Capital Markets Examiner School, Providence, RI

Scenarios - Magnitude

 Symmetrical +/- 300 and 400 bps shocks are not explicitly required

 Rather, the current level of rates relative to the normal rate cycle should be considered

 “Severe but Plausible” stress scenarios should be included

Scenarios - Pace

• Pace of Rate Change • Instantaneous (shock) • Gradual (ramp)

• 2010 Advisory on IRR

• “Depending on an institution’s IRR profile, stress scenarios include but are not limited to:… – Instantaneous and significant changes in the level of interest rates (instantaneous shocks)”