Bankers fear confusion over Basel IRRBB disclosures

Differing discount methods and EVE approach will need explaining to investors

analyst
Under scrutiny: some investors might be confused as the methodology is not sufficiently standardised, say bankers

Public disclosure of interest rate stress impacts as part of Basel regulatory requirements for non-traded risk could cause confusion among investors, because the methodology is not sufficiently standardised, according to bankers at a conference in London.

"Basel gives you the ability to use either the risk-free discount rate or [to include] the different rates you see on different products with different risk profiles. So in the end, I think when you use full cashflows, for instance, you have

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