Proposed Directive - Revised requirements related to Interest Rates Risk in the Banking Book

The SARB Prudential Authority is proposing amendments to the IRRBB framework by introducing recalibrated interest rate shock parameters for banks' banking book exposures. The proposed directive, published on 1 April 2026, includes Annexure 1 detailing the revised shock calibration methodology. Banks are required to assess and comment on how these recalibrated shocks would impact their interest rate risk measurement and capital adequacy assessments.

Banks should review the proposed directive and Annexure 1 carefully to understand the recalibrated shock scenarios. Compliance teams should prepare feedback on the practical implications of these revised requirements for their IRRBB management frameworks. The consultation process allows banks to raise concerns about calibration assumptions or implementation challenges before the directive is finalized.