BCBS consults on interest rate risk in the banking book: BCBS is consulting on interest rate risk in the banking book (IRRBB). It proposes changes, in line with Pillar 2 of the Basel capital framework, to regulatory capital treatment and supervision of IRRBB. It offers two options:

  • a standardised Pillar 1 approach involving minimum capital requirements; or
  • an enhanced Pillar 2 approach, which would also include elements of market discipline under Pillar 3.

The paper looks at key policy issues and the two options. It includes an overview of high level principles for IRRBB for both banks and supervisors, and how the proportionality principle will apply. (Source:BCBS Consults on IRRBB)