Journal of
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Archive » December 2023 » Interest rate risk on the securities portfolio: accounting rules and disclosure limits

Interest rate risk on the securities portfolio: accounting rules and disclosure limits

Lorenzo Faccincani, Michele Rutigliano
December 2023 - n. 12
Keywords: Portafogli obbligazionari, utili/perdite non realizzati, banche
Jel codes: G21, G28

The article examines the issue of valuation losses on debt securities held by banks that are valued in the financial statement at amortized cost and at fair value through other comprehensive income. After having ascertained its relevance for Italian banks in recent years, some proposals have been put forward to make the current information framework more transparent and detailed, in order to bring advantages to those who want to understand which the real value of bond portfolios is at the reporting date. Moreover it is highlighted those aspects that make less convenient and appropriate the decisions of managing debt securities that aim not to reflect the related changes in fair value on profitability, net worth and own funds.

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