Recalibration of Shocks for IRRBB

The Basel Committee on Banking Supervision has proposed a number of adjustments to its standard on Interest Rate Risk in the Banking Book (IRRBB).

Our flyer provides a summary of the proposed recalibrations, which are in three main areas: the interest rate data period, interest rate shock parameters, and the percentile value in determining the shock factors.

It also considers how these adjustments may affect banks in Hong Kong, and how banks should take action to prepare for the possible impact in areas including earnings and capital adequacy.