How to Build an IRRBB Framework That Holds Up Under Basel, EU, UK and US Scrutiny

A complete regulatory reference for treasury, ALM, and risk teams navigating interest rate risk in the banking book after the 2024 shock scenario recalibration.

What Is IRRBB Regulation and Why Does It Matter Now?

Interest Rate Risk in the Banking Book, or IRRBB, is the risk to a bank's capital and earnings from movements in interest rates. It sits outside Basel's Pillar 1 capital framework, treated instead as a Pillar 2 risk that depends heavily on each institution's own assumptions about deposits, prepayments and repricing behavior.

Guide IRRBB Regulation - Mockup White

For years, IRRBB stayed in the background. The rate rises that started in 2022 and the collapse of Silicon Valley Bank in March 2023 put it back at the center of supervisory attention.

This guide covers:

  • How Basel, the EU, the UK and the US each define, measure and supervise IRRBB

  • What changed with the 2024 shock scenario recalibration, effective January 2026

  • How the four frameworks compare, and what the 2023 banking turmoil revealed about each of them

 

What Are the Key Findings?

  •  Basel's 2024 recalibration raised most parallel shock magnitudes, moving EUR from 200bp to 225bp and GBP from 250bp to 275bp, effective January 1, 2026, while JPY stays floored at 100bp

  • CSRBB is the EU's most distinctive addition, going beyond Basel's instruction to monitor and assess into a full identification and monitoring framework under the EBA's 2022 guidelines

  • Only the UK capitalizes IRRBB as a matter of routine, through a supervisor-calculated Pillar 2A charge, while the EU and Basel rely on outlier tests and the US relies on examination alone

  • Applying the EU's outlier test to SVB's 2022 balance sheet suggests its interest rate exposure would likely have breached the 15% Tier 1 threshold well before March 2023

  • The US remains the only major framework without prescribed shock scenarios, a standardized outlier test, or a dedicated IRRBB capital charge

 Download the guide to see how your IRRBB framework holds up against Basel, EU, UK, and US expectations.

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Guide IRRBB Regulation

Key Areas Covered

Table of Content

  1. Executive Summary

  2. Introduction

  3. Part I, Foundations of IRRBB: what IRRBB is, the economics behind it, the measurement toolkit, a short history of IRRBB regulation

  4. Part II, The Global Basel Framework: BCBS 368, Principles 1 to 9, Principles 10 to 12, the standardized framework, the shock scenarios and the 2024 recalibration, Basel Pillar 3 disclosure, current Basel workstreams after 2023

  5. Part III, The EU Framework: architecture of EU IRRBB regulation, CRD and CRR requirements, the EBA guidelines, CSRBB, the supervisory outlier tests, the standardized approaches, supervisory reporting, EU Pillar 3 disclosure, supervision in practice through SREP

  6. Part IV, The UK Framework: architecture of UK IRRBB regulation after Brexit, the ICAA Part, supervisory expectations under SS3/15, the Pillar 2A capitalized regime, reporting and disclosure, supervision in practice

  7. Part V, The US Framework: the US philosophy of supervision over standardization, the foundational guidance triad, examination and ratings, IRR inside binding rules, SVB and the aftermath, measurement and reporting in US practice

  8. Part VI, Synthesis: comparative analysis of Basel, the EU, the UK and the US, a case study of the 2023 turmoil through an IRRBB lens, open issues and outlook
    Conclusion

  9. Annexes: other jurisdictions in brief, glossary, regulation quick-reference tables, shock scenario reference

Who Should Read This?

 ALM Directors and Managers responsible for measuring and reporting IRRBB across the balance sheet

 Treasury Directors and interest rate risk officers preparing for ALCO, SREP or exam cycles

 CROs and CFOs evaluating how supervisory expectations translate into capital and governance requirements

 Heads of regulatory affairs and compliance leads working across more than one jurisdiction

 Risk technology decision-makers assessing platform investment for IRRBB measurement and reporting

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