After SVB downfall, EBA stress test seeks out unrealised losses

European regulator asks for data on the fair value and sensitivity of bonds and their hedges

Following the crisis at US regional banks, the European Union’s biggest banking regulator has asked for more data to uncover potential unrealised losses in its own jurisdiction. This data-collection exercise has been added to the European Banking Authority’s 2023 stress-testing process, according to six sources with knowledge of the request.

“They have asked for data on holdings in hedge accounting relationships to gauge if there are potential hidden losses in the banks,” says a senior treasury

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Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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