Banks reject NMD maturity limits in interest rate risk rules
Prescribed maturities for non-maturity deposits are a crucial sticking point for respondents to a Basel proposal on interest rate risk in the banking book
Assumed durations for non-maturity deposits (NMDs) in the banking book do not reflect reality and would reduce lending and increase systemic risk, banks and industry bodies said in responses to proposed regulation.
The Basel Committee on Banking Supervision released a consultation paper in June outlining two possible ways of determining capital charges for interest rate risk in the banking book (IRRBB). The first imposes a standardised capital requirement, while the second leaves the decision on
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