Recalibration of shocks for interest rate risk in the banking book

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BCBS  | 
12 December 2023
Status:  Open [Upload comments]
Topics: Market risk

The Basel Committee on Banking Supervision has issued a public consultation on proposed adjustments to its standard on interest rate risk in the banking book (IRRBB).

The Committee proposes to make a set of adjustments to the specified interest rate shocks in the IRRBB standard, consistent with commitments in the standard to periodically update their calibration. It also proposes to make targeted adjustments to the current methodology used to calculate the shocks. These changes are needed to address problems with how the current methodology captures interest rate changes during periods when rates are close to zero.

The Committee welcomes comments on the proposed amendments to the IRRBB standard, which should be submitted here by 28 March 2024. All submissions will be published on the BIS website unless a respondent specifically requests confidential treatment.