On March 28, the Institute of International Finance (IIF) submitted a response to the Basel Committee on Banking Supervision (BCBS) consultative document: Recalibration of shocks for interest rate risk in the banking book (IRRBB).

In the letter, we support the Committee’s proposal to switch from relative shock to absolute shock approach. However, we strongly disagree with the proposal to amend the confidence level from 99th percentile to 99.9th percentile, as this amendment is not warranted or justified. We also request that the threshold for the outlier test be reviewed. We also request that the Committee consider narrowing the 50bp rounding increment, as well as regularly updating the time series utilised and providing greater transparency over the data used to calibrate the standard.