On 9 November 2026, the Basel Committee on Banking Supervision (Basel Committee) issued a consultation on proposed additional Pillar 2 guidance on interest rate risk in the banking book (IRRBB).
Background
In April 2016, the Basel Committee published its standard on IRRBB. The IRRBB standard was subsequently incorporated into chapters SRP31 and SRP98 of the consolidated Basel Framework. Recently the Basel Committee has noted shortcomings in banks’ fundamental risk management of certain basic banking risks, including management of IRRBB, which has faced challenges from heightened inflation and rate volatility.
Summary
The Basel Committee is now proposing additional practical Pillar 2 guidance for banks and supervisors. In the consultation the Basel Committee proposes additional guidance on model risk management and validation, stress testing, IRRBB controls, the treatment of embedded gains and losses in securities portfolios, and short- and medium-term earnings indicators. It also proposes introducing “Supervisory Information”: information reported by banks to support supervisors’ ongoing monitoring and examinations of IRRBB.
Next steps
The deadline for comments on the consultation is 9 February 2027.