Question
Should products accounted at fair value be included in the net interest income measure plus market value change when the fair value of the product is based on expert say and is therefore independent of the level of interest rates ?
Background on the question
For instance French Property Funds – Société civile de placement immobilier - which are accounted at fair value based on expert say.
Answer
This question has been rejected because the issue it deals with is already explained or addressed in the regulatory framework. In particular, please see paragraphs 14, 15 (IRRBB and CSRBB) and 124 (CSRBB) of the Guidelines issued on the basis of Article 84 (6) of Directive 2013/36/EU specifying criteria for the management and mitigation of the identification, evaluation, risks arising from potential changes in interest rates risk and credit spread risk, of the assessment and monitoring of institutions’ non-trading book activities (EBA/GL/2022/14).For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.