Basel Said to Draft Capital Rules for Banks’ Interest-Rate Risk
By Jim Brunsden
The Basel Committee on Banking Supervision is considering new capital rules to ensure that lenders can absorb the impact of an unexpected rise in interest rates, according to four people with knowledge of the matter. While Basel’s rulebook already includes binding capital requirements for interest rate risk on assets held in banks’ trading books, it’s now focused on assets banks intend to hold to maturity, the people said, declining to be identified because the regulator’s plans aren’t public. The committee will publish proposals in the next few weeks, one said. “Interest rate risk in the banking sector is currently extremely high, so any specific capital charge would be high and costly for the banks,” Karen Shaw Petrou, managing partner of Washington-based research firm Federal Financial Analytics Inc., said in an interview. “Analysts would instantly price any new rule into their banking forecasts.”–interest-rate-risk/41350406