Banking book rate risk project splits in two

Regulators working on Pillar II guidance as well as fixed capital regime


Regulators have started considering proposals to update – rather than replace – the capital treatment for interest rate risk on loans, deposits and other non-traded assets, highlighting a continued lack of certainty about the outcome of the project, which has been running since 2013 but has yet to produce a consultation paper.

Until recently, the working group had been focusing on proposals for a so-called Pillar I approach – a single capital framework, including a standardised charge. This is

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