Part Specific instructions - Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025 - Specific instructions | Zoe

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Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025

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Specific instructions

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

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

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)