Subdivision Table 1.2: Interest rate shock scenarios - Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025 - Table 1.2: Interest rate shock scenarios on economic value of the banking book and net interest income

Table 1.2: Interest rate shock scenarios on economic value of the banking book and net interest income

Table 1.2 captures the impact of six interest rate shock scenarios on an ADI’s economic value of equity (EVE) and net interest income (NII) across reported currencies. ADIs are required to report values separately when ‘including’ and ‘excluding’ the earnings offset.

Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Currency, Interest Rate shock scenario, and Earnings Offset (columns 1-3). Constraints on the data that can be reported for each field have also been provided.

	Name	Valid values	Description
1	Currency	Applicable three-letter currency code	Report the currency to which the exposure relates.Currency codes are the three-letter currency code as assigned by the ISO 4217 Maintenance Agency to a currency defined under the International Organization for Standardization’s International Standard ISO 4217:2015.Where an ADI has exposures in currencies that do not meet the definition of a material currency (i.e. immaterial currencies), these exposures may be combined into one or more groups of currencies, based on the interest rate characteristics of the group of currencies. ADI’s are to indicate into which material currency the group of immaterial currencies have been combined in Table 1.1.A material currency is a currency for which the total book value of an ADI’s banking book items in that currency is more than five per cent of the total book value of all of its banking book items. In determining whether a currency is material, the effect of currency hedges that reduce foreign currency exposure may be taken into account, provided these hedges are in a hedge effective relationship.
2	Interest rate shock scenario	BaselineParallel shock upParallel shock downSteepener shockFlattener shockShort rate shock upShort rate shock down	Report the six interest rate shock scenarios as specified by BCBS IRRBB standards in 2016.The Baseline is the base case scenario, which does not have any interest rate shock applied.
3	Earnings Offset	IncludedExcluded	Report whether the values are ‘including’ or ‘excluding’ the earnings offset.
4	Impact on EVE	Whole dollars	Report the impact of the six interest rate shock scenarios on EVE. ADIs are not required to report the Baseline EVE.The impact of interest rate shock scenarios on EVE is calculated by comparing EVE for a baseline interest rate scenario with the outcome for a scenario where interest rates are shocked.

Table 1.2: Interest rate shock scenariosTable 1.2: Interest rate shock scenarios on economic value of the banking book and net interest income

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Table 1.2: Interest rate shock scenarios on economic value of the banking book and net interest income