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.
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
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.