Even though the Committee is not currently proposing mandatory capital charges specifically for interest rate risk in the banking book, all banks must have enough capital to support the risks they incur, including those arising from interest rate risk. If supervisors determine that a bank has insufficient capital to support its interest rate risk, they must require either a reduction in the risk or an increase in the capital held to support it, or a combination of both. Supervisors should be particularly attentive to the capital sufficiency of “outlier banks” – those whose interest rate risk in the banking book leads to an economic value decline of.
