Basel faces challenge on charge for interest rate risk in the banking book

Rates expectations

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The US Federal Reserve has been walking a tightrope over the past couple of months – flagging the possibility that it will rein in its quantitative easing programme, while trying to avoid panic in a still-fragile market. US bond yields have surged regardless – it may not happen today or tomorrow, but market participants know rates are likely to start rising again at some point in the not-too-distant future.

All this makes the Basel Committee on Banking Supervision’s attempts to develop a

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