Regulators forge compromise on banking book rate risk

Basel rules allow a combination of internal and standardised models

photo of the basel committee headquarters
Banks have been eagerly awaiting the Basel Committee's final rules on IRRBB

Banks will be able to use both internal and standardised measures to calculate capital requirements for the interest rate risk on loans and deposits – regardless of whether the capital charge is standardised or left at the discretion of national supervisors.

In its long-awaited consultation paper on interest rate risk in the banking book (IRRBB), published on June 8, the Basel Committee on Banking Supervision proposed a standardised capital framework – the so-called Pillar 1 approach – alongside

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