Academy Letterhead 2014 (3)

The governance process should also periodically review the acceptance criteria themselves, allowing for necessary updates, the removal of criteria that are no longer useful, or the addition of criteria for new areas of concern. [...] We strongly recommend adding the latter group of interest rate criteria to the next version of the exposure, which will help ensure the stylized facts are properly reflected in the model and its scenario sets. [...] The ESGS’s previously proposed criteria has separate criteria for the 1Y rate and the 20Y rate, as well as the 20Y-1Y slope (e.g., min/max 1Y bound of -1% to -0.5% / 20% to 24%, min/max 20Y rate of 0% to 0.5% / 17% to 20%). [...] The midpoint can be determined as the average of the starting (beginning of year 0) level and the median ultimate (e.g., end of year 100) level. [...] The midpoint can be determined as the average of the starting (beginning of year 0) level and the median ultimate (e.g., end of year 100) level.