Yesterday, 9 November 2026, the Basel Committee on Banking Supervision published a new consultation proposing additional Pillar 2 guidance for interest rate risk in the banking book (IRRBB). The proposals aim to strengthen banks’ IRRBB risk management practices and supervisory oversight following lessons from recent periods of elevated inflation, rapid interest rate increases and heightened market volatility.
The consultation identifies several areas where the Basel Committee sees a need for stronger and more practical guidance. These include:
- model risk management and validation
- stress testing
- IRRBB controls
- the treatment of embedded gains and losses in securities portfolios
- short- and medium-term earnings indicators.
Greater supervisory visibility into IRRBB
One particularly noteworthy proposal is the introduction of “Supervisory Information”: information reported by banks to support supervisors’ ongoing monitoring and examinations of IRRBB.
According to the Basel Committee, this would support more effective supervisory assessments, including peer comparisons and earlier identification of banks with potentially excessive IRRBB exposures.
What does this mean for banks?
Although the proposals are still under consultation, they signal increasing supervisory attention to how IRRBB is managed, modelled, validated, stressed and monitored, rather than focusing solely on regulatory calculations.
For banks, this reinforces the importance of robust modelling, reliable data, transparent assumptions and the ability to understand interest rate risk from both economic value and earnings perspectives.
For ALM and Treasury teams, the proposals would strengthen expectations in several areas of IRRBB management, including model risk management and validation, stress testing, IRRBB controls and short- and medium-term earnings indicators. The proposed introduction of “Supervisory Information” would also provide supervisors with additional information for ongoing monitoring and examinations of IRRBB.
The proposed changes would amend the Basel Framework provisions in SRP31 and the related application guidance in SRP98. The consultation remains open for comments until 9 February 2027.
Read the full Basel Committee consultation: Interest rate risk in the banking book – additional Pillar 2 guidance [bis.org]