In addition to this, we examined supervisory interest rate scenarios: a sustained low-interest-rate environment, a positive interest rate shock of 200 basis points, a negative interest rate shock of 100 basis points, and a turn in the yield curve of +200 basis points at the short end and –60 basis points at the long end, each at the beginning of this year.
The institutions’ balance sheets could be altered for some scenarios, and not for others. For the stress test, the impact of a positive interest rate shock of 200 basis points was compared with that of a continued low-interest-rate environment. The scenario also assumes a 200 basis point increase in the probability of default and a 20% increase in the loss given default.