Recalibration of shocks for IRRBB

The Basel Committee on Banking Supervision has finalised adjustments to its standard on interest rate risk in the banking book (IRRBB). The HKMA will locally implement these recalibrated interest rate shocks by 1 January 2026. 

The recalibrations include a number of changes to the previous standard in areas including historical data period and rounding of interest rate shocks. This flyer summarises the key changes and their likely implications of banks in areas including earnings, modelling and balance sheet management.