Europejski Urząd Nadzoru Bankowego, Analiza ad hoc niezrealizowanych strat na obligacjach banków UE

28 July 2023

AD-HOC ANALYSIS OF UNREALISED LOSSES ON EU BANKS’ BOND HOLDINGS

1.1 Introduction

This analysis focuses on the portfolio of debt securities held at amortised costs in EU banks. The size of these portfolios, their recent evolution, and the related unrealised losses have been an area of interest in recent months. The analysis considers the downside risk to banks should they, against expectation, be forced to liquidate, at a given point in time, all their bond holdings held at amortise cost and thus realise the unrealised losses. The findings presented below are based on an ad-hoc data collection launched by the EBA, with the support of Competent Authorities, in April 2023. The banks participating in this data collection are the same as those participating in the 2023 EU-wide stress test.

This initiative is in part prompted by recent interest rate rises and bond market developments, which raised questions as to the potential unrealised losses on banks’ bond portfolios, and it also...