Basel to unveil ‘Pillar 1-lite’ approach to rate risk
First public consultation expected this month in long-running project
A flexible approach to setting capital requirements for the interest rate risk on loans and deposits is set to share key elements of the originally planned rigid, standardised approach, according to industry and regulatory sources.
The competing visions for the regulation of interest rate risk in the banking book (IRRBB) are expected to be laid out for the first time in a Basel Committee on Banking Supervision consultation paper this month. The standardised treatment – a so-called Pillar 1
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