A security stress test involves evaluating the price sensitivity of a security, or a portfolio, over a
number of different interest rate changes. To identify and measure portfolio risk, maintain
duration of equity limits, and adhere to sound investment practices, FHLBanks are required to
estimate the value of their investment portfolios for different parallel interest rate changes.
However, since parallel shifts rarely occur, FHLBanks should, in general, also measure portfolio
value changes for non-parallel shifts, such as yield curve steepening and flattening scenarios.