National regulators able to ‘opt out’ of Basel II maturity treatment
The Basel Committee on Banking Supervision, the architect of Basel II, has climbed down from its initial plans to force banks to include a full maturity adjustment on capital allocated against risk of defaulting loans, in its proposed mark-to-market advanced internal ratings based (IRB) rules.
Many studies have shown that banks should hold more capital against longer-term loans. “The data analysed by the committee clearly shows that you have these upward-sloping curves
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