Recalibration of shocks in the interest rate risk in the banking book standard

What it contains

In December 2023 the Basel Committee put out for consultation adjustments to the rate shocks in its standard on interest rate risk in the banking book (IRRBB), in line with the commitment to recalibrate them periodically, and targeted changes to the calculation methodology to correct problems when rates are close to zero. After assessing the comments, the Committee finalised the new methodology and published the revised standard in July 2024.

The main changes from the current methodology are: extending the calibration time series (initially to December 2022 and, in the final version, to December 2023, with the start date remaining January 2000); replacing global shock factors with local factors calculated for each currency using the averages of absolute rate changes over a rolling six-month window; and moving from the 99th percentile to the 99.9th percentile to maintain sufficient conservatism. The final version also reduces the rounding of shocks to multiples of 25 basis points, instead of 50, which softens cliff effects. The scenarios, time buckets, floors and caps do not change.

The revised standard should be applied no later than 1 January 2026: banks with a 31 December year-end should disclose the information in 2026 with data as of 31 December 2025. The revised text is incorporated into chapters SRP31 and SRP98 of the Basel Framework.

The Club originally published a summary of this document; the old link pointed to the Spanish text, which is no longer available on the BIS website.

Summary prepared by the Dominican Republic Risk Management Club from a reading of the original document, with the source verified on 7 October 2026. It does not replace reading the official text and is not advice.

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