Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules
The Basel Committee on Banking Supervision has dropped plans for a standardised capital charge for credit spread risk on loans, bonds and other assets held in the banking book, according to two regulatory sources. The issue was felt to be adding too much complexity to the overhaul of much-delayed rules on interest rate risk in the banking book (IRRBB).
A first IRRBB consultation has been in the works since 2012, and is now expected in time for a June meeting of the Basel Committee, the sources
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