EBA · 2023_6731 Rejected question

Perimeter of CSRBB

Regulation
Directive 2013/36/EU (CRD)
Article
84, para. 6
Topic
Interest Rate Risk for Banking Book (IRRBB)
Submitted by
Consultancy firm
Submitted
2023-02-23
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Question

Should such investment products (such as bonds) accounted at amortised cost be included in the CSRBB perimeter when the management intention is to hold the asset until maturity?

Background

In French GAAP, investment products such as bonds can be accounted at amortised cost or fair value depending on the management intention. Investment products are accounted at amortised cost if the management intention is to hold them until maturity. Market value changes for investments products at amortised cost are not accounted. However the market value changes can impact the bank if the product is sold (which is not the management intention but may occur if liquidity is needed due to market conditions for instance).
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6731

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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