Subdivision Interest rate shock scenarios - Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025 - Interest rate shock scenarios

Interest rate shock scenarios

The six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[3]. These include:

Parallel shock up;
Parallel shock down;
Steepener shock (short rates down and long rates up);
Flattener shock (short rates up and long rates down);
Short rate shock up; and
Short rate shock down.

ADIs are to provide the ΔEVE and value of NII

start formula delta open bracket R bar subscript shocktype, c close bracket end formula

	ARS	AUD	BRL	CAD	CHF	CNY	EUR	GBP	HKD
Parallel	400	300	400	200	100	250	200	250	200
Short	500	450	500	300	150	300	250	300	250
Long	300	200	300	150	100	150	100	150	100

	IDR	INR	JPY	KRW	MXN	RUB	SAR	SEK	SGD
Parallel	400	400	100	300	400	400	200	200	150
Short	500	500	100	400	500	500	300	300	200
Long	350	300	100	200	300	300	150	150	100

	TRY	USD	ZAR
Parallel	400	200	400
Short	500	300	500
Long	300	150	300

For New-Zealand dollar exposures (NZD), ADIs are to use the same calibration as AUD.

For each currency, the following parameterisations of the six interest rate shock scenarios are to be applied:

Parallel shock for currency ![](image.003.png): a constant parallel shock up or down across all time buckets.

![start formula delta R subscript parallel, c open bracket t subscript k close bracket equals plus or minus R bar subscript parallel, c end formula](image.004.png)

Short rate shock for currency Image unavailable in extracted text: shock up or down that is greatest at the shortest tenor midpoint. That shock, through the shaping scalar start formula S subscript short open bracket t subscript k close bracket equals e subscript minus t subscript k divided by x end formula
, where start formula x equals 4 end formula, diminishes towards zero at the tenor of the longest point in the term structure.

A formula to calculate short rate shock for currency c: shock up or down that is greatest at the shortest tenor midpoint.

Long rate shock for currency Image unavailable in extracted text: the shock is greatest at the longest tenor midpoint and has shaping scalar A formula to calculate a specific shaping scalar for long rate shock for currency c.

A formula to calculate the long rate shock for currency c: the shock is greatest at the longest tenor midpoint and has the shaping scalar mentioned in iii.

Rotational shocks for currency Image unavailable in extracted text: rotational shocks to the term structure (i.e. steepener and flattener shocks) of the interest rates whereby both the long and short rates are shocked and the shift in interest rates at each tenor midpoint is obtained by:

A formula to calculate the shift in interest rates at each tenor midpoint for steepener shocks to the term structure of the interest rates whereby both the long and short rates are shocked.

A formula to calculate the shift in interest rates at each tenor midpoint for flattener shocks to the term structure of the interest rates whereby both the long and short rates are shocked.

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Interest rate shock scenarios