Bankers fear confusion over Basel IRRBB disclosures
Differing discount methods and EVE approach will need explaining to investors
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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