Banks engage in maturity transformation and the term premium compensates them for bearing the associated duration risk. They are consequently vulnerable to interest rate risk, which is the impact of adverse interest rate changes on a bank's financial state and is one of the most significant risks that banks face as financial intermediaries. The role of maturity gaps and short-term market interest rates on interest rate risk exposure in Kenyan commercial banks was explored in this study. The study's specific objectives were to assess the role of maturity gaps in interest rate risk exposure in Kenyan commercial banks, the role of short-term market rates in interest rate risk exposure in Kenyan commercial banks, and the impact of the Central Bank of Kenya's interest rate capping on interest rate risk exposure on Kenyan commercial banks. In order to assess the significant interest rate risk factors throughout Kenya's banking sector, this study used a panel data research design in approach. The study used secondary data covering the period from 2005 to 2015. The influence of interest rate capping on IRR was also studied for the period between 2016 to 2018.