each contributing in excess of 5% of the total
on a settlement date basis (2020: five customers).
Outstanding balances in the currency and gold deposits from central banks, international organisations
and other public institutions are the key drivers of the size of the Bank’s balance sheet. The Bank is
exposed to funding liquidity risk mainly because of the short-term nature of its deposits and because it
undertakes to repurchase at fair value certain of its currency deposit instruments at one or two business
days’ notice. In line with the Bank’s objective to maintain a high level of liquidity, it has developed a
liquidity management framework, including a ratio, based on conservative assumptions for estimating
the liquidity available and the liquidity required.
A. Maturity profile of cash flows
The following tables show the maturity profile of cash flows for assets and liabilities. The amounts
disclosed are the undiscounted cash flows to which the Bank is committed. Options are included in the
table at fair value and are shown in the “Up to 1 month” category.
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Annual Report
As at 31 March 2021
Up to 1 1 to 3 3 to 6 6 to 12 1 to 2 2 to 5 5 to 10 Over 10 Total
SDR millions month months months months years years years years
Assets
Cash and cash equivalents 50,854.6 – – – – – – – 50,854.6
Securities purchased under

resale agreements 44,430.4 13,698.8 – – – – – – 58,129.2
Loans and advances 20,061.9 10,621.5 5,776.4 8,659.8 176.9 – – – 45,296.5
Government and other

securities 12,801.3 19,285.4 25,235.9 37,573.6 12,685.2 15,410.9 2,634.9 1,505.2 127,132.4
Gold and gold loans 41,665.7 – – – – – – – 41,665.7
Total assets 169,813.9 43,605.7 31,012.3 46,233.4 12,862.1 15,410.9 2,634.9 1,505.2 323,078.4
Liabilities
Currency deposits
Deposit instruments
repayable at 1–3 days’
notice (47,775.7) (27,325.8) (40,248.2) (36,717.2) (6,528.3) (4,432.6) (93.8) – (163,121.6)
Other currency deposits (62,501.4) (27,388.1) (21,124.9) (10,891.0) (33.2) – – – (121,938.6)
Gold deposits (18,848.9) – – – – – – – (18,848.9)
Total liabilities (129,126.0) (54,713.9) (61,373.1) (47,608.2) (6,561.5) (4,432.6) (93.8) – (303,909.1)
Derivatives
Net settled cash flows
Options and interest rate

contracts (13.1) (68.4) (18.2) (29.1) (74.2) (18.1) 4.6 – (216.5)
Gross settled cash flows
Interest rate contracts
Inflows 22.5 105.4 1,176.2 635.3 318.3 531.2 – – 2,788.9
Outflows (20.1) (96.7) (1,147.1) (638.3) (292.2) (506.8) – – (2,701.2)
Subtotal 2.4 8.7 29.1 (3.0) 26.1 24.4 – – 87.7
Currency and gold

contracts
Inflows 168,878.6 57,100.7 39,414.9 40,393.9 526.9 – – – 306,315.0
Outflows (166,606.0) (55,805.0) (38,321.2) (39,160.6) (524.9) – – – (300,417.7)
Subtotal 2,272.6 1,295.7 1,093.7 1,233.3 2.0 – – – 5,897.3
Total derivatives 2,261.9 1,236.0 1,104.6 1,201.2 (46.1) 6.3 4.6 – 5,768.5
Total future
undiscounted cash flows 42,949.8 (9,872.2) (29,256.2) (173.6) 6,254.5 10,984.6 2,545.7 1,505.2 24,937.8
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Annual Report
As at 31 March 2020
Up to 1 1 to 3 3 to 6 6 to 12 1 to 2 2 to 5 5 to 10 Over Total
SDR millions month months months months years years years 10 years
Assets
Cash and cash equivalents 54,021.4 – – – – – – – 54,021.4
Securities purchased under

resale agreements 39,608.7 5,079.5 – – – – – – 44,688.2
Loans and advances 11,120.7 13,147.0 10,771.8 16,878.2 298.2 – – – 52,215.9
Government and other

securities 8,213.2 17,993.8 15,444.4 17,423.3 18,803.4 18,856.8 4,484.9 1,447.5 102,667.3
Gold and gold loans 31,248.1 188.8 – – – – – – 31,436.9
Total assets 144,212.1 36,409.1 26,216.2 34,301.5 19,101.6 18,856.8 4,484.9 1,447.5 285,029.6
Liabilities
Currency deposits
Deposit instruments
repayable at 1–3 days’
notice (56,957.3) (21,970.9) (18,030.0) (27,901.7) (12,542.3) (7,987.1) (74.3) – (145,463.6)
Other currency deposits (52,527.9) (24,918.4) (16,890.1) (6,361.3) – – – – (100,697.7)
Securities sold under

repurchase agreements (148.8) – – – – – – – (148.8)
Gold deposits (15,221.1) – – – – – – – (15,221.1)
Total liabilities (124,855.1) (46,889.3) (34,920.1) (34,263.0) (12,542.3) (7,987.1) (74.3) – (261,531.2)
Derivatives
Net settled cash flows
Options and interest rate

contracts (59.0) 10.7 80.5 30.6 (119.4) (88.2) 0.2 – (144.6)
Gross settled cash flows
Interest rate contracts
Inflows 34.0 37.9 57.9 164.4 1,925.4 440.7 – – 2,660.3
Outflows (34.4) (33.6) (55.5) (158.5) (1,917.8) (436.9) – – (2,636.7)
Subtotal (0.4) 4.3 2.4 5.9 7.6 3.8 – – 23.6
Currency and gold

contracts
Inflows 131,694.3 47,663.1 24,577.4 22,546.8 – – – – 226,481.6
Outflows (131,303.1) (47,546.0) (24,391.8) (22,221.2) – – – – (225,462.1)
Subtotal 391.2 117.1 185.6 325.6 – – – – 1,019.5
Total derivatives 331.8 132.1 268.5 362.1 (111.8) (84.4) 0.2 – 898.5
Total future
undiscounted cash flows 19,688.8 (10,348.1) (8,435.4) 400.6 6,447.5 10,785.3 4,410.8 1,447.5 24,396.9
In the above table, the cash flows for government and other securities (along with the related total lines) have been amended since they were
originally published in the 2019/20 financial statements.
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Annual Report
The following table shows the contractual expiry date of the credit commitments as at the balance sheet
date:
Contractual expiry date

Up to 1 1 to 3 3 to 6 6 to 12 1 to 2 2 to 5 5 to 10 Maturity Total
SDR millions month months months months years years years undefined
As at 31 March 2021 – – – 211.6 – – – – 211.6
As at 31 March 2020 – – – 219.4 – – – – 219.4
The following table shows the contractual undiscounted cash flows under lease contracts at the balance
sheet date:
Contractual expiry date

Up to 1 1 to 3 3 to 6 6 to 12 1 to 2 2 to 5 5 to 10 Maturity Total
SDR millions month months months months years years years undefined
As at 31 March 2021 (0.3) (0.7) (0.3) (1.5) (2.8) (2.2) (0.6) – (8.4)
As at 31 March 2020 (0.3) (0.7) (0.3) (1.5) (2.8) (4.9) (0.9) – (11.4)
B. Liquidity ratio
The Bank has adopted a liquidity risk framework taking into account regulatory guidance issued by
the BCBS related to the Liquidity Coverage Ratio (LCR). The framework is based on a liquidity ratio that
compares the Bank’s available liquidity with a liquidity requirement over a one-month time horizon
assuming a stress scenario. In line with the BCBS liquidity risk framework, the underlying stress scenario
combines an idiosyncratic and a market crisis. However, the liquidity ratio differs in construction from
the LCR to reflect the nature and scope of the BIS banking activities − in particular, the short-term
nature of the Bank’s assets and liabilities. Within the Bank’s liquidity framework, the Board of Directors
has set a limit for the Bank’s liquidity ratio which requires the liquidity available to be at least 100% of
the potential liquidity requirement.
The following table provides information on the development of the Bank’s liquidity ratio for the last
two years:
Percentages Average High Low At 31 March Average High Low At 31 March
Liquidity ratio 131.3% 154.8% 118.8% 129.0% 134.2% 157.5% 118.9% 127.7%
The liquidity available is determined as the cash inflow from financial instruments over a one-month
horizon, along with potential additional liquidity which could be generated from the disposal of highly
liquid securities, or by entering into sale and repurchase agreements for a part of the Bank’s remaining
unencumbered high-quality liquid securities. In calculating the amount of potential additional liquidity,
an assessment is performed to identify securities which are of high credit quality and highly liquid. This
is followed by a projection of the amounts that could reasonably be generated through selling these
securities or entering into repurchase transactions.
The Bank determines the liquidity required as the sum of the cash outflow from financial instruments
over a one-month horizon, the estimated early withdrawal of currency deposits, and the estimated
drawings of undrawn facilities. As regards currency deposits, it is assumed that all deposits that mature
within the time horizon are not rolled over and that a proportion of non-maturing currency deposits
is withdrawn from the Bank prior to contractual maturity. At 31 March 2021, the estimated outflow of
currency deposits in response to the stress scenario amounted to 49.0% (2020: 50.7%) of the total stock
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Annual Report
of currency deposits. Moreover, it is assumed that undrawn facilities committed by the Bank would be
fully drawn by customers, along with a proportion of undrawn uncommitted facilities.
The following table shows the Bank’s estimated liquidity available, the liquidity required and the
resulting liquidity ratio:
As at 31 March
SDR billions 2021 2020
Liquidity available
Estimated cash inflows 130.9 118.8
Estimated liquidity from sales of highly liquid securities 43.2 35.1
Estimated sale and repurchase agreements 9.6 8.6
Total liquidity available (A) 183.7 162.5
Liquidity required
Estimated withdrawal of currency deposits 138.3 123.8
Estimated drawings of facilities 2.7 2.1
Estimated other outflows 1.3 1.4
Total liquidity required (B) 142.4 127.3
Liquidity ratio (A) / (B) 129.0% 127.7%
For reference, the Bank also calculates an LCR following the principles set out in the guidance issued by
the BCBS. At 31 March 2021, the Bank’s LCR stood at 184.8% (2020: 177.9%).
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Annual Report
Independent auditor’s report
To the Board of Directors and to the General Meeting of the

Bank for International Settlements, Basel
Report on the audit of the financial statements
Opinion
We have audited the financial statements of the Bank for International Settlements, which comprise
the balance sheet as at 31 March 2021, the profit and loss account, the statement of comprehensive
income, the statement of cash flows, movements in shareholders’ equity and notes, as well as capital
adequacy and risk management disclosures for the year then ended, including a summary of significant
accounting policies.
In our opinion, the financial statements as at 31 March 2021 give a true and fair view of the financial
position of the Bank for International Settlements and of its financial performance and its cash flows for
the year then ended in accordance with the accounting policies described in the financial statements
and the Statutes of the Bank.
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (ISAs). Our
responsibilities under those provisions and standards are further described in the “Auditor’s
responsibilities for the audit of the financial statements” section of our report.
We are independent of the Bank for International Settlements in accordance with the International Ethics
Standards Board for Accountants’ Code of Ethics for Professional Accountants (IESBA Code) and we have
fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the
audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Other information
Management is responsible for the other information in the annual report. The other information
comprises all information included in the annual report, but does not include the financial statements
and our auditor’s report thereon.
Our opinion on the financial statements does not cover the other information in the annual report and
we do not express any form of assurance conclusion thereon.
In connection with our audit of the financial statements, our responsibility is to read the other
information in the annual report and, in doing so, consider whether the other information is materially
inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears
to be materially misstated. If, based on the work we have performed, we conclude that there is a
material misstatement of this other information, we are required to report that fact. We have nothing to
report in this regard.
Responsibilities of Management and the Board of Directors for the financial statements
Management is responsible for the preparation and fair presentation of the financial statements in
accordance with the accounting policies described in the financial statements and the Statutes of the
Bank, and for such internal control as Management determines is necessary to enable the preparation of
financial statements that are free from material misstatement, whether due to fraud or error.
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Annual Report
In preparing the financial statements, Management is responsible for assessing the Bank for International
Settlement’s ability to continue as a going concern, disclosing, as applicable, matters related to going
concern and using the going concern basis of accounting unless Management either intends to liquidate
the Bank for International Settlements or to cease operations, or has no realistic alternative but to do so.
The Board of Directors is responsible for overseeing the Bank for International Settlement’s financial
reporting process.
Auditor’s responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole
are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report
that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee
that an audit conducted in accordance with ISAs will always detect a material misstatement when it
exists. Misstatements can arise from fraud or error and are considered material if, individually or in the
aggregate, they could reasonably be expected to influence the economic decisions of users taken on the
basis of these financial statements.
As part of an audit in accordance with ISAs, we exercise professional judgment and maintain professional
scepticism throughout the audit. We also:
• Identify and assess the risks of material misstatement of the financial statements, whether due to
fraud or error, design and perform audit procedures responsive to those risks, and obtain audit
evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting
a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may
involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.
• Obtain an understanding of internal control relevant to the audit in order to design audit procedures
that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Bank for International Settlement’s internal control.
• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting
estimates and related disclosures made by Management.
• Conclude on the appropriateness of the Managements’ use of the going concern basis of accounting
and, based on the audit evidence obtained, whether a material uncertainty exists related to events
or conditions that may cast significant doubt on the Bank for International Settlement’s ability to
continue as a going concern. If we conclude that a material uncertainty exists, we are required to
draw attention in our auditor’s report to the related disclosures in the financial statements or, if such
disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence
obtained up to the date of our auditor’s report. However, future events or conditions may cause the
Bank for International Settlements to cease to continue as a going concern.
• Evaluate the overall presentation, structure and content of the financial statements, including the
disclosures, and whether the financial statements represent the underlying transactions and events in
a manner that achieves fair presentation.
We communicate with the Audit Committee regarding, among other matters, the planned scope and
timing of the audit and significant audit findings, including any significant deficiencies in internal control
that we identify during our audit.
PricewaterhouseCoopers AG
Andrin Bernet Natalia Dmitrieva

Audit expert Audit expert Zürich, 17 May 2021
219
Printed in Switzerland Bank for International Settlements
Promoting global monetary
and financial stability
Bank for International Settlements (BIS)

www.bis.org
email@bis.org
ISSN 1021-2477
ISBN 978-92-9259-484-8

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Annual Report

The BIS’s financial statements for the financial year ended

Ladies and gentlemen

Pursuant to Article 49 of the Bank’s Statutes, they are presented in a form

Basel, 17 May 2021

Agustín Carstens Luiz Awazu Pereira da Silva

Balance sheet 145

Profit and loss account 146

Statement of comprehensive income 147

Statement of cash flows 148

Movements in shareholders’ equity 150

Accounting policies 151

Notes to the financial statements 162

1. Cash and cash equivalents 162

2. Currency assets 162

3. Gold and gold loans 164

4. Derivative financial instruments 164

5. Accounts receivable and other assets 165

6. Land, buildings and equipment, and depreciation and amortisation 166

7. Currency deposits 166

8. Securities sold under repurchase agreements 167

9. Gold deposits 168

10. Accounts payable 168

11. Other liabilities 168

12. Post-employment benefit obligations 168

13. Share capital 174

14. Statutory reserves 175

15. Other equity accounts 176

16. Interest income 178

17. Interest expense 178

18. Change in ECL impairment provision 178

19. Net income on financial assets and liabilities at fair value

20. Net gain on sales of currency assets at FVOCI 180

21. Net gain on sales of gold investment assets 180

22. Net fee income 180

23. Net foreign exchange income 181

24. Administrative expense 181

25. Dividend per share 182

26. Exchange rates 182

27. Off-balance sheet items 182

28. Commitments 183

29. Fair value hierarchy 183

30. Geographical analysis 188

31. Related parties 189

32. Contingent liabilities 191

Capital adequacy 192

1. Capital adequacy framework 192

2. Economic capital 192

3. Financial leverage 194

4. Common Equity Tier 1 capital ratio 194

Risk management 196

1. Risks faced by the Bank 196

2. Risk management approach and organisation 196

3. Credit risk 198

4. Market risk 206

5. Operational risk 212

6. Liquidity risk 213

Independent auditor’s report 218

SDR millions Note 2021 2020

Balance sheet 145

Profit and loss account 146

Statement of comprehensive income 147

Statement of cash flows 148

Movements in shareholders’ equity 150

Accounting policies 151

Notes to the financial statements 162

Capital adequacy 192

Risk management 196

Independent auditor’s report 218