CTHIn ForceLegislation
Financial Sector (Collection of Data) (reporting standard) determination No. 15 of 2025
Table 3. Interest rate sensitivity of baTable 3. Interest rate sensitivity of banking book - All currencies
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Table 3. Interest rate sensitivity of banking book - All currencies
Table 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.
| Name | Valid values | Description | |
|---|---|---|---|
| 1 | Tenor | Overnight (O/N)0 to < 1 month (excluding O/N)1 to < 2 months2 to < 3 months3 to < 6 months6 to < 9 months9 to < 12 months1 to < 2 years2 to < 3 years3 to < 4 years4 to < 5 years5 to < 7 years7 to < 10 years10 to < 15 years15 to < 20 years20+ yearsNon-interest rate sensitiveTotal | These values are fixed in the table. |
| 2 | Net position / gap | Whole dollars | Report the value calculated from Table 1. Repricing Analysis - Contractual by aggregating cash flows in each tenor bucket. This results in a single positive or negative net position/gap for each tenor bucket.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the aggregate cashflows for each tenor reported in this column. |
| 3 | Parallel shock up | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “parallel shock up” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |
| 4 | Parallel shock down | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “parallel shock down” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |
| 5 | Steepener shock | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “steepener shock” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |