Basel Committee lays out two tracks for banking book capital requirements

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The BIS

The Basel Committee on Banking Supervision today (June 8) set out proposals for two methods of calculating capital requirements for interest rate risk in the banking book, in an effort to fix flaws in the previous guidelines.

The consultation document outlines one option aimed at standardising approaches in different jurisdictions for greater consistency and transparency, and a second approach that allows banks to use an internal assessment of capital needs subject to supervisory approval, which

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