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Quantitative Finance · Glossary

What is Held-to-maturity portfolio?

Definition 24.11 Rates, Credit, XVA and Risk · Chapter 24 — Liquidity and Funding Risk; Bank Treasury

A held-to-maturity portfolio holds securities the bank intends and is able to keep until maturity, carried at amortised cost: their market losses do not appear in earnings or in regulatory capital. Selling some can force the whole portfolio to be marked.

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