Basel to unveil ‘Pillar 1-lite’ approach to rate risk

photo of the basel committee headquarters — Basel Committee headquarters

Catherine Contiguglia
02 Jun 2015

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A flexible approach to setting capital requirements for the interest rate risk on loans and deposits is set to share key elements of the originally planned rigid, standardised approach, according to industry and regulatory sources.

The competing visions for the regulation of interest rate risk in the banking book (IRRBB) are expected to be laid out for the first time in a Basel Committee on Banking Supervision consultation paper this month. The standardised treatment – a so-called Pillar 1

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