On 28 July 2023, the European Banking Authority (EBA) published findings of an ad-hoc analysis of unrealised losses on debt securities held at amortised cost in EU banks. The ad-hoc analysis is a targeted risk assessment conducted by the EBA in collaboration with Member State competent authorities, which aims at understanding the potential evolution of unrealised losses on EU banks’ debt securities held at amortised cost. As of February 2023, the total amount of banks’ debt securities held at amortised cost was 1.3 trillion EUR. The related total unrealised losses, net of hedge adjustments, amounted to 75bn EUR, showing an increase since the end of 2021 as interest rates have been increasing. As of February 2023, gross unrealised losses were mitigated by hedges amounting to 38bn EUR.

The EBA states that hypothetical gains and losses calculated in the analysis should be assessed considering the overall interest risk management of the banks. In this regard, the EBA Guidelines on interest rate risks for banking book and credit spread risk arising from non-trading book activities, which include the economic value of equity, cover the evaluation of the overall interest rate risk management.