Banking book rate risk project splits in two
Designing a new, standardised charge for interest rate risk in the banking book is proving difficult – and regulators are now also considering an update of existing guidance
Regulators have started considering proposals to update – rather than replace – the capital treatment for interest rate risk on loans, deposits and other non-traded assets, highlighting a continued lack of certainty about the outcome of the project, which has been running since 2013 but has yet to produce a consultation paper.
Until recently, the working group had been focusing on proposals for a so-called Pillar I approach – a single capital framework, including a standardised charge. This is
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