The Basel Committee on Banking Supervision is proposing targeted adjustments to its standard on interest rate risk in the banking book, or IRRBB, the Bank of International Settlements announced today. Specifically, the committee is seeking to update the calibration of the standard’s interest rate shock parameters and methodology used to calculate the shocks.
The IRRBB standard requires banks to calculate measures of interest rate risk for their banking book exposures. The measures are based on a specified set of interest rate shocks for each currency for which the bank has material positions, according to BIS. The IRRBB standard was first established in 2016 by the Basel committee, which periodically updates the calibration of the interest rate shock factors used. Public comments on the proposal are due March 28, 2024.