European Central Bank - eurosystem
European Central Bank - eurosystem
Search
Mogućnosti pretraživanja
Početna stranica Mediji Objašnjenja Istraživanje i publikacije Statistika Monetarna politika €uro Plaćanja i tržišta Zapošljavanje
Prijedlozi
Razvrstaj po:
Nije dostupno na hrvatskom jeziku.

Ghislain Rossignol

11 May 2023
OCCASIONAL PAPER SERIES - No. 316
Wind-down of bank trading books
English
Details
Abstract
This article focuses on some of the operational aspects of winding down a bank’s trading book portfolio and discusses the hidden exit costs that can sometimes exist. The article provides a deep dive on valuation principles and exit strategies currently considered by industry practitioners when designing a solvent wind-down plan. It also provides the reader with an overview of key underpinning valuation or pricing concepts, such as ‘fair value’, ‘realisable value’ and ‘solvent wind-down (SWD) value’.
JEL Code
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G13 : Financial Economics→General Financial Markets→Contingent Pricing, Futures Pricing
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
G15 : Financial Economics→General Financial Markets→International Financial Markets
G17 : Financial Economics→General Financial Markets→Financial Forecasting and Simulation
G18 : Financial Economics→General Financial Markets→Government Policy and Regulation
G32 : Financial Economics→Corporate Finance and Governance→Financing Policy, Financial Risk and Risk Management, Capital and Ownership Structure, Value of Firms, Goodwill
G33 : Financial Economics→Corporate Finance and Governance→Bankruptcy, Liquidation
G34 : Financial Economics→Corporate Finance and Governance→Mergers, Acquisitions, Restructuring, Corporate Governance
1.T.B.IN2._Z._Z._Z.EUR._T._X.N.ALL%20BPS.Q.N.I8.%5E%5E.S1.S1.T.B.S._Z._Z._Z.EUR._T._X.N.ALL&type=series&ajaxTab=true" class="sdw">Data for the geographical breakdown of the euro area current account

International investment position

At the end of the third quarter of 2022, the international investment position of the euro area recorded net assets of €479 billion vis-à-vis the rest of the world (3.7% of euro area GDP), up from €433 billion in the previous quarter (Chart 2 and Table 2).

Chart 2

Net international investment position of the euro area

(net amounts outstanding at the end of the period as a percentage of four-quarter moving sums of GDP)

Source: ECB.

Data for the net international investment position of the euro area

The €46 billion increase in net assets reflected partly offsetting changes in the various investment components. Lower net liabilities were recorded in portfolio equity (down from €2.80 trillion to €2.73 trillion) and in other investment (down from €1.29 trillion to €1.27 trillion), while larger net assets were recorded in direct investment (up from €2.21 trillion to €2.22 trillion). These were offset by the decline in net assets in portfolio debt (down from €1.20 trillion to €1.13 trillion).

Table 2

International investment position of the euro area

(EUR billions, unless otherwise indicated; amounts outstanding at the end of the period, flows during the period; non-working day and non-seasonally adjusted)

Source: ECB.
Notes: “Equity” comprises equity and investment fund shares. Net financial derivatives are reported under assets. “Other volume changes” mainly reflect reclassifications and data enhancements. Discrepancies between totals and their components may arise from rounding.

Data for the international investment position of the euro area

The developments in the euro area’s net international investment position in the third quarter of 2022 were driven mainly by positive net flows owing to exchange rate changes, which were partly offset by negative net price changes, transactions and other volume changes (Table 2 and Chart 3).

The decrease in net liabilities for portfolio equity was mostly driven by positive net flows for price changes (as the overall decline was larger in liabilities than in assets), exchange rate changes, and other volume changes that were partially offset by negative net transactions (Table 2). The decline in net assets for portfolio debt resulted mainly from negative net transactions and negative net flows due to price changes that were partially offset by positive net exchange rate changes. In direct investment positive net flows owing to exchange rate changes were almost fully offset by negative net price changes and transactions, while in other investment positive net transactions were largely offset by negative other volume changes.

At the end of the third quarter of 2022 the gross external debt of the euro area amounted to €16.6 trillion (around 127% of euro area GDP), up by €128 billion compared with the previous quarter.

Chart 3

Changes in the net international investment position of the euro area

(EUR billions; flows during the period)

Source: ECB.
Note: “Other volume changes” mainly reflect reclassifications and data enhancements. 

Data for changes in the net international investment position of the euro area

This release provides an overview of the euro area’s international investment position vis-à-vis residents of Russia at the end of the third quarter of 2022 and reports the main changes compared with the previous quarter (Table 3).[1] Euro area financial assets vis-à-vis Russia amounted to €389 billion (1.1% of euro area external assets) at the end of the third quarter of 2022, a 2% decrease since the end of the previous quarter. This decrease was mainly due to euro area other investment assets in Russia, which declined by 15% in the third quarter of 2022. At the same time, the euro area recorded liabilities of €500 billion vis-à-vis Russia (1.4% of total external liabilities), an increase of 3%, driven mainly by larger liabilities in other investment due to the sanctions imposed by the EU on Russia, which include asset freezes and restrictions on payments to Russian residents.[2]

Table 3

International investment position of the euro area – geographical breakdown vis-à-vis Russia

(EUR billions, unless otherwise indicated; at the end of the period; non-working day and non-seasonally adjusted)

Source: ECB.
Notes: “Equity” comprises equity and investment fund shares. “Total assets/liabilities” refer to the sum of direct investment, portfolio investment, other investment and financial derivatives. Reserve assets are not included in the total and financial derivatives are reported separately in gross terms under assets and liabilities. Discrepancies between totals and their components may arise from rounding. Percentage changes refer to changes between the end of the previous quarter and the end of the current quarter.

Data for the international investment position of the euro area – geographical breakdown

Data revisions

This statistical release incorporates revisions to data for the reference periods between the first quarter of 2019 and the second quarter of 2022. The revisions reflect revised national contributions to the euro area aggregates as a result of the incorporation of newly available information.

Next releases

For queries, please use the Statistical information request form.

Notes

  1. Table 3 does not include reserve assets in the total euro area external asset positions and financial derivatives are reported in gross terms instead of net terms.

  2. See Council of the EU: EU sanctions against Russia explained.