Bankers fear confusion over Basel IRRBB disclosures

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